Research classified by Journal of Economic Literature (JEL) codes

2016

• Jan F. Kiviet & Zhenxi Chen, 2016, "A critical appraisal of studies analyzing co-movement of international stock markets with a focus on East-Asian indices," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 1606, Feb.
• Jaroslav Borovička & Lars Peter Hansen, 2016, "Term Structure of Uncertainty in the Macroeconomy," NBER Working Papers, National Bureau of Economic Research, Inc, number 22364, Jun.
• Antonov I. N. & Knyazev A. G. & Lepekhin O. A., 2016, "Copula Models of the Joint Distribution of Exchange Rates," World of economics and management / Vestnik NSU. Series: Social and Economics Sciences, Socionet, volume 16, issue 4, pages 20-38.
• Matthias Raddant & Dror Y. Kenett, 2016, "Interconnectedness in the Global Financial Market," Working Papers, Office of Financial Research, US Department of the Treasury, number 16-09, Sep.
• Tomáš Heryán & Panayiotis G. Tzeremes & Roman Matousek, 2016, "European lending channel: differences in transmission mechanisms due to the global financial crisis," Working Papers, Silesian University, School of Business Administration, number 0027, Jan.
• Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2016, "Volatility Jumps and Their Economic Determinants," Journal of Financial Econometrics, Oxford University Press, volume 14, issue 1, pages 29-80.
• Carsten Bormann & Julia Schaumburg & Melanie Schienle, 2016, "Beyond Dimension two: A Test for Higher-Order Tail Risk," Journal of Financial Econometrics, Oxford University Press, volume 14, issue 3, pages 552-580.
• Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2016, "Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification," Journal of Financial Econometrics, Oxford University Press, volume 14, issue 3, pages 617-642.
• Ionela Cornelia Cioca, 2016, "Analysis of Correlation Between Gross Domestic Product and Corporate Income Tax in the European Union Countries," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 481-486, July.
• Arango A., Mónica Andrea & Arroyave O., Santiago, 2016, "Análisis de combustibles fósiles en el mercado de generación de energía eléctrica en Colombia: un contraste entre modelos de volatilidad || Analysis of Fossil Fuels in the Market for Electricity Generation in Colombia: A Contrast between Models of Vo," 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 22, issue 1, pages 190-215, December.
• Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2016, "Efficient skewness/semivariance portfolios," Journal of Asset Management, Palgrave Macmillan, volume 17, issue 5, pages 331-346, September, DOI: 10.1057/jam.2016.9.
• Paolo Giudici & Peter Sarlin & Alessandro Spelta, 2016, "The multivariate nature of systemic risk: direct and common exposures," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 118, Mar.
• Juliane Proelss & Denis Schweizer & Volker Seiler, 2016, "Do WTO Rulings Really Matter? Evidence from the Rare Earth Elements Market," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 93, Jan.
• Juliane Proelss & Denis Schweizer & Volker Seiler, 2016, "Do WTO Rulings Really Matter? Evidence from the Rare Earth Elements Market," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 97, Aug.
• Marek Zinecker & Adam P. Balcerzak & Marcin Faldzinski & Tomas Meluzin & Michal Bernard Pietrzak, 2016, "Application of DCC-GARCH model for analysis of Interrelations among Capital Markets of Poland, Czech Republic and Germany," Chapters, Institute of Economic Research, chapter 67, "Proceedings of the International Scientific Conference Quantitative Methods in Economics Multiple Criteria Decision Making XVIII".
• Marcin Faldzinski & Adam P. Balcerzak & Tomas Meluzin & Michal Bernard Pietrzak & Marek Zinecker, 2016, "Cointegration of Interdependencies Among Capital Markets of Chosen Visegrad Countries and Germany," Chapters, Institute of Economic Research, chapter 33, "34th International Conference Mathematical Methods in Economics MME 2016 Conference Proceedings".
• Tomas Heryan & Jan Ziegelbauer, 2016, "Volatility Of Yields Of Government Bonds Among Giips Countries During The Sovereign Debt Crisis In The Euro Area," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 11, issue 1, pages 61-74, March, DOI: 10.12775/EQUIL.2016.003.
• Magdalena Osinska & Andrzej Dobrzynski & Yochanan Shachmurove, 2016, "Performance Of American And Russian Joint Stock Companies On Financial Market. A Microstructure Perspective," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 11, issue 4, pages 819-851, December, DOI: 10.12775/EQUIL.2016.037.
• Marcin Faldzinski & Adam P. Balcerzak & Tomas Meluzin & Michal Bernard Pietrzak & Marek Zinecker, 2016, "Cointegration of Interdependencies Among Capital Markets of Chosen Visegrad Countries and Germany," Working Papers, Institute of Economic Research, number 21/2016, May, revised May 2016.
• Tomas Meluzin & Marek Zinecker & Michal Bernard Pietrzak & Marcin Faldzinski & Adam P. Balcerzak, 2016, "Value-at-Risk with Application of DCC-GARCH Model," Working Papers, Institute of Economic Research, number 35/2016, Sep, revised Sep 2016.
• Tomas Meluzin & Marek Zinecker & Michal Bernard Pietrzak & Marcin Faldzinski & Adam P. Balcerzak, 2016, "Interdependence among Capital Markets of Germany, Poland and Baltic States," Working Papers, Institute of Economic Research, number 36/2016, Sep, revised Sep 2016.
• Marek Zinecker & Adam P. Balcerzak & Marcin Faldzinski & Michal Bernad Pietrzak & Tomáš Meluzin, 2016, "Application of DCC-GARCH Model for Analysis of Interrelations Among Capital Markets of Poland, Czech Republic and Germany," Working Papers, Institute of Economic Research, number 4/2016, Feb, revised Feb 2016.
• Swastika, Putri & Masih, Mansur, 2016, "Do interest rate and inflation affect unemployment? evidence from Australia," MPRA Paper, University Library of Munich, Germany, number 100067, May.
• Othman, Azura & Masih, Mansur, 2016, "Economic determinants of islamic deposits: evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 100238, Mar.
• Nahavandian, Mohsen & Masih, Mansur, 2016, "Granger-causal relationship between macroeconomic factors and the Malaysian islamic index," MPRA Paper, University Library of Munich, Germany, number 100805, Feb.
• Kamil, Nazrol & Masih, Mansur, 2016, "Shari’ah (islamic)compliant investments in Malaysia: influences of selected stock indices and their trend/cycle decomposition equity," MPRA Paper, University Library of Munich, Germany, number 100955, Mar.
• Abu Bakar, Norhidayah & Masih, Mansur, 2016, "Is islamic stock related to interest rate ? Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 101190, Sep.
• Musa, Mustafa & Masih, Mansur, 2016, "Are the ASEAN stock markets integrated with the US market ? new evidence from wavelet coherence," MPRA Paper, University Library of Munich, Germany, number 101256, Jul.
• Mahmud, Nurrul Iiyana & Masih, Mansur, 2016, "Are shariah (islamic) stock market returns stable ? evidence from the select islamic stock indices of emerging markets, USA, UK and Japan," MPRA Paper, University Library of Munich, Germany, number 101879, Sep.
• Salleh, Fadzlullah & Masih, Mansur, 2016, "Does finance lead or lag growth? evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 102493, Jun.
• Daqane, Mohamed Qalib & Masih, Mansur, 2016, "Is islamic stock market affected by interest rates ? Malaysia as a case study," MPRA Paper, University Library of Munich, Germany, number 103784, Aug.
• Halim, Hafeez & Masih, Mansur, 2016, "Granger-causal relationship between islamic bank financing and macroeconomic variables: evidence from Malaysia based on ARDL," MPRA Paper, University Library of Munich, Germany, number 105424, Sep.
• Majeed, Raseena & Masih, Mansur, 2016, "Impact of macroeconomic variables on shariah stock markets: evidence from Malaysia based on ARDL approach," MPRA Paper, University Library of Munich, Germany, number 106118, Feb.
• Sulaiman, Junaid & Masih, Mansur, 2016, "Does interest rate impact the shariah index? Malaysian evidence based on ARDL approach," MPRA Paper, University Library of Munich, Germany, number 106145, Jun.
• Samad, Fadillah & Masih, Mansur, 2016, "Lead-lag relationship between domestic credit and economic growth: the case of Singapore," MPRA Paper, University Library of Munich, Germany, number 107380, Mar.
• Shin, Claire & Masih, Mansur, 2016, "Lead-lag relationship between macroeconomic variables: evidence from Korea," MPRA Paper, University Library of Munich, Germany, number 107870, Aug.
• Omar, Kamal & Masih, Mansur, 2016, "Granger-causal direction between crude oil and islamic deposits: Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 108522, Dec.
• Charnikat, Charnikat & Masih, Mansur, 2016, "Granger-causal relationship between real exchange rate and economic growth: Malaysia as a case study," MPRA Paper, University Library of Munich, Germany, number 108939, Apr.
• Ghafar, Nurul & Masih, Mansur, 2016, "Determinants of unemployment rate in an open economy: Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 109916, Aug.
• Khasanov, Khush & Masih, Mansur, 2016, "Macroeconomic variables and oil price: evidence from Turkey," MPRA Paper, University Library of Munich, Germany, number 110192, Apr.
• Khan, Aftab & Masih, Mansur, 2016, "Does islamic stock index lead or lag conventional stock index ? Malaysian case," MPRA Paper, University Library of Munich, Germany, number 110274, Dec.
• Abidin, Tengku & Masih, Mansur, 2016, "The relationship between the prices of gold and oil and macroeconomic variables: Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 110326, Mar.
• Naqi Shah, Sadia & Qayyum, Abdul, 2016, "Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan," MPRA Paper, University Library of Munich, Germany, number 68783, Jan.
• Sucarrat, Genaro & Grønneberg, Steffen, 2016, "Models of Financial Return With Time-Varying Zero Probability," MPRA Paper, University Library of Munich, Germany, number 68931, Jan.
• Abarahan, Amnisuhailah Binti & Masih, Mansur, 2016, "Is energy a stimulus for economic growth? A focused study on Malaysia using the auto regressive distributed lag technique," MPRA Paper, University Library of Munich, Germany, number 69765, Jan.
• Mustapha, Ishaq Muhammad & Masih, Mansur, 2016, "Dutch disease or Nigerian disease: a prima facie? New evidence from ARDL bound test analysis," MPRA Paper, University Library of Munich, Germany, number 69767, Jan.
• Bukhari, Naseem & Masih, Mansur, 2016, "An empirical investigation of causal linkages between domestic terrorism and macroeconomic variables: a case for Pakistan," MPRA Paper, University Library of Munich, Germany, number 69768, Jan.
• Mohd Haniff, NorAzza & Masih, Mansur, 2016, "Does consumer sentiment predict consumer spending in Malaysia? an autoregressive distributed lag (ARDL) approach," MPRA Paper, University Library of Munich, Germany, number 69769, Jan.
• Ahsan, Zainab Fida & Masih, Mansur, 2016, "Exploring the nexus between income inequality and financial indicators: endemic to the Indian economy?," MPRA Paper, University Library of Munich, Germany, number 69770, Jan.
• Asadov, Alam & Masih, Mansur, 2016, "Home financing loans and their relationship to real estate bubble: An analysis of the U.S. mortgage market," MPRA Paper, University Library of Munich, Germany, number 69771, Jan.
• Naurin, Abida & Qayyum, Abdul, 2016, "Impact of Oil Price and Its Volatility on CPI of Pakistan: Bivariate EGARCH Model," MPRA Paper, University Library of Munich, Germany, number 69774, Feb.
• Mohammad Nor, Karina & Masih, Mansur, 2016, "Do spot and future palm oil prices influence the stock market prices of a major palm oil producer? the Malaysian experience," MPRA Paper, University Library of Munich, Germany, number 69777, Jan.
• Bouoiyour, Jamal & Selmi, Refk, 2016, "The infernal couple China-Oil Price and the Responses of G7 Equities: A QQ Approach," MPRA Paper, University Library of Munich, Germany, number 70379, Feb.
• Bouoiyour, Jamal & Selmi, Refk & Miftah, Amal, 2016, "On the reactions of sectoral equity returns to oil price in France: Implications for portfolio allocation," MPRA Paper, University Library of Munich, Germany, number 70382, Mar.
• Cuestas, Juan Carlos & Huang, Ying & Tang, Bo, 2016, "Does the Yuan’s Overseas Expansion Increase the Currency Exposure of Chinese Financial Firms?," MPRA Paper, University Library of Munich, Germany, number 70921, Apr.
• Griffin, Jim & Liu, Jia & Maheu, John M, 2016, "Bayesian Nonparametric Estimation of Ex-post Variance," MPRA Paper, University Library of Munich, Germany, number 71220, May.
• Uddin, Md Akther & Masih, Mansur, 2016, "War and peace: why is political stability pivotal for economic growth of OIC countries?," MPRA Paper, University Library of Munich, Germany, number 71678, May.
• Tariq, Anam & Masih, Mansur, 2016, "Risk-sharing deposits in islamic banks: do interest rates have any influence on them?," MPRA Paper, University Library of Munich, Germany, number 71680, May.
• Haniff, Norazza Mohd & Masih, Mansur, 2016, "Shariah stocks as an inflation hedge in Malaysia," MPRA Paper, University Library of Munich, Germany, number 71681, May.
• Shakir, Zeeniya & Masih, Mansur, 2016, "How is the European debt crisis affecting islamic equity? challenges in portfolio diversification within the eurozone: A markov switching and continuous wavelet transform analysis," MPRA Paper, University Library of Munich, Germany, number 71683, Jun.
• fajardo, José, 2016, "A New Factor to Explain Implied Volatility Smirk," MPRA Paper, University Library of Munich, Germany, number 71809, May.
• Chowdhury, M. Ashraful Ferdous & Haque, M. Mahmudul & Alhabshi, Syed Othman & Masih, Abul Mansur M., 2016, "Socioeconomic Development and Its Effect on Performance of Islamic Banks: Dynamic Panel Approaches," MPRA Paper, University Library of Munich, Germany, number 71888, May.
• Hasnul, Al Gifari & Masih, Mansur, 2016, "Role of instability in affecting capital flight magnitude: An ARDL bounds testing approach," MPRA Paper, University Library of Munich, Germany, number 72086, Jun.
• Halim, Asyraf Abdul & Ariff, Muhammad & Masih, A. Mansur M., 2016, "The impact of real estate, inequality and current account imbalances on excessive credit: A cross country analysis," MPRA Paper, University Library of Munich, Germany, number 72093, Jun.
• Lokman, Azarahiah & Masih, Mansur, 2016, "What drives banks’ willingness to lend to SMEs? An ARDL approach," MPRA Paper, University Library of Munich, Germany, number 72113, Jun.
• Ziaurrahman, Muhammad & Masih, Mansur, 2016, "Is financial sector development an engine of economic growth? evidence from India," MPRA Paper, University Library of Munich, Germany, number 72121, Jun.
• Sultan, Yousuf & Masih, Mansur, 2016, "Does microfinance affect economic growth? Evidence from Bangladesh based on ARDL approach," MPRA Paper, University Library of Munich, Germany, number 72123, Jun.
• Hasbullah, Faruq & Masih, Mansur, 2016, "Fast profits in a fasting month? A markov regime switching approach in search of ramadan effect on stock markets," MPRA Paper, University Library of Munich, Germany, number 72149, Jun.
• Mantai, Mohammed Mahmoud & Masih, Mansur, 2016, "Do changes in shariah screening methodology make islamic indices substitutes or complements? an application of MGARCH-DCC and markov switching analysis," MPRA Paper, University Library of Munich, Germany, number 72166, Jun.
• Ali, Hakim & Masih, Mansur, 2016, "Evidence of cross-country portfolio diversification benefits: The case of Saudi Arabia," MPRA Paper, University Library of Munich, Germany, number 72180, Jun.
• Escribano, Alvaro & Sucarrat, Genaro, 2016, "Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility," MPRA Paper, University Library of Munich, Germany, number 72736, Jul.
• Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting, 2016, "The credit-card-services augmented Divisia monetary aggregates," MPRA Paper, University Library of Munich, Germany, number 73245, Aug.
• Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting, 2016, "Nowcasting nominal gdp with the credit-card augmented Divisia monetary aggregates," MPRA Paper, University Library of Munich, Germany, number 73246, Aug.
• Barnett, William & Su, Liting, 2016, "Risk adjustment of the credit-card augmented Divisia monetary aggregates," MPRA Paper, University Library of Munich, Germany, number 73248, Aug.
• Tomić, Bojan, 2016, "Ispitivanje kalendarskih sezonaliteta na hrvatskom tržištu kapitala
  [Testing the significance of calendar effects on croatian capital market]," MPRA Paper, University Library of Munich, Germany, number 73311, Jun.
• Maheu, John M & Shamsi, Azam, 2016, "Nonparametric Dynamic Conditional Beta," MPRA Paper, University Library of Munich, Germany, number 73764, Sep.
• Gencer, Murat & Unal, Gazanfer, 2016, "Testing Non-Linear Dynamics, Long Memory and Chaotic Behaviour of Energy Commodities," MPRA Paper, University Library of Munich, Germany, number 74115.
• Lo, Chi-Sheng, 2016, "Structural VAR analysis of monetary transmission mechanism and central bank’s response to equity volatility shock in Taiwan," MPRA Paper, University Library of Munich, Germany, number 74150, Aug.
• Bua, Giovanna & Trecroci, Carmine, 2016, "International Equity Markets Interdependence: Bigger Shocks or Contagion in the 21st Century?," MPRA Paper, University Library of Munich, Germany, number 74771, Oct.
• Bonga-Bonga, Lumengo & Mabe, Queen Magadi, 2016, "How financially integrated are trading blocs in Africa?," MPRA Paper, University Library of Munich, Germany, number 75716, Dec.
• Aknouche, Abdelhakim & Al-Eid, Eid & Demouche, Nacer, 2016, "Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models," MPRA Paper, University Library of Munich, Germany, number 75770, Feb, revised 19 Dec 2016.
• Bonga-Bonga, Lumengo & Nleya, Lebogang, 2016, "Assessing portfolio market risk in the BRICS economies: use of multivariate GARCH models," MPRA Paper, University Library of Munich, Germany, number 75809, Dec.
• Yang, Bill Huajian & Du, Zunwei, 2016, "Rating Transition Probability Models and CCAR Stress Testing: Methodologies and implementations," MPRA Paper, University Library of Munich, Germany, number 76270, Sep.
• Naser, Hanan & Ahmed, Abdul Rashid, 2016, "Oil Price Shocks and Stock Market Performance in Emerging Economies: Some Evidence using FAVAR Models," MPRA Paper, University Library of Munich, Germany, number 77868, Dec.
• Toda, Alexis Akira & Walsh, Kieran James, 2016, "Fat Tails and Spurious Estimation of Consumption-Based Asset Pricing Models," MPRA Paper, University Library of Munich, Germany, number 78980, Nov.
• Naseer, Areef Ahmed & Masih, Mansur, 2016, "Expect the unexpected: housing price bubble on the horizon in Malaysia," MPRA Paper, University Library of Munich, Germany, number 79721, Dec.
• Majeed, Ayesha & Masih, Mansur, 2016, "A study of long- run theoretical relationship between ASEAN stock market indices and developed stock market indices of US and Japan," MPRA Paper, University Library of Munich, Germany, number 79724, Dec.
• Nurhaliq, Puteri & Masih, Mansur, 2016, "Export orientation vs import substitution : which strategy should the government adopt? Evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 82113, Jun.
• Naqi Shah, Sadia & Qayyum, Abdul, 2016, "Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan," MPRA Paper, University Library of Munich, Germany, number 85528.
• Otero, Karina V., 2016, "Intensity of default in sovereign bonds: Estimation of an unobservable process," MPRA Paper, University Library of Munich, Germany, number 86782.
• Najeeb, Faiq & Masih, Mansur, 2016, "Macroeconomic variables and stock returns: evidence from Singapore," MPRA Paper, University Library of Munich, Germany, number 98778, Dec.
• Hakim, Idwan & Masih, Mansur, 2016, "Does finance lead or lag economic growth ? the Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 99997, Jun.
• Pramod Kumar Naik & Rangan Gupta & Puja Padhi, 2016, "The Relationship between Stock Market Volatility and Trading Volume: Evidence from South Africa," Working Papers, University of Pretoria, Department of Economics, number 201689, Dec.
• Dejan Živkov & Jovan Njegić & Mirela Momčilović & Ivan Milenković, 2016, "Exchange Rate Volatility and Uncovered Interest Rate Parity in the European Emerging Economies," Prague Economic Papers, Prague University of Economics and Business, volume 2016, issue 3, pages 253-270, DOI: 10.18267/j.pep.562.
• Dejan Živkov & Jovan Njegić & Vera Mirović, 2016, "Dynamic Nexus between Exchange Rate and Stock Prices in the Major East European Economies," Prague Economic Papers, Prague University of Economics and Business, volume 2016, issue 6, pages 686-705, DOI: 10.18267/j.pep.591.
• Jan Hanousek & Evžen Kočenda & Jan Novotný, 2016, "Shluková analýza skoků na kapitálových trzích
  [Cluster Analysis of Jumps on Capital Markets]," Politická ekonomie, Prague University of Economics and Business, volume 2016, issue 2, pages 127-144, DOI: 10.18267/j.polek.1059.
• Jan Hanousek & Anastasiya Shamshur & Jiří Trešl, 2016, "Vliv korupčního prostředí na efektivitu firem v nových zemích Evropské unie
  [Corruption and Firm Efficiency in New EU Countries]," Politická ekonomie, Prague University of Economics and Business, volume 2016, issue 8, pages 905-921, DOI: 10.18267/j.polek.1117.
• Roman Huptas, 2016, "The UHF-GARCH-Type Model in the Analysis of Intraday Volatility and Price Durations – the Bayesian Approach," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 8, issue 1, pages 1-20, March.
• Maciej Kostrzewski, 2016, "Bayesian SVLEDEJ Model for Detecting Jumps in Logarithmic Growth Rates of One Month Forward Gas Contract Prices," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 8, issue 3, pages 161-179, September.
• Jacek Osiewalski & Krzysztof Osiewalski, 2016, "Hybrid MSV-MGARCH Models – General Remarks and the GMSF-SBEKK Specification," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 8, issue 4, pages 241-271, December.
• Chris Bardgett & Elise Gourier & Markus Leippold, 2016, "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets," Working Papers, Queen Mary University of London, School of Economics and Finance, number 780, Jan.
• KiHoon Jimmy Hong & Stephen Satchell, 2016, "Investigating a Fund Return Distribution when the Value of the Fund under Management is Irregularly Observed," Bankers, Markets & Investors, ESKA Publishing, issue 144, pages 20-30, September.
• Erwan le Saout & Sébastien Ganneval, 2016, "Short-term Impacts of the 2004 Indian Ocean Tsunami on Stock Markets: A DCC-GARCH Analysis," Bankers, Markets & Investors, ESKA Publishing, issue 145, pages 4-12, November-.
• Alexander Knyazev & Oleg Lepekhin & Arkady Shemyakin, 2016, "Joint distribution of stock indices: Methodological aspects of construction and selection of copula models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 42, pages 30-53.
• Md. Sajib Hossain & Md. Amzad Hossain & Shabnaz Amin, 2016, "An Empirical Analysis of the Relationship between Monetary Policy Stance and Stock Price in Bangladesh," Bangladesh Development Studies, Bangladesh Institute of Development Studies (BIDS), volume 39, issue 1-2, pages 27-57.
• İsmail Tuna & Süleyman Serdar Karaca, 2016, "Determining the Firm Specific Factors Affecting the Capital Increase," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 7, issue 1, pages 89-105.
• William Barnett & Marcelle Chauvet & Danilo Leiva-Leon & Liting Su, 2016, "Nowcasting Nominal GDP with the Credit-Card Augmented Divisia Monetary," Studies in Applied Economics, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise, number 59, Aug.
• William Barnett & Liting Su, 2016, "Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates," Studies in Applied Economics, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise, number 67, Oct.
• Álvaro Chamizo Cana & Alfonso Novales Cinca, 2016, "Credit Risk Decomposition for Asset Allocation," Journal of Financial Transformation, Capco Institute, volume 43, pages 117-123.
• Rolando Caballero Martínez & Benigno Caballero Claure, 2016, "Estimación de la volatilidad del tipo de cambio en México y Brasil. Un enfoque con modelos Markov Switching Garch," Revista Latinoamericana de Desarrollo Economico, Carrera de Economía de la Universidad Católica Boliviana (UCB), issue 25, pages 127-170.
• Samet Günay & Yanlin Shi, 2016, "Long-Memory in Volatilities of CDS Spreads: Evidences from the Emerging Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 122-137, March.
• Elisabeta Jaba & Ioan-Bogdan Robu & Costel Istrate & Christiana Brigitte Balan & Mihai Roman, 2016, "Statistical Assessment of the Value Relevance of Financial Information Reported by Romanian Listed Companies," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 27-42, June.
• Chin Wen CHEONG & Lee Min CHERNG & Grace Lee Ching YAP, 2016, "Heterogeneous Market Hypothesis Evaluations using Various Jump-Robust Realized Volatility," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 50-64, December.
• Mateescu, Dan, 2016, "The Linear Regression Of Weighted Segments," Working Papers of Institute for Economic Forecasting, Institute for Economic Forecasting, number 160720, Jul.
• Ansgar Belke & Irina Dubova & Thomas Osowski, 2016, "Policy uncertainty and international financial markets: the case of Brexit," ROME Working Papers, ROME Network, number 201607, Jul.
• Davide De Gaetano, 2016, "Forecast Combinations For Realized Volatility In Presence Of Structural Breaks," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0208, Jun.
• Murat Midilic, 2016, "Estimation Of Star-Garch Models With Iteratively Weighted Least Squares," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 16/918, Jan.
• Joseph P. Hughes & Loretta J. Mester & Choon-Geol Moon, 2016, "Measuring Agency Costs and the Value of Investment Opportunities of U.S. Bank Holding Companies with Stochastic Frontier Estimation," Departmental Working Papers, Rutgers University, Department of Economics, number 201605, Jun.
• Joseph P. Hughes & Loretta J. Mester & Choon-Geol Moon, 2016, "Market Discipline Working for and Against Financial Stability: The Two Faces of Equity Capital in U.S. Commercial Banking," Departmental Working Papers, Rutgers University, Department of Economics, number 201611, Dec.
• Harsh Vardhan & Pankaj Sinha, 2016, "Influence of Foreign Institutional Investments (FIIs) on the Indian Stock Market: An Insight by VAR Models," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 15, issue 1, pages 49-83, April, DOI: 10.1177/0972652715623677.
• Narendra Bhana, 2016, "The Stock Market Reaction to Board Changes: The South African Experience," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 15, issue 3, pages 269-294, December, DOI: 10.1177/0972652716666459.
• Muneer Shaik & S. Maheswaran, 2016, "Modelling the Paradox in Stock Markets by Variance Ratio Volatility Estimator that Utilises Extreme Values of Asset Prices," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 15, issue 3, pages 333-361, December, DOI: 10.1177/0972652716666464.
• Jozef Baruník & Evžen KoÄ enda b,a & Lukáš Vácha, 2016, "Volatility Spillovers Across Petroleum Markets," The Energy Journal, , volume 37, issue 1, pages 136-158, January, DOI: 10.5547/01956574.37.1.jbar.
• Антонов И. Н. & Князев А. Г. & Лепёхин О. А., 2016, "Копулярные модели совместного распределения курсов валют. Copula models of the joint distribution of exchange rates," Мир экономики и управления // Вестник НГУ. Cерия: Cоциально-экономические науки, Socionet;Новосибирский государственный университет, volume 16, issue 4, pages 20-38.
• Fela Özbey & Erhan ??can & Mehmet Fatih Tra?, 2016, "How Do Exchange Rate Movements Affect Stock Prices? The Case of Turkey," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 3506112, Apr.
• Hasan A?an Karaduman, 2016, "Stylized Facts And Weak-Form Efficiency In Turkish Stock Market," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 4006651, Aug.
• Pawe? Kliber, 2016, "Portfolio analysis in jump-diffusion model with power-law tails," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 5306873, Nov.
• Cenk Gokce ADAS & Bibigul Tussupova, 2016, "Impact Of The Global Financial Crises On The Major Asian Countries And Usa Stock Markets And Inter-Linkages Among Them," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 3205838, Mar.
• Cenk Gokce ADAS, 2016, "Impact Of The Global Financial Crises On The Major Asian Countries And Usa Stock Markets And Inter-Linkages Among Them," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, volume 5, issue 1, pages 1-17, March.
• Santillán-Salgado, Roberto J. & Gurrola Ríos, César & López-Herrera, Francisco, 2016, "Evaluación del grado de integración de los principales mercados de capital europeos con un modelo Cópula-GARCH," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 6, issue 1, pages 9-36, enero-jun.
• Juan Carlos Cuestas & Ying Sophie Huang & Bo Tang, 2016, "Does the Yuan's Overseas Expansion Increase the Currency Exposure of Chinese Financial Firms?," Working Papers, The University of Sheffield, Department of Economics, number 2016006, Mar.
• Ming-Chu Chiang & I-Chun Tsai, 2016, "Ripple effect and contagious effect in the US regional housing markets," The Annals of Regional Science, Springer;Western Regional Science Association, volume 56, issue 1, pages 55-82, January, DOI: 10.1007/s00168-015-0718-5.
• Ming-Chu Chiang & I-Chun Tsai, 2016, "Ripple effect and contagious effect in the US regional housing markets," The Annals of Regional Science, Springer;Western Regional Science Association, volume 56, issue 1, pages 55-82, January, DOI: 10.1007/s00168-015-0718-5.
• Mehmet Fatih Öztek & Nadir Öcal, 2016, "The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets," Empirical Economics, Springer, volume 50, issue 2, pages 317-360, March, DOI: 10.1007/s00181-015-0943-x.
• Carl Lönnbark, 2016, "Asymmetry with respect to the memory in stock market volatilities," Empirical Economics, Springer, volume 50, issue 4, pages 1409-1419, June, DOI: 10.1007/s00181-015-0975-2.
• Jacques Peeperkorn & Yudhvir Seetharam, 2016, "A learning-augmented approach to pricing risk in South Africa," Eurasian Business Review, Springer;Eurasia Business and Economics Society, volume 6, issue 1, pages 117-139, April, DOI: 10.1007/s40821-015-0038-9.
• Rituparna Sen & Pulkit Mehrotra, 2016, "Modeling Jumps and Volatility of the Indian Stock Market Using High-Frequency Data," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 14, issue 1, pages 137-150, June, DOI: 10.1007/s40953-016-0028-5.
• Yeap, Claudia & Kwok, Simon S. & Choy, S. T. Boris, 2016, "A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases," Working Papers, University of Sydney, School of Economics, number 2016-14, Aug.
• Lumengo Bonga-Bonga & Ekerete Umoetok, 2016, "The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa," Applied Economics, Taylor & Francis Journals, volume 48, issue 42, pages 3999-4018, September, DOI: 10.1080/00036846.2016.1150948.
• Francesco Audrino & Simon D. Knaus, 2016, "Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics," Econometric Reviews, Taylor & Francis Journals, volume 35, issue 8-10, pages 1485-1521, December, DOI: 10.1080/07474938.2015.1092801.
• T. Roncalli & G. Weisang, 2016, "Risk parity portfolios with risk factors," Quantitative Finance, Taylor & Francis Journals, volume 16, issue 3, pages 377-388, March, DOI: 10.1080/14697688.2015.1046907.
• Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016, "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-006/III, Feb.
• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016, "Connecting VIX and Stock Index ETF," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-010/III, Feb, revised 23 Jan 2017.
• Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016, "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-014/III, Mar, revised 30 Jan 2017.
• Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2016, "Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-015/III, Mar.
• Istvan Barra & Siem Jan Koopman & Agnieszka Borowska, 2016, "Bayesian Dynamic Modeling of High-Frequency Integer Price Changes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-028/III, Apr, revised 16 Feb 2018.
• Shelton Peiris & Manabu Asai & Michael McAleer, 2016, "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-044/III, Jun.
• Chia-Lin Chang & Chia-Ping Liu & Michael McAleer, 2016, "Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-046/III, Jun.
• Chia-Lin Chang & Michael McAleer & Yanghuiting Wang, 2016, "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-047/III, Jun.
• Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2016, "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-052/III, Jul.
• Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2016, "Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-053/III, Jul.
• Peter Reinhard Hansen & Pawel Janus & Siem Jan Koopman, 2016, "Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-061/III, Aug.
• Manabu Asai & Michael McAleer, 2016, "A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-065/III, Aug.
• Andre Lucas & Anne Opschoor, 2016, "Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-069/IV, Sep, revised 07 Jul 2017.
• Manabu Asai & Michael McAleer, 2016, "Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-071/III, Sep.
• Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016, "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-076/III, Sep.
• Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger, 2016, "Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-082/III, Oct.
• David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2016, "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-084/III, Oct.
• Chia-Lin Chang & Michael McAleer, 2016, "A Simple Test for Causality in Volatility," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-094/III, Nov.
• Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2016, "Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-104/III, Nov.
• Falk Bräuning & Siem Jan Koopman, 2016, "The Dynamic Factor Network Model with an Application to Global Credit-Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-105/III, Nov.
• Siem Jan Koopman & André Lucas & Marcel Scharth, 2016, "Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models," The Review of Economics and Statistics, MIT Press, volume 98, issue 1, pages 97-110, March.
• Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016, "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-01, Feb.
• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016, "How are VIX and Stock Index ETF Related?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-02, Feb.
• Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016, "Modelling volatility spillovers for bio-ethanol, sugarcane and corn," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-03, Mar.
• Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2016, "Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-04, Mar.
• Shelton Peiris & Manabu Asai & Michael McAleer, 2016, "Estimating and forecasting generalized fractional Long memory stochastic volatility models," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-08, Jun.
• Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2016, "Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-09, Jun.
• Chia-Lin Chang & Michael McAleer & Yanghuiting Wang, 2016, "Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-10, Jun.
• Chia-Lin Chang & Michael McAleer & Chia-Ping Liu, 2016, "Volatility spillovers for spot, futures, and ETF prices in energy and agriculture," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-11, Jun.
• Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2016, "An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-12, Jun.
• Manabu Asai & Michael McAleer, 2016, "Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-14, Sep.
• Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016, "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-15, Sep.
• David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2016, "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-16, Oct.
• Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2016, "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 2016-18, Nov.
• David E. Allen & Michael McAleer & Abhay K. Singh, 2016, "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2017-03, Dec.
• Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016, "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2017-04, Dec.
• Ahmad Monir Abdullah & Abul Mansur Mohammed Masih, 2016, "Diversification in Crude Oil and Other Commodities: A Comparative Analysis," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, volume 12, issue 1, pages 101-128.
• Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2016, "Networks in risk spillovers: a multivariate GARCH perspective," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2016:03.
• EMAMVERDI, Ghodratollah & KARIMI, Mohammad Sharif & KHAKIE, Sima & KARIMI, Mojtaba, 2016, "Forecasting The Total Index Of Tehran Stock Exchange," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 20, issue 1, pages 54-68.
• Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2016, "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 63, issue 3, pages 273-291.
• Marcin Chlebus, 2016, "One-Day Prediction of State of Turbulence for Portfolio. Models for Binary Dependent Variable," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2016-01.
• Ulrich Hounyo & Bezirgen Veliyev, 2016, "Validity of Edgeworth expansions for realized volatility estimators," Econometrics Journal, Royal Economic Society, volume 19, issue 1, pages 1-32, February.
• Cuestas, Juan Carlos & Tang, Bo, 2016, "Asymmetric Exchange Rate Exposure of Stock Returns: Empirical Evidence from Chinese Industries," RIEI Working Papers, Xi'an Jiaotong-Liverpool University, Research Institute for Economic Integration, number 2016-03, Apr.
• Böing, Tobias & Stadtmann, Georg, 2016, "Money growth and aggregate stock returns," Discussion Papers, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics, number 390.
• Barunik, Jozef & Krehlik, Tomas, 2016, "Measuring the frequency dynamics of financial and macroeconomic connectedness," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 54.
• Hofmann, Maurice & Rottmann, Horst, 2016, "Die Bewertung von Aktienanleihen mit Barriere: Eine Fallstudie für die Easy-Aktienanleihe der Deutschen Bank," Weidener Diskussionspapiere, University of Applied Sciences Amberg-Weiden (OTH), number 55.
• Raddant, Matthias & Wagner, Friedrich, 2016, "Multivariate GARCH for a large number of stocks," Kiel Working Papers, Kiel Institute for the World Economy, number 2049.
• Holtemöller, Oliver, 2016, "Agrarrohstoffpreise und Lebensmittelpreise in armen Ländern," Wirtschaft im Wandel, Halle Institute for Economic Research (IWH), volume 22, issue 1, pages 5-8.
• Bormann, Carsten & Schaumburg, Julia & Schienle, Melanie, 2016, "Beyond dimension two: A test for higher-order tail risk," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 80, DOI: 10.5445/IR/1000051814.
• Belke, Ansgar & Dubova, Irina & Osowski, Thomas, 2016, "Policy uncertainty and international financial markets: The case of Brexit," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 657, DOI: 10.4419/86788763.
• Caporin, Massimiliano & Kolokolov, Alexey & Renò, Roberto, 2016, "Systemic co-jumps," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 149, DOI: 10.2139/ssrn.2851811.
• Härdle, Wolfgang Karl & Nasekin, Sergey & Hong, Zhiwu, 2016, "Leveraged ETF options implied volatility paradox: A statistical study," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-004.
• Haas, Markus, 2016, "A note on optimal portfolios under regime-switching," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145493.
• Conrad, Christian & Loch, Karin, 2016, "Macroeconomic expectations and the time-varying stock-bond correlation: international evidence," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145530.
• Winker, Peter & Lütkepohl, Helmut & Staszewska-Bystrova, Anna, 2016, "Calculating Joint Bands for Impulse Response Functions using Highest Density Regions," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145537.