Research classified by Journal of Economic Literature (JEL) codes

2016

• Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2016, "Exploiting the errors: A simple approach for improved volatility forecasting," Journal of Econometrics, Elsevier, volume 192, issue 1, pages 1-18, DOI: 10.1016/j.jeconom.2015.10.007.
• Jin, Xin & Maheu, John M., 2016, "Bayesian semiparametric modeling of realized covariance matrices," Journal of Econometrics, Elsevier, volume 192, issue 1, pages 19-39, DOI: 10.1016/j.jeconom.2015.11.001.
• Oh, Dong Hwan & Patton, Andrew J., 2016, "High-dimensional copula-based distributions with mixed frequency data," Journal of Econometrics, Elsevier, volume 193, issue 2, pages 349-366, DOI: 10.1016/j.jeconom.2016.04.011.
• Jin, Xin & Maheu, John M., 2016, "Modeling covariance breakdowns in multivariate GARCH," Journal of Econometrics, Elsevier, volume 194, issue 1, pages 1-23, DOI: 10.1016/j.jeconom.2016.03.003.
• Maller, Ross & Roberts, Steven & Tourky, Rabee, 2016, "The large-sample distribution of the maximum Sharpe ratio with and without short sales," Journal of Econometrics, Elsevier, volume 194, issue 1, pages 138-152, DOI: 10.1016/j.jeconom.2016.04.003.
• Kim, Donggyu & Wang, Yazhen, 2016, "Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data," Journal of Econometrics, Elsevier, volume 194, issue 2, pages 220-230, DOI: 10.1016/j.jeconom.2016.05.003.
• Fan, Jianqing & Han, Fang & Liu, Han & Vickers, Byron, 2016, "Robust inference of risks of large portfolios," Journal of Econometrics, Elsevier, volume 194, issue 2, pages 298-308, DOI: 10.1016/j.jeconom.2016.05.008.
• Blasques, Francisco & Koopman, Siem Jan & Lucas, Andre & Schaumburg, Julia, 2016, "Spillover dynamics for systemic risk measurement using spatial financial time series models," Journal of Econometrics, Elsevier, volume 195, issue 2, pages 211-223, DOI: 10.1016/j.jeconom.2016.09.001.
• Ormos, Mihály & Timotity, Dusan, 2016, "Unravelling the asymmetric volatility puzzle: A novel explanation of volatility through anchoring," Economic Systems, Elsevier, volume 40, issue 3, pages 345-354, DOI: 10.1016/j.ecosys.2015.09.008.
• Sensoy, Ahmet & Eraslan, Veysel & Erturk, Mutahhar, 2016, "Do sovereign rating announcements have an impact on regional stock market co-movements? The case of Central and Eastern Europe," Economic Systems, Elsevier, volume 40, issue 4, pages 552-567, DOI: 10.1016/j.ecosys.2016.02.003.
• Sowmya, Subramaniam & Prasanna, Krishna & Bhaduri, Saumitra, 2016, "Linkages in the term structure of interest rates across sovereign bond markets," Emerging Markets Review, Elsevier, volume 27, issue C, pages 118-139, DOI: 10.1016/j.ememar.2016.05.001.
• Byun, Sung Je, 2016, "The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility," Journal of Empirical Finance, Elsevier, volume 36, issue C, pages 162-180, DOI: 10.1016/j.jempfin.2016.01.013.
• Bodnar, Taras & Hautsch, Nikolaus, 2016, "Dynamic conditional correlation multiplicative error processes," Journal of Empirical Finance, Elsevier, volume 36, issue C, pages 41-67, DOI: 10.1016/j.jempfin.2015.12.002.
• Chiarella, Carl & Hsiao, Chih-Ying & Tô, Thuy-Duong, 2016, "Stochastic correlation and risk premia in term structure models," Journal of Empirical Finance, Elsevier, volume 37, issue C, pages 59-78, DOI: 10.1016/j.jempfin.2016.02.003.
• Maheu, John M. & Yang, Qiao, 2016, "An infinite hidden Markov model for short-term interest rates," Journal of Empirical Finance, Elsevier, volume 38, issue PA, pages 202-220, DOI: 10.1016/j.jempfin.2016.06.006.
• Ballester, Laura & Casu, Barbara & González-Urteaga, Ana, 2016, "Bank fragility and contagion: Evidence from the bank CDS market," Journal of Empirical Finance, Elsevier, volume 38, issue PA, pages 394-416, DOI: 10.1016/j.jempfin.2016.01.011.
• Davidson, James & Li, Xiaoyu, 2016, "Strict stationarity, persistence and volatility forecasting in ARCH(∞) processes," Journal of Empirical Finance, Elsevier, volume 38, issue PB, pages 534-547, DOI: 10.1016/j.jempfin.2015.08.010.
• Peñaranda, Francisco & Sentana, Enrique, 2016, "Duality in mean-variance frontiers with conditioning information," Journal of Empirical Finance, Elsevier, volume 38, issue PB, pages 762-785, DOI: 10.1016/j.jempfin.2016.03.008.
• Aldrich, Eric M. & Heckenbach, Indra & Laughlin, Gregory, 2016, "A compound duration model for high-frequency asset returns," Journal of Empirical Finance, Elsevier, volume 39, issue PA, pages 105-128, DOI: 10.1016/j.jempfin.2016.10.003.
• Ji, Qiang & Fan, Ying, 2016, "Evolution of the world crude oil market integration: A graph theory analysis," Energy Economics, Elsevier, volume 53, issue C, pages 90-100, DOI: 10.1016/j.eneco.2014.12.003.
• Reboredo, Juan C. & Ugolini, Andrea, 2016, "Quantile dependence of oil price movements and stock returns," Energy Economics, Elsevier, volume 54, issue C, pages 33-49, DOI: 10.1016/j.eneco.2015.11.015.
• Liu, Wei-han, 2016, "A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility," Energy Economics, Elsevier, volume 56, issue C, pages 351-362, DOI: 10.1016/j.eneco.2016.03.026.
• Berger, Theo & Uddin, Gazi Salah, 2016, "On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes," Energy Economics, Elsevier, volume 56, issue C, pages 374-383, DOI: 10.1016/j.eneco.2016.03.024.
• Ziel, Florian & Steinert, Rick, 2016, "Electricity price forecasting using sale and purchase curves: The X-Model," Energy Economics, Elsevier, volume 59, issue C, pages 435-454, DOI: 10.1016/j.eneco.2016.08.008.
• Gronwald, Marc, 2016, "Explosive oil prices," Energy Economics, Elsevier, volume 60, issue C, pages 1-5, DOI: 10.1016/j.eneco.2016.09.012.
• Nazlioglu, Saban & Gormus, N. Alper & Soytas, Uğur, 2016, "Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis," Energy Economics, Elsevier, volume 60, issue C, pages 168-175, DOI: 10.1016/j.eneco.2016.09.009.
• Drachal, Krzysztof, 2016, "Forecasting spot oil price in a dynamic model averaging framework — Have the determinants changed over time?," Energy Economics, Elsevier, volume 60, issue C, pages 35-46, DOI: 10.1016/j.eneco.2016.09.020.
• Lee, Bong-Soo & Ko, Kwangsoo, 2016, "Are Japanese margin buyers informed?," International Review of Financial Analysis, Elsevier, volume 45, issue C, pages 47-53, DOI: 10.1016/j.irfa.2016.02.010.
• Poshakwale, Sunil S. & Mandal, Anandadeep, 2016, "What drives asymmetric dependence structure of asset return comovements?," International Review of Financial Analysis, Elsevier, volume 48, issue C, pages 312-330, DOI: 10.1016/j.irfa.2015.07.001.
• Buchner, Axel, 2016, "Risk-adjusting the returns of private equity using the CAPM and multi-factor extensions," Finance Research Letters, Elsevier, volume 16, issue C, pages 154-161, DOI: 10.1016/j.frl.2015.10.023.
• dos Santos, Marco Aurélio & Fávero, Luiz Paulo Lopes & Distadio, Luiz Fernando, 2016, "Adoption of the International Financial Reporting Standards (IFRS) on companies’ financing structure in emerging economies," Finance Research Letters, Elsevier, volume 16, issue C, pages 179-189, DOI: 10.1016/j.frl.2015.11.002.
• Ferrer, Alex & Casals, José & Sotoca, Sonia, 2016, "Efficient estimation of unconditional capital by Monte Carlo simulation," Finance Research Letters, Elsevier, volume 16, issue C, pages 75-84, DOI: 10.1016/j.frl.2015.10.010.
• Gurdgiev, Constantin & Harte, Gerard, 2016, "Tsallis entropy: Do the market size and liquidity matter?," Finance Research Letters, Elsevier, volume 17, issue C, pages 151-157, DOI: 10.1016/j.frl.2016.03.006.
• Grobys, Klaus & Haga, Jesper, 2016, "Identifying portfolio-based systematic risk factors in equity markets," Finance Research Letters, Elsevier, volume 17, issue C, pages 88-92, DOI: 10.1016/j.frl.2016.01.010.
• Li, Leon & Chen, Carl R., 2016, "Analysts' forecast dispersion and stock returns: a panel threshold regression analysis based on conditional limited market participation hypothesis," Finance Research Letters, Elsevier, volume 18, issue C, pages 100-107, DOI: 10.1016/j.frl.2016.04.006.
• Kang, Sang Hoon & Yoon, Seong-Min, 2016, "Dynamic spillovers between Shanghai and London nonferrous metal futures markets," Finance Research Letters, Elsevier, volume 19, issue C, pages 181-188, DOI: 10.1016/j.frl.2016.07.010.
• Haas, Markus, 2016, "A note on optimal portfolios under regime–switching," Finance Research Letters, Elsevier, volume 19, issue C, pages 209-216, DOI: 10.1016/j.frl.2016.08.001.
• Chiu, Wan-Yi & Jiang, Ching-Hai, 2016, "On the weight sign of the global minimum variance portfolio," Finance Research Letters, Elsevier, volume 19, issue C, pages 241-246, DOI: 10.1016/j.frl.2016.08.008.
• Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2016, "Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers," Journal of Financial Markets, Elsevier, volume 27, issue C, pages 55-78, DOI: 10.1016/j.finmar.2015.09.003.
• Siburg, Karl Friedrich & Stehling, Katharina & Stoimenov, Pavel A. & Weiß, Gregor N.F., 2016, "An order of asymmetry in copulas, and implications for risk management," Insurance: Mathematics and Economics, Elsevier, volume 68, issue C, pages 241-247, DOI: 10.1016/j.insmatheco.2016.03.008.
• Scholz, Michael & Sperlich, Stefan & Nielsen, Jens Perch, 2016, "Nonparametric long term prediction of stock returns with generated bond yields," Insurance: Mathematics and Economics, Elsevier, volume 69, issue C, pages 82-96, DOI: 10.1016/j.insmatheco.2016.04.007.
• Breitung, Jörg & Hafner, Christian M., 2016, "A simple model for now-casting volatility series," International Journal of Forecasting, Elsevier, volume 32, issue 4, pages 1247-1255, DOI: 10.1016/j.ijforecast.2016.04.007.
• Racicot, François-Éric & Théoret, Raymond, 2016, "Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds," Journal of Banking & Finance, Elsevier, volume 62, issue C, pages 41-61, DOI: 10.1016/j.jbankfin.2015.10.004.
• Reboredo, Juan C. & Rivera-Castro, Miguel A. & Ugolini, Andrea, 2016, "Downside and upside risk spillovers between exchange rates and stock prices," Journal of Banking & Finance, Elsevier, volume 62, issue C, pages 76-96, DOI: 10.1016/j.jbankfin.2015.10.011.
• Wang, Yudong & Ma, Feng & Wei, Yu & Wu, Chongfeng, 2016, "Forecasting realized volatility in a changing world: A dynamic model averaging approach," Journal of Banking & Finance, Elsevier, volume 64, issue C, pages 136-149, DOI: 10.1016/j.jbankfin.2015.12.010.
• Medovikov, Ivan, 2016, "When does the stock market listen to economic news? New evidence from copulas and news wires," Journal of Banking & Finance, Elsevier, volume 65, issue C, pages 27-40, DOI: 10.1016/j.jbankfin.2016.01.004.
• Shynkevich, Andrei, 2016, "Predictability in bond returns using technical trading rules," Journal of Banking & Finance, Elsevier, volume 70, issue C, pages 55-69, DOI: 10.1016/j.jbankfin.2016.06.010.
• Wied, Dominik & Weiß, Gregor N.F. & Ziggel, Daniel, 2016, "Evaluating Value-at-Risk forecasts: A new set of multivariate backtests," Journal of Banking & Finance, Elsevier, volume 72, issue C, pages 121-132, DOI: 10.1016/j.jbankfin.2016.07.014.
• Mason, Charles F. & Wilmot, Neil A., 2016, "Price discontinuities in the market for RINs," Journal of Economic Behavior & Organization, Elsevier, volume 132, issue PB, pages 79-97, DOI: 10.1016/j.jebo.2016.04.003.
• Sorwar, Ghulam & Pappas, Vasileios & Pereira, John & Nurullah, Mohamed, 2016, "To debt or not to debt: Are Islamic banks less risky than conventional banks?," Journal of Economic Behavior & Organization, Elsevier, volume 132, issue S, pages 113-126, DOI: 10.1016/j.jebo.2016.10.012.
• Bandi, F.M. & Renò, R., 2016, "Price and volatility co-jumps," Journal of Financial Economics, Elsevier, volume 119, issue 1, pages 107-146, DOI: 10.1016/j.jfineco.2015.05.007.
• Giglio, Stefano & Kelly, Bryan & Pruitt, Seth, 2016, "Systemic risk and the macroeconomy: An empirical evaluation," Journal of Financial Economics, Elsevier, volume 119, issue 3, pages 457-471, DOI: 10.1016/j.jfineco.2016.01.010.
• Rapach, David E. & Ringgenberg, Matthew C. & Zhou, Guofu, 2016, "Short interest and aggregate stock returns," Journal of Financial Economics, Elsevier, volume 121, issue 1, pages 46-65, DOI: 10.1016/j.jfineco.2016.03.004.
• Barras, Laurent & Malkhozov, Aytek, 2016, "Does variance risk have two prices? Evidence from the equity and option markets," Journal of Financial Economics, Elsevier, volume 121, issue 1, pages 79-92, DOI: 10.1016/j.jfineco.2016.02.014.
• Bodnar, Taras & Reiß, Markus, 2016, "Exact and asymptotic tests on a factor model in low and large dimensions with applications," Journal of Multivariate Analysis, Elsevier, volume 150, issue C, pages 125-151, DOI: 10.1016/j.jmva.2016.05.011.
• Haase, Marco & Seiler Zimmermann, Yvonne & Zimmermann, Heinz, 2016, "The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies," Journal of Commodity Markets, Elsevier, volume 3, issue 1, pages 1-15, DOI: 10.1016/j.jcomm.2016.07.006.
• Reboredo, Juan C. & Ugolini, Andrea, 2016, "The impact of downward/upward oil price movements on metal prices," Resources Policy, Elsevier, volume 49, issue C, pages 129-141, DOI: 10.1016/j.resourpol.2016.05.006.
• Borovicka, J. & Hansen, L.P., 2016, "Term Structure of Uncertainty in the Macroeconomy," Handbook of Macroeconomics, Elsevier, chapter 0, in: J. B. Taylor & Harald Uhlig, "Handbook of Macroeconomics", DOI: 10.1016/bs.hesmac.2016.06.005.
• Bhaumik, S. & Karanasos, M. & Kartsaklas, A., 2016, "The informative role of trading volume in an expanding spot and futures market," Journal of Multinational Financial Management, Elsevier, volume 35, issue C, pages 24-40, DOI: 10.1016/j.mulfin.2016.03.002.
• Charfeddine, Lanouar & Benlagha, Noureddine, 2016, "A time-varying copula approach for modelling dependency: New evidence from commodity and stock markets," Journal of Multinational Financial Management, Elsevier, volume 37, issue , pages 168-189, DOI: 10.1016/j.mulfin.2016.10.003.
• Naifar, Nader & Hammoudeh, Shawkat, 2016, "Do global financial distress and uncertainties impact GCC and global sukuk return dynamics?," Pacific-Basin Finance Journal, Elsevier, volume 39, issue C, pages 57-69, DOI: 10.1016/j.pacfin.2016.05.016.
• Pascoal, Rui & Augusto, Mário & Monteiro, A.M., 2016, "Size distribution of Portuguese firms between 2006 and 2012," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 458, issue C, pages 342-355, DOI: 10.1016/j.physa.2016.04.010.
• Vortelinos, Dimitrios I., 2016, "Realized correlation analysis of contagion," The Quarterly Review of Economics and Finance, Elsevier, volume 60, issue C, pages 138-148, DOI: 10.1016/j.qref.2015.10.001.
• Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2016, "Gold, oil, and stocks: Dynamic correlations," International Review of Economics & Finance, Elsevier, volume 42, issue C, pages 186-201, DOI: 10.1016/j.iref.2015.08.006.
• Chiang, Shu Ling & Tsai, Ming Shann, 2016, "Analyzing an elder’s desire for a reverse mortgage using an economic model that considers house bequest motivation, random death time and stochastic house price," International Review of Economics & Finance, Elsevier, volume 42, issue C, pages 202-219, DOI: 10.1016/j.iref.2015.10.040.
• Huang, MeiChi & Wu, Chih-Chiang & Liu, Shih-Min & Wu, Chang-Che, 2016, "Facts or fates of investors' losses during crises? Evidence from REIT-stock volatility and tail dependence structures," International Review of Economics & Finance, Elsevier, volume 42, issue C, pages 54-71, DOI: 10.1016/j.iref.2015.10.046.
• Reboredo, Juan C. & Uddin, Gazi Salah, 2016, "Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach," International Review of Economics & Finance, Elsevier, volume 43, issue C, pages 284-298, DOI: 10.1016/j.iref.2015.10.043.
• Taboga, Marco, 2016, "Option-implied probability distributions: How reliable? How jagged?," International Review of Economics & Finance, Elsevier, volume 45, issue C, pages 453-469, DOI: 10.1016/j.iref.2016.07.013.
• Bhuyan, Rafiqul & Robbani, Mohammad G. & Talukdar, Bakhtear & Jain, Ajeet, 2016, "Information transmission and dynamics of stock price movements: An empirical analysis of BRICS and US stock markets," International Review of Economics & Finance, Elsevier, volume 46, issue C, pages 180-195, DOI: 10.1016/j.iref.2016.09.004.
• Wang, Gang-Jin & Xie, Chi & Jiang, Zhi-Qiang & Stanley, H. Eugene, 2016, "Extreme risk spillover effects in world gold markets and the global financial crisis," International Review of Economics & Finance, Elsevier, volume 46, issue C, pages 55-77, DOI: 10.1016/j.iref.2016.08.004.
• Tamakoshi, Go & Hamori, Shigeyuki, 2016, "Time-varying co-movements and volatility spillovers among financial sector CDS indexes in the UK," Research in International Business and Finance, Elsevier, volume 36, issue C, pages 288-296, DOI: 10.1016/j.ribaf.2015.09.027.
• Yavas, Burhan F. & Dedi, Lidija, 2016, "An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries," Research in International Business and Finance, Elsevier, volume 37, issue C, pages 583-596, DOI: 10.1016/j.ribaf.2016.01.025.
• Farouk, Faizal & Masih, Mansur, 2016, "Are there profit (returns) in Shariah-compliant exchange traded funds? The multiscale propensity," Research in International Business and Finance, Elsevier, volume 38, issue C, pages 360-375, DOI: 10.1016/j.ribaf.2016.04.007.
• Ceyda YERDELEN KAYGIN & Alper TAZEGUL & Hakan YAZARKAN, 2016, "Isletmelerin Finansal Basarili ve Basarisiz Olma Durumlarinin Veri Madenciligi ve Lojistik Regresyon Analizi Ile Tahmin Edilebilirligi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 16, issue 1, pages 147-159, DOI: 10.21121/eab.2016119960.
• Juan Carlos Bonifacio Ramírez, 2016, "Relaciones entre los mercados bursátiles de México y Estados Unidos: Evidencia de cointegración y Causalidad de Granger," Graduate theses (Spanish), CIDE, División de Economía, number TESG 003, Jun.
• Omar Alejandro González Rivas, 2016, "Causalidad en Segundos Momentos: Una aplicación a la volatilidad bursátil en México, Estados Unidos y Australia," Graduate theses (Spanish), CIDE, División de Economía, number TESG 006, Jun.
• Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2016, "Dynamic Factor Models for the Volatility Surface☆," Advances in Econometrics, Emerald Group Publishing Limited, "Dynamic Factor Models", DOI: 10.1108/S0731-905320150000035004.
• Tommaso Proietti, 2016, "On the Selection of Common Factors for Macroeconomic Forecasting," Advances in Econometrics, Emerald Group Publishing Limited, "Dynamic Factor Models", DOI: 10.1108/S0731-905320150000035015.
• Caporin, M. & Chang, C-L. & McAleer, M.J., 2016, "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-02, Feb.
• Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2016, "How are VIX and Stock Index ETF Related?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-07, Feb.
• Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2016, "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-15, Mar.
• Chen, J. & Kobayashi, M. & McAleer, M.J., 2016, "Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-16, Feb.
• Peiris, S. & Asai, M. & McAleer, M.J., 2016, "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-27, Jun.
• Chang, C-L. & Liu, C-P. & McAleer, M.J., 2016, "Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-28, Jun.
• Chang, C-L. & McAleer, M.J. & Wang, Y., 2016, "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-29, Jun.
• Chang, C-L. & McAleer, M.J. & Tian, J., 2016, "Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-30, Jun.
• Chang, C-L. & McAleer, M.J. & Wang, C-H., 2016, "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-31, Jun.
• Asai, M. & McAleer, M.J., 2016, "A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-34, Aug.
• Asai, M. & McAleer, M.J., 2016, "Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-35, Sep.
• Allen, D.E. & McAleer, M.J. & Powell, R.J. & Singh, A.K., 2016, "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-38, Jan.
• Chang, C-L. & McAleer, M.J., 2016, "A Simple Test for Causality in Volatility," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-40, Nov.
• Asai, M. & Chang, C-L. & McAleer, M.J., 2016, "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-41, Sep.
• Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2016, "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-45, Dec.
• Allen, D.E. & McAleer, M.J. & Singh, A.K., 2016, "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-46, Dec.
• Zopiatis, A. & Savva, C.S. & Lambertides, N. & McAleer, M.J., 2016, "Tourism Stocks in Times of Crises: an Econometric Investigation of Non-macro Factors," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number TI 2016-104/III, Nov.
• Belke, Ansgar & Dubova, Irina & Osowski, Thomas, 2016, "Policy Uncertainty and International Financial Markets: The case of Brexit," CEPS Papers, Centre for European Policy Studies, number 12021, Nov.
• M. Hakan Eratalay, 2016, "Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study," International Econometric Review (IER), Econometric Research Association, volume 8, issue 2, pages 19-52, September.
• Srikanta Kundu & Nityananda Sarkar, 2016, "Is the Effect of Risk on Stock Returns Different in Up and Down Markets? A Multi-Country Study," International Econometric Review (IER), Econometric Research Association, volume 8, issue 2, pages 53-71, September.
• Héctor F. Salazar-Núñez. & Francisco Venegas Martínez., 2016, "Dinámicas del tipo de cambio nominal y del IPC, 1991-2014: una especificación que combina los modelos ARFIMA y GARCH," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, volume 44, issue 1, pages 147-168, Enero-Jun, DOI: 10.24275/ETYPUAM/NE/442016/Salazar.
• Harald Schmidbauer & Angi Rösch & Erhan Uluceviz & Narod Erkol, 2016, "The Russian Stock Market during the Ukrainian Crisis: A Network Perspective," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 66, issue 6, pages 478-509, December.
• Tófoli, Paula Virgínia & Ziegelmann, Flávio Augusto & Silva Filho, Osvaldo Candido & Pereira, Pedro L. Valls, 2016, "Dynamic D-Vine copula model with applications to Value-at-Risk (VaR)," Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil), number 424, Jun.
• Falk Bräuning & Siem Jan Koopman, 2016, "The dynamic factor network model with an application to global credit risk," Working Papers, Federal Reserve Bank of Boston, number 16-13, Oct.
• Margherita Giuzio & Sandra Paterlini, 2016, "Undiversifying during Crises: Is It a Good Idea?," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1628, Dec.
• Missaka Warusawitharana, 2016, "Time-varying Volatility and the Power Law Distribution of Stock Returns," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-022, Mar, DOI: 10.17016/FEDS.2016.022.
• Todd Prono, 2016, "Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-083, Oct, DOI: 10.17016/FEDS.2016.083r1.
• Tomas Breach & Stefania D'Amico & Athanasios Orphanides, 2016, "The Term Structure and Inflation Uncertainty," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2016-22, Dec.
• Peter Van Tassel & Erik Vogt, 2016, "Global variance term premia and intermediary risk appetite," Staff Reports, Federal Reserve Bank of New York, number 789, Aug.
• Fabrizio Cipollini & Giampiero Gallo & Andrea Ugolini, 2016, "Median Response to Shocks: A Model for VaR Spillovers in East Asia," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2016_01, Apr.
• Giampiero M. Gallo & Edoardo Otranto, 2016, "Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2016_02, Apr.
• Francesco Calvori & Matteo Dentella & Giampiero M. Gallo, 2016, "Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2016_03, Apr.
• Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2016, "Copula--based Specification of vector MEMs," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2016_04, Apr.
• 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.

2015

• Ivan Stríček & Ivana Andrisková, 2015, "Dashboard Usability In Financial Modeling," CBU International Conference Proceedings, ISE Research Institute, volume 3, issue 0, pages 020-027, September, DOI: 10.12955/cbup.v3.579.
• Bystrík Nemček & Iveta Kremeňová, 2015, "A Proposal Of A Process Model For Postal Electronic Service Implementation," CBU International Conference Proceedings, ISE Research Institute, volume 3, issue 0, pages 218-223, September, DOI: 10.12955/cbup.v3.604.
• Daniela Osterrieder & Daniel Ventosa-Santaulària & J. Eduardo Vera-Valdés, 2015, "Unbalanced Regressions and the Predictive Equation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-09, Jan.
• Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2015, "Dynamic Factor Models for the Volatility Surface," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-13, Jan.
• Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2015, "Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-14, Mar.
• Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2015, "Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-15, Mar.
• Nicholas M. Kiefer & C. Erik Larson, 2015, "Counting Processes for Retail Default Modeling," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-17, Apr.
• Peter Reinhard Hansen, 2015, "A Martingale Decomposition of Discrete Markov Chains," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-18, Apr.
• Ulrich Hounyo & Bezirgen Veliyev, 2015, "Validity of Edgeworth expansions for realized volatility estimators," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-21, May.
• Bent Jesper Christensen & Rasmus T. Varneskov, 2015, "Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-25, May.
• Markku Lanne & Henri Nyberg, 2015, "Nonlinear dynamic interrelationships between real activity and stock returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-36, Aug.
• Yunus Emre Ergemen & Abderrahim Taamouti, 2015, "Parametric Portfolio Policies with Common Volatility Dynamics," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-41, Aug.
• Shin Kanaya, 2015, "Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-50, Nov.
• Suthawan Prukumpai, 2015, "Time-varying Industrial Portfolio Betas under the Regime-switching Model: Evidence from the Stock Exchange of Thailand," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, volume 22, issue 2, pages 54-76, December.
• Simona Andreea APOSTU & Vergil VOINEAGU, 2015, "Statistical Analysis Of Credit Risk Factors In Romania," Journal of Social and Economic Statistics, Bucharest University of Economic Studies, volume 4, issue 2, pages 88-97, DECEMBER.
• Arnade, Carlos & Hoffman, Linwood, 2015, "The Impact of Price Variability on Cash/Futures Market Relationships: Implications for Market Efficiency and Price Discovery," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California, Agricultural and Applied Economics Association, number 201850, DOI: 10.22004/ag.econ.201850.
• Ramsey, Ford, 2015, "Dependence in Spikes of Energy and Agricultural Prices," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California, Agricultural and Applied Economics Association, number 205120, DOI: 10.22004/ag.econ.205120.
• Algieri, Bernardina & Kalkuhl, Matthias & Koch, Nicolas, 2015, "A Tale for Two Tails: Explaining Extreme Events in Financialized Agricultural markets," 2015 Conference (59th), February 10-13, 2015, Rotorua, New Zealand, Australian Agricultural and Resource Economics Society, number 202529, Feb, DOI: 10.22004/ag.econ.202529.
• Bastianin, Andrea & Manera, Matteo, , "How Does Stock Market Volatility React to Oil Shocks?," Energy: Resources and Markets, Fondazione Eni Enrico Mattei (FEEM), number 196919, DOI: 10.22004/ag.econ.196919.
• Peri, Massimo, 2015, "Cliamte Variability and Agricultural Price volatility: the case of corn and soybeans," 2015 Conference, August 9-14, 2015, Milan, Italy, International Association of Agricultural Economists, number 212623, DOI: 10.22004/ag.econ.212623.
• Peri, M. & Vandone, D. & Baldi, L., 2015, "Volatility Spillover between Water, Food and Energy," 2015 Conference, August 9-14, 2015, Milan, Italy, International Association of Agricultural Economists, number 212627, DOI: 10.22004/ag.econ.212627.
• Arnade, Carlos & Hoffman, Linwood, 2015, "The Impact of Price Variability on Cash/Futures Market Relationships: Implications for Market Efficiency and Price Discovery," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 47, issue 4, December, DOI: 10.22004/ag.econ.349125.
• Costel ISTRATE & Ioan Bogdan ROBU & Mihai CARP, 2015, "Impact Of The Transition To Ifrs For The Romanian Listed Companies In Financial Distress," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 15, pages 83-102, June.
• Anne Péguin-Feissolle & Bilel Sanhaji, 2015, "Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix)," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1516, Mar.
• Breitung, Jorg & Hafner, Christian, 2015, "A simple model for now-casting volatility series," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2015021, Jan.
• Hafner, Christian & Preminger, Arie, 2015, "An ARCH model without intercept," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2015039, Jan.
• Petitjean, Mikael, 2015, "How integrated is the European carbon derivatives market?," LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2015004, Jan.
• Luis Varona Castillo, 2015, "Modelo de supervivencia empresarial a partir del índice Z de Altman," Working Papers, Peruvian Economic Association, number 46, May.
• Jianqing Fan & Fang Han & Han Liu & Byron Vickers, 2015, "Robust Inference of Risks of Large Portfolios," Papers, arXiv.org, number 1501.02382, Jan.
• Dimitri O. Ledenyov & Viktor O. Ledenyov, 2015, "Mergers and acquisitions transactions strategies in diffusion - type financial systems in highly volatile global capital markets with nonlinearities," Papers, arXiv.org, number 1502.02537, Feb.
• Antoine Kornprobst & Raphael Douady, 2015, "An Empirical Approach to Financial Crisis Indicators Based on Random Matrices," Papers, arXiv.org, number 1506.00806, Jun, revised Sep 2017.
• Filip Smolik & Lukas Vacha, 2015, "Time-scale analysis of co-movement in EU sovereign bond markets," Papers, arXiv.org, number 1506.03347, Jun, revised Mar 2016.
• Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2015, "Asset Allocation Strategies Based on Penalized Quantile Regression," Papers, arXiv.org, number 1507.00250, Jul.
• Yoann Potiron & Per Mykland, 2015, "Estimation of integrated quadratic covariation with endogenous sampling times," Papers, arXiv.org, number 1507.01033, Jul, revised Nov 2016.
• Jozef Barunik & Tomas Krehlik, 2015, "Measuring the frequency dynamics of financial connectedness and systemic risk," Papers, arXiv.org, number 1507.01729, Jul, revised Dec 2017.
• Conrad, Christian & Loch, Karin, 2015, "The Variance Risk Premium and Fundamental Uncertainty," Working Papers, University of Heidelberg, Department of Economics, number 0583, Feb.
• Shin Kanaya & Dennis Kristensen, 2015, "Estimation of stochastic volatility models by nonparametric filtering," CeMMAP working papers, Institute for Fiscal Studies, number 09/15, Mar, DOI: 10.1920/wp.cem.2015.0915.
• Aycan HEPSAG & Burcay YASAR AKCALI, 2015, "The Analysis of Weak Form Efficiency with Asymmetric Nonlinear Unit Root Test: The Case of G-7 and E-7 Countries," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 9, issue 2, pages 73-90.
• Sara Cecchetti & Filippo Natoli & Laura Sigalotti, 2015, "Tail comovement in option-implied inflation expectations as an indicator of anchoring," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1025, Jul.
• Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno, 2015, "Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," Borradores de Economia, Banco de la Republica de Colombia, number 919, Dec, DOI: 10.32468/be.919.
• Hideyuki Takamizawa, 2015, "Predicting Interest Rate Volatility Using Information on the Yield Curve," International Review of Finance, International Review of Finance Ltd., volume 15, issue 3, pages 347-386, September.
• Bo Tang, 2015, "Exchange Rate Exposure of Chinese Firms at the Industry and Firm Level," Review of Development Economics, Wiley Blackwell, volume 19, issue 3, pages 592-607, August.
• Pedro Gurrola-Perez & David Murphy, 2015, "Filtered historical simulation Value-at-Risk models and their competitors," Bank of England working papers, Bank of England, number 525, Mar.
• Richard D. F. Harris & Linh H Nguyen & Evarist Stoja, 2015, "Extreme downside risk and financial crises," Bank of England working papers, Bank of England, number 547, Sep.
• Marek Raczko, 2015, "Volatility contagion: new evidence from market pricing of volatility risk," Bank of England working papers, Bank of England, number 552, Sep.
• Aymen Ben Rejeb & Adel Boughrara, 2015, "Financial integration in emerging market economies: Effects on volatility transmission and contagion," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 15, issue 3, pages 161-179, September.
• Gong Jinguo & Wu Weiou & McMillan David & Shi Daimin, 2015, "Non-parametric estimation of copula parameters: testing for time-varying correlation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 19, issue 1, pages 93-106, February, DOI: 10.1515/snde-2012-0089.
• Grossmass Lidan & Poon Ser-Huang, 2015, "Estimating dynamic copula dependence using intraday data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 19, issue 4, pages 501-529, September, DOI: 10.1515/snde-2013-0123.
• Fernanda Maria Muller & Fábio Mariano Bayer, 2015, "Numerical evaluation of likelihood inferences in Beta-t-Skew-EGARCH models," Brazilian Review of Finance, Brazilian Society of Finance, volume 13, issue 1, pages 40-73.
• Alberto Ronchi Neto & Osvaldo Candido, 2015, "Evaluating interest rate term-structure using extensions of the Diebold and Li three factors model," Brazilian Review of Finance, Brazilian Society of Finance, volume 13, issue 2, pages 251-287.
• Felipe Stona & Jean Amann & Maurício Delago Morais & Divanildo Triches & Igor Clemente Morais, 2015, "Title: analysis of term structure of interest rates in Latin America countries from 2006 to 2014," Brazilian Review of Finance, Brazilian Society of Finance, volume 13, issue 4, pages 650-690.
• Jozef Baruník & Evžen Kocenda & Lukáš Vácha & Evžen Kočenda, 2015, "Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover," CESifo Working Paper Series, CESifo, number 5305.
• Jozef Baruník & Evžen Kocenda & Lukáš Vácha & Evžen Kočenda, 2015, "Gold, Oil, and Stocks: Dynamic Correlations," CESifo Working Paper Series, CESifo, number 5333.
• Marc S. PAOLELLA & Pawel POLAK, 2015, "Portfolio Selection with Active Risk Monitoring," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-17, Jun.
• Cristina CIUMAȘ & Diana-Maria CHIȘ, 2015, "Modelling The Guarantee Liability Under Unit-Linked Contracts," SEA - Practical Application of Science, Romanian Foundation for Business Intelligence, Editorial Department, issue 7, pages 165-170, April.
• Gustavo Peralta, 2015, "Network-based Measures as Leading Indicators of Market Instability: The case of the Spanish Stock," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no 59.
• Diego Alejandro Mart�nez Cruz & Jos� Fernando Moreno Guti�rrez & Juan Sebasti�n Rojas Moreno, 2015, "Evoluci�n de la relaci�n entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," Borradores de Economia, Banco de la Republica, number 14112, Dec.
• Fernando Uscátegui & Mike Woodcock & Carlos M�ndez, 2015, "An Approach About Monetary Policy Risk Balance In Colombia: A Multivariate Analysis Based On Time Series," Econógrafos, Escuela de Economía, Universidad Nacional de Colombia, FCE, CID, number 14168, Dec.
• G.A. Meagher & R.A. Wilson & Hector Pollitt, 2015, "The Europe 2020 Strategy and Skill Mismatch," Centre of Policy Studies/IMPACT Centre Working Papers, Victoria University, Centre of Policy Studies/IMPACT Centre, number g-259, Dec.
• Bauwens, Luc & Carpantier, Jean-François & Dufays, Arnaud, 2015, "Autoregressive moving average infinite hidden markov-switching models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2015007, Feb.
• Deschamps, P., 2015, "Alternative Formulation of the Leverage Effect in a Stochastic Volatility Model with Asymmetric Heavy-Tailed Errors," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2015020, May.
• Christian M. HAFNER & Arie PREMINGER, 2015, "An ARCH Model Without Intercept," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2770, Jan.
• Paolo MAZZA & Mikael PETITJEAN, 2015, "How integrated is the European carbon derivatives market?," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2777, Jan.
• Sabina Nowak & Joanna Olbrys, 2015, "Day-of-the-Week Effects in Liquidity on the Warsaw Stock Exchange," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, volume 15, pages 49-69.
• Elzbieta Szulc & Dagna Wleklinska, 2015, "Spatio-temporal Analysis of Convergence of Development Level of Selected Stock Exchanges in the Period of 2004–2012," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, volume 15, pages 5-26.
• Moench, Emanuel & Adrian, Tobias & Crump, Richard K., 2015, "Regression Based Estimation of Dynamic Asset Pricing Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10449, Mar.
• Benedikt Rotermann & Bernd Wilfling, 2015, "Estimating rational stock-market bubbles with sequential Monte Carlo methods," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 4015, May.
• Almeida, Daniel de & Hotta, Luiz & Ruiz Ortega, Esther, 2015, "MGARCH models: tradeoff between feasibility and flexibility," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws1516, Jul.