Research classified by Journal of Economic Literature (JEL) codes

2016

• Raddant, Matthias & Kenett, Dror, 2016, "Interconnectedness in the global financial market," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145560.
• Lips, Johannes, 2016, "Do they still matter? – Impact of Fossil Fuels on Electricity Prices in the Light of Increased Renewable Generation," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145601.
• Robert F. Engle & Olivier Ledoit & Michael Wolf, 2016, "Large dynamic covariance matrices," ECON - Working Papers, Department of Economics - University of Zurich, number 231, Jul, revised Apr 2017.
• Olivier Ledoit & Michael Wolf & Zhao Zhao, 2016, "Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies," ECON - Working Papers, Department of Economics - University of Zurich, number 238, Dec, revised May 2018.
• Bent Jesper Christensen & Rasmus T. Varneskov, 2016, "Dynamic Global Currency Hedging," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-03, Jan.
• Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2016, "Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-10, Apr.
• Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2016, "Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-20, Jun.
• Shin Kanaya, 2016, "Convergence rates of sums of a-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-24, Jul.
• Kim Christensen & Roel Oomen & Roberto Renò, 2016, "The Drift Burst Hypothesis," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-28, Sep.
• Luc Bauwens & Manuela Braione & Giuseppe Storti, 2016, "Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices," Annals of Economics and Statistics, GENES, issue 123-124, pages 103-134, DOI: 10.15609/annaeconstat2009.123-124.0.
• Serge Darolles & Gaëlle Le Fol & Christian Francq & Jean-Michel Zakoïan, 2016, "Intrinsic Liquidity in Conditional Volatility Models," Annals of Economics and Statistics, GENES, issue 123-124, pages 225-245, DOI: 10.15609/annaeconstat2009.123-124.0.
• Alexandru Badescu & Joan del Castillo & Juan-Pablo Ortega, 2016, "Hedging of Time Discrete Auto-Regressive Stochastic Volatility Options," Annals of Economics and Statistics, GENES, issue 123-124, pages 271-306, DOI: 10.15609/annaeconstat2009.123-124.0.
• Alexis Bienvenüe & Christian Y. Robert, 2016, "Systemic Tail Risk Distribution," Annals of Economics and Statistics, GENES, issue 123-124, pages 29-52, DOI: 10.15609/annaeconstat2009.123-124.0.
• Jérôme Lahaye, 2016, "Currency Risk: Comovements and Intraday Cojumps," Annals of Economics and Statistics, GENES, issue 123-124, pages 53-76, DOI: 10.15609/annaeconstat2009.123-124.0.
• Anne Péguin-Feissolle & Bilel Sanhaji, 2016, "Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models," Annals of Economics and Statistics, GENES, issue 123-124, pages 77-101, DOI: 10.15609/annaeconstat2009.123-124.0.
• Christian Francq & Jean-Michel Zakoïan, 2016, "Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels," Annals of Economics and Statistics, GENES, issue 123-124, pages 9-28, DOI: 10.15609/annaeconstat2009.123-124.0.
• Tobias Adrian & Markus K. Brunnermeier, 2016, "CoVaR," American Economic Review, American Economic Association, volume 106, issue 7, pages 1705-1741, July.
• Serrao, Amilcar, 2016, "A controversial debate between financial speculation and changes in agricultural commodity spot prices," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts, Agricultural and Applied Economics Association, number 235638, DOI: 10.22004/ag.econ.235638.
• Bastianin, Andrea & Conti, Francesca & Manera, Matteo, , "The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries," Energy: Resources and Markets, Fondazione Eni Enrico Mattei (FEEM), number 230682, DOI: 10.22004/ag.econ.230682.
• Ferreira Frascaroli, Bruno & Soares de Araújo Carvalho, Patrícia, 2016, "Transmissão De Preços No Mercado De Bioetanol Entre Alagoas E Pernambuco: Uma Análise De Cointegração," Revista de Economia e Agronegócio / Brazilian Review of Economics and Agribusiness, Federal University of Vicosa, Department of Agricultural Economics, volume 14, issue 01-2-3, pages 1-34, DOI: 10.22004/ag.econ.253028.
• Breitung, J. & Hafner, C., 2016, "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 2016035, Jan.
• Breitung, Jorg & Hafner, Christian, 2016, "A simple model for now-casting volatility series," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2016040, Jan.
• Saâd Benbachir & Mohammed Mehdi El Hamzi, 2016, "Non-Maturity Deposit Modeling in the Framework of Asset Liability Management," International Journal of Economics and Financial Research, Academic Research Publishing Group, volume 2, issue 5, pages 79-98, 05-2016.
• Tomas Krehlik & Jozef Barunik, 2016, "Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets," Papers, arXiv.org, number 1603.07020, Mar, revised Jan 2017.
• Jianqing Fan & Yuan Ke & Yuan Liao, 2016, "Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia," Papers, arXiv.org, number 1603.07041, Mar, revised Sep 2018.
• Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2016, "Copula--based Specification of vector MEMs," Papers, arXiv.org, number 1604.01338, Apr.
• Mihaly Ormos & Dusan Timotity, 2016, "Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring," Papers, arXiv.org, number 1606.03597, Jun.
• Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2016, "Asymmetric volatility connectedness on forex markets," Papers, arXiv.org, number 1607.08214, Jul.
• Gregor Kastner, 2016, "Sparse Bayesian time-varying covariance estimation in many dimensions," Papers, arXiv.org, number 1608.08468, Aug, revised Nov 2017.
• Matthias Raddant & Friedrich Wagner, 2016, "Multivariate Garch with dynamic beta," Papers, arXiv.org, number 1609.07051, Sep, revised Nov 2019.
• Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016, "A diagnostic criterion for approximate factor structure," Papers, arXiv.org, number 1612.04990, Dec, revised Aug 2017.
• Laurie Davies & Walter Kramer, 2016, "Stylized Facts and Simulating Long Range Financial Data," Papers, arXiv.org, number 1612.05229, Dec.
• Ioan-Bogdan ROBU & Maria GROSU & Costel ISTRATE, 2016, "The Effect of the Auditors’ Rotation on the Accounting Quality in the Case of Romanian Listed Companies under the Transition to IFRS," The Audit Financiar journal, Chamber of Financial Auditors of Romania, volume 14, issue 133, pages 1-65, January.
• Christian M. Hafner & Oliver Linton & Haihan Tang, 2016, "Estimation of a multiplicative covariance structure in the large dimensional case," CeMMAP working papers, Institute for Fiscal Studies, number 52/16, Nov, DOI: 10.1920/wp.cem.2016.5216.
• Yulia Yelnikova, 2016, "Relationship Derivatives Financial Markets, Money And Stock Markets As A Subsystem Of Financial Market," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", volume 2, issue 1, DOI: 10.30525/2256-0742/2016-2-1-39-45.
• Shlomo Yitzhaki, 2016, "A Potential Contradiction Between Economic Theory and Applied Finance," Review of Economics & Finance, Better Advances Press, Canada, volume 6, pages 13-27, May.
• Alfonso Ugarte, 2016, "Long and short-run components in explanatory variables and different panel-data estimates," Working Papers, BBVA Bank, Economic Research Department, number 16/10, May.
• Héctor Pérez Saiz & Gabriel Xerri, 2016, "Credit Risk and Collateral Demand in a Retail Payment System," Discussion Papers, Bank of Canada, number 16-16, DOI: 10.34989/sdp-2016-16.
• Fuchun Li & Héctor Pérez Saiz, 2016, "Measuring Systemic Risk Across Financial Market Infrastructures," Staff Working Papers, Bank of Canada, number 16-10, DOI: 10.34989/swp-2017-10.
• Ozge KORKMAZ & Deniz ERER & Elif ERER, 2016, "Do the Bubbles in Alternative Financial Instruments Affect the Turkish Stock Market? An Application to BIST100," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 10, issue 2, pages 29-61.
• Benavides Guillermo, 2016, "Exchange Rate Risk Premium: An Analysis of its Determinants for the Mexican Peso-USD," Working Papers, Banco de México, number 2016-11, Jun.
• Laura Andrade-Pardo & Oscar Valencia-Arana & Diego Vásquez-Escobar & Mauricio Villamizar-Villegas, 2016, "Uncovering the Portfolio Balance Channel with the use of Sovereign Credit Ratings," Borradores de Economia, Banco de la Republica de Colombia, number 941, May, DOI: 10.32468/be.941.
• Daniel Mariño-Ustacara & Luis Fernando Melo-Velandia, 2016, "Relación entre los valores en riesgo de los principales mercados financieros colombianos: un enfoque a través de modelos multivariados de regresión cuantílica," Borradores de Economia, Banco de la Republica de Colombia, number 975, Dec, DOI: 10.32468/be.975.
• Laura Andrade-Pardo & Oscar Valencia-Arana & Diego Vásquez-Escobar & Mauricio Villamizar-Villegas, 2016, "Uncovering the portfolio balance channel with the use of sovereign credit ratings," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 34, issue 81, pages 191-205, December, DOI: 10.1016/j.espe.2016.08.003.
• Virginie Coudert & Julien Idier, 2016, "An Early Warning System for Macro-prudential Policy in France," Working papers, Banque de France, number 609.
• Michael Creel, 2016, "Neural Nets for Indirect Inference," Working Papers, Barcelona School of Economics, number 942, Nov.
• Škrinjarić Tihana & Šego Boško, 2016, "Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach," Business Systems Research, Sciendo, volume 7, issue 2, pages 78-90, September, DOI: 10.1515/bsrj-2016-0014.
• Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, 2016, "Statistical Modeling Of Stock Returns: Explanatory Or Descriptive? A Historical Survey With Some Methodological Reflections," Journal of Economic Surveys, Wiley Blackwell, volume 30, issue 1, pages 149-164, February.
• Mohamed El Ghourabi & Christian Francq & Fedya Telmoudi, 2016, "Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified," Journal of Time Series Analysis, Wiley Blackwell, volume 37, issue 1, pages 46-76, January.
• Xiaochun Liu, 2016, "Markov switching quantile autoregression," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 70, issue 4, pages 356-395, November.
• Roberto Rigobon, 2016, "Contagion, spillover and interdependence," Bank of England working papers, Bank of England, number 607, Aug.
• Richard Harris & Evarist Stoja & Linh Nguyen, 2016, "Systematic tail risk," Bank of England working papers, Bank of England, number 637, Dec.
• Dimitris Malliaropulos & Petros M. Migiakis, 2016, "The re-pricing of sovereign risks following the global financial crisis," Working Papers, Bank of Greece, number 210, Jul.
• Sun-Joong Yoon & Chang Gyun Park, 2016, "Non-Recourse Mortgage Loans and Implied Option Prices (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 22, issue 1, pages 63-92, March.
• Beum-Jo Park, 2016, "Investors' Herd Behavior and its Relation with Volatility in the Korean Stock Market (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 22, issue 3, pages 70-93, September.
• F. Lilla, 2016, "High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number wp1084, Nov.
• Alaa Alaabed & Mansur Masih, 2016, "Finance-growth nexus: Insights from an application of threshold regression model to Malaysia's dual financial system," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 16, issue 2, pages 63-71, June.
• Afees A. Salisu & Umar B. Ndako & Tirimisiyu F. Oloko & Lateef O. Akanni, 2016, "Unit root modeling for trending stock market series," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 16, issue 2, pages 82-91, June.
• Ahmad Monir Abdullah & Buerhan Saiti & Mansur Masih, 2016, "The impact of crude oil price on Islamic stock indices of South East Asian countries: Evidence from MGARCH-DCC and wavelet approaches," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 16, issue 4, pages 219-232, December.
• Favero Carlo A. & Missale Alessandro, 2016, "Contagion in the EMU – The Role of Eurobonds with OMTs," Review of Law & Economics, De Gruyter, volume 12, issue 3, pages 555-584, November, DOI: 10.1515/rle-2016-0043.
• Bekierman Jeremias & Gribisch Bastian, 2016, "Estimating stochastic volatility models using realized measures," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 20, issue 3, pages 279-300, June, DOI: 10.1515/snde-2014-0113.
• Aboura Sofiane & Chevallier Julien & Jammazi Rania & Tiwari Aviral Kumar, 2016, "The place of gold in the cross-market dependencies," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 20, issue 5, pages 567-586, December, DOI: 10.1515/snde-2015-0017.
• Vanessa Neumann Sulzbach & João Mergulhão & Pedro L. Valls Pereira, 2016, "The Informational Content of Trades on Foreign Exchange Futures: an Application to the Brazilian Market," Brazilian Review of Finance, Brazilian Society of Finance, volume 14, issue 1, pages 7-43.
• Ito, R., 2016, "Spline-DCS for Forecasting Trade Volume in High-Frequency Finance," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1606, Jan.
• Ryoko Ito, 2016, "Asymptotic Theory for Beta-t-GARCH," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1607, Jan.
• Peter Malec, 2016, "A Semiparametric Intraday GARCH Model," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1633, May.
• Hafner, C. M. & Linton, O., 2016, "Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1664, Nov.
• Gonçalo Faria & Fabio Verona, 2016, "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 06, Dec.
• Julian P. Veley & Brian C. Payne & Jiri Tresl & Wilfredo Toledo, 2016, "Implied Volatility Around the World : Geographical Markets and Asset Classes," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp562, Apr.
• Laurie Davies & Walter Kraemer, 2016, "Stylized Facts and Simulating Long Range Financial Data," CESifo Working Paper Series, CESifo, number 5796.
• Walter Kraemer, 2016, "A Neglected Semi-Stylized Fact of Daily Stock Returns," CESifo Working Paper Series, CESifo, number 5806.
• Guglielmo Maria Caporale & Mario Cerrato & Xuan Zhang, 2016, "Analysing the Determinants of Credit Risk for General Insurance Firms in the UK," CESifo Working Paper Series, CESifo, number 5971.
• Ramazan Gencay & Soheil Mahmoodzadeh & Jakub Rojcek & Michael C Tseng, 2016, "Price Impact of Aggressive Liquidity Provision," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-21, Mar, revised May 2016.
• Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2016, "A Diagnostic Criterion for Approximate Factor Structure," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-51, Aug, revised Dec 2016.
• Ahmed Ahmed & Diego Ardila & Dorsa Sanadgol & Didier Sornette, 2016, "Comparing Ask and Transaction Prices in the Swiss Housing Market," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-80, Dec.
• Ulrich Hounyo & Silvia Gonçalves & Nour Meddahi, 2016, "Bootstrapping pre-averaged realized volatility under market microstructure noise," CIRANO Working Papers, CIRANO, number 2016s-25, May.
• Ramiro Losada López, 2016, "Managerial ability, risk preferences and the incentives for active management," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 6.
• Gustavo Peralta, 2016, "The Nature of Volatility Spillovers across the International Capital Markets," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 6.
• Carlos Castro & Juan S. OrdoÔøΩez & Sergio Preciado, 2016, "Network externalities across financial institutions," Documentos de Trabajo, Universidad del Rosario, number 14287, Feb.
• Laura Andrade-Pardo & Oscar Valencia-Arana & Diego V�squez-Escobar & Mauricio Villamizar-Villegas, 2016, "Uncovering the portfolio balance channel with the use of sovereign credit ratings," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 34, issue 81, pages 191-205, DOI: 10.1016/j.espe.2016.08.003.
• Uribe Gil Jorge Mario, 2016, "Regímenes de riesgo en el mercado de acciones colombiano," Revista Sociedad y Economía, Universidad del Valle, CIDSE, volume 0, issue 30, pages 11-404.
• Miller Ariza, 2016, "Pronóstico del volumen de negociación del mercado secundario de renta fija en Colombia: a través de la modelación no lineal star," Vniversitas Económica, Universidad Javeriana - Bogotá, volume 0, issue 0, pages 1-46.
• Julián Fernández Mejía & Jorge Mario Uribe, 2016, "Análisis de procesos explosivos en el precio de los activos financieros: evidencia alrededor del mundo," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 8, issue 1, pages 83-103.
• J.M. Dixon & J. Nassios, 2016, "Modelling the Impacts of a Cut to Company Tax in Australia," Centre of Policy Studies/IMPACT Centre Working Papers, Victoria University, Centre of Policy Studies/IMPACT Centre, number g-260, Apr.
• BREITUNG, Jörg & HAFNER, Christian, 2016, "A Simple Model for Now-Casting Volatility Series," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2016004, Oct.
• AUGUSTYNIAK, Maciej & BAUWENS, Luc & DUFAYS, Arnaud, 2016, "A New Approach to Volatility Modeling : The High-Dimensional Markov Model," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2016042, Dec.
• HAFNER, Christian & LINTON, Oliver B. & TANG, Haihan, 2016, "Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2016044, Nov.
• Jörg BREITUNG & Christian M. HAFNER, 2016, "A simple model for now-casting volatility series," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2865, Jan.
• Luc Bauwens & Manuela Braione & Giuseppe Storti, 2016, "Forecasting comparison of long term component dynamic models for realized covariance matrices," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2923, Jan.
• Elzbieta Szulc & Karolina Gorna & Dagna Wleklinska, 2016, "The share of European economies in the process of convergence of long-term interest rates in the EU in the period of 2006–2016," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, volume 16, pages 165-187.
• Józef Stawicki, 2016, "Using the First Passage Times in Markov Chain model to support financial decisions on the stock exchange," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, volume 16, pages 37-47.
• Aneta Wlodarczyk & Iwona Otola, 2016, "Analysis of the Relationship between Market Volatility and Firms Volatility on the Polish Capital Market," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, volume 16, pages 87-116.
• Orphanides, Athanasios & Breach, Tomas & D'Amico, Stefania, 2016, "The Term Structure and Inflation Uncertainty," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11730, Dec.
• Escribano, Álvaro & Sucarrat, Genaro, 2016, "Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 23436, Jul.
• David E. Rapach & Matthew C. Ringgenberg & Guofu Zhou, 2016, "Short interest and aggregate stock returns," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 716.
• Pedersen, Rasmus Søndergaard, 2016, "Targeting Estimation Of Ccc-Garch Models With Infinite Fourth Moments," Econometric Theory, Cambridge University Press, volume 32, issue 2, pages 498-531, April.
• Kanaya, Shin & Kristensen, Dennis, 2016, "Estimation Of Stochastic Volatility Models By Nonparametric Filtering," Econometric Theory, Cambridge University Press, volume 32, issue 4, pages 861-916, August.
• Maria do Rosario CORREIA & Christian GOKUS & Andrew Hughes HALLETT & Christian R. RICHTER, 2016, "A Dynamic Analysis of the Determinants of the Greek Credit Default Swaps," Journal of Economics and Political Economy, EconSciences Journals, volume 3, issue 2, pages 350-376, June.
• Christian Rudolf RICHTER & Bachar FAKHRY, 2016, "Testing the Efficiency of the GIPS Sovereign Debt Markets using an Asymmetrical Volatility Test," Journal of Economics and Political Economy, EconSciences Journals, volume 3, issue 3, pages 524-535, September.
• Latifa AITOUTOUHEN & Faris HAMZA, 2016, "Financial and Econometric Study of the Sustainability and Evaluation of Scenarios of Reforms for the Civil Regime of Moroccan," Turkish Economic Review, EconSciences Journals, volume 3, issue 4, pages 652-667, December.
• Bachar FAKHRY, 2016, "A Regime Switching Explanation of the Reactions of Market Participant during the Crisis," Journal of Economics Bibliography, EconSciences Journals, volume 3, issue 3, pages 434-449, September.
• Leleng KEBALO, 2016, "South African Exchange Rate After 2000s: An Econometric Investigation," Journal of Economics Bibliography, EconSciences Journals, volume 3, issue 3, pages 459-481, September.
• Xinyu WU & Hailin ZHOU, 2016, "GARCH DIFFUSION MODEL, iVIX, AND VOLATILITY RISK PREMIUM," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, volume 50, issue 1, pages 327-342.
• Atanu DAS, 2016, "Higher Order Adaptive Kalman Filter For Time Varying Alpha And Cross Market Beta Estimation In Indian Market," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, volume 50, issue 3, pages 211-228.
• Virgil DAMIAN & Cosmin – Octavian CEPOI, 2016, "Volatility Estimators With High-Frequency Data From Bucharest Stock Exchange," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, volume 50, issue 3, pages 247-264.
• Rafał SIEDLECKI & Daniel PAPLA, 2016, "Conditional Correlation Coefficient As A Tool For Analysis Of Contagion In Financial Markets And Real Economy Indexes Based On The Synthetic Ratio," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, volume 50, issue 4, pages 287-299.
• Никола Илиев, 2016, "Прецизиране На Регресионната Значимост Чрез Фиктивни Регресори, Продукт На Уинсоризация На Условни Променливи," Almanac of PhD Students, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, volume 12, issue 12 Year 2, pages 3-27.
• Guglielmo Maria Caporale & Mario Cerrato & Xuan Zhang, 2016, "Analysing the Determinants of Credit Risk for General Insurance Firms in the UK," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1591.
• Nurbanu BURSA & Gamze Özel KADILAR, 2016, "Investigation of Turkey Credit Default Swaps with Entropy Concept," Eurasian Eononometrics, Statistics and Emprical Economics Journal, Eurasian Academy Of Sciences, volume 3, issue 3, pages 23-32, February, DOI: 10.17740/eas.stat.2016�V3ââ.
• Nessrine Hamzaoui & Boutheina Regaieg, 2016, "Exploration of the Foreign Exchange Forward Premiums and the Spot Exchange Return: A Multivariate Approach," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 2, pages 694-702.
• E.M. Afsal & Mohammad Imdadul Haque, 2016, "Market Interactions in Gold and Stock Markets: Evidences from Saudi Arabia," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 3, pages 1025-1034.
• Nessrine Hamzaoui & Boutheina Regaieg, 2016, "The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic approach to investigating the foreign exchange forward premium volatility," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 4, pages 1608-1615.
• Ching-Chun Wei & Shu-Min Chen, 2016, "Examining the Relationship of Crude Oil Future Price Return and Agricultural Future Price Return in US," International Journal of Energy Economics and Policy, Econjournals, volume 6, issue 1, pages 58-64.
• Cem Berk, 2016, "Indexing Oil from a Financial Point of View: A Comparison between Brent and West Texas Intermediate," International Journal of Energy Economics and Policy, Econjournals, volume 6, issue 2, pages 152-158.
• Nikolaos Sariannidis & Grigoris Giannarakis & Eleni Zafeiriou & Ioannis Billias, 2016, "The Effect of Crude Oil Price Moments on Socially Responsible Firms in Eurozone," International Journal of Energy Economics and Policy, Econjournals, volume 6, issue 2, pages 356-363.
• Basheer H. M. Altarturi & Ahmad Alrazni Alshammri & Tuan Muhd Tau ik Tuan Hussin & Buerhan Saiti, 2016, "Oil Price and Exchange Rates: A Wavelet Analysis for Organisation of Oil Exporting Countries Members," International Journal of Energy Economics and Policy, Econjournals, volume 6, issue 3, pages 421-430.
• Ching-Chun Wei & Ya-Ling Lin, 2016, "Carbon Future Price Return, Oil Future Price Return and Stock Index Future Price Return in the U.S," International Journal of Energy Economics and Policy, Econjournals, volume 6, issue 4, pages 655-662.
• Tatiana K. Blokhina & Oksana A. Karpenko & Andrey V. Guirinskiy, 2016, "The Relationship between Oil Prices and Exchange Rate in Russia," International Journal of Energy Economics and Policy, Econjournals, volume 6, issue 4, pages 721-726.
• Anvar V. Gumerov & Tatiana I. Ladykova & Venera N. Minsabirova & Ruslan R. Temirbulatov & Marina Yu. Mitrofanova & Elena M. Litvinova & Liliia Yu. Makhotkina & Guzyal M. Kharisova, 2016, "The Analysis of Regional Development on the Basis of Corporate Structures’ Activity," International Review of Management and Marketing, Econjournals, volume 6, issue 1, pages 101-105.
• Hayashida, Minoru & Ono, Hiroyuki, 2016, "Tax reforms and stock return volatility: The case of Japan," Journal of Asian Economics, Elsevier, volume 45, issue C, pages 1-14, DOI: 10.1016/j.asieco.2016.04.002.
• Frazier, David T. & Liu, Xiaochun, 2016, "A new approach to risk-return trade-off dynamics via decomposition," Journal of Economic Dynamics and Control, Elsevier, volume 62, issue C, pages 43-55, DOI: 10.1016/j.jedc.2015.11.002.
• Hoang, Thi Hong Van & Lahiani, Amine & Heller, David, 2016, "Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach," Economic Modelling, Elsevier, volume 54, issue C, pages 54-66, DOI: 10.1016/j.econmod.2015.12.013.
• Chang, Guang-Di & Cheng, Po-Ching, 2016, "Evidence of cross-asset contagion in U.S. markets," Economic Modelling, Elsevier, volume 58, issue C, pages 219-226, DOI: 10.1016/j.econmod.2016.05.014.
• Guo, Yanfeng & Wen, Xiaoqian & Wu, Yanrui & Guo, Xiumei, 2016, "How is China's coke price related with the world oil price? The role of extreme movements," Economic Modelling, Elsevier, volume 58, issue C, pages 22-33, DOI: 10.1016/j.econmod.2016.05.018.
• Araichi, Sawssen & Peretti, Christian de & Belkacem, Lotfi, 2016, "Solvency capital requirement for a temporal dependent losses in insurance," Economic Modelling, Elsevier, volume 58, issue C, pages 588-598, DOI: 10.1016/j.econmod.2016.03.007.
• Bekiros, Stelios & Gupta, Rangan & Kyei, Clement, 2016, "On economic uncertainty, stock market predictability and nonlinear spillover effects," The North American Journal of Economics and Finance, Elsevier, volume 36, issue C, pages 184-191, DOI: 10.1016/j.najef.2016.01.003.
• Horváth, Roman & Šopov, Boril, 2016, "GARCH models, tail indexes and error distributions: An empirical investigation," The North American Journal of Economics and Finance, Elsevier, volume 37, issue C, pages 1-15, DOI: 10.1016/j.najef.2016.03.006.
• Al-Shboul, Mohammad & Anwar, Sajid, 2016, "Fractional integration in daily stock market indices at Jordan's Amman stock exchange," The North American Journal of Economics and Finance, Elsevier, volume 37, issue C, pages 16-37, DOI: 10.1016/j.najef.2016.03.005.
• Tian, Shuairu & Hamori, Shigeyuki, 2016, "Time-varying price shock transmission and volatility spillover in foreign exchange, bond, equity, and commodity markets: Evidence from the United States," The North American Journal of Economics and Finance, Elsevier, volume 38, issue C, pages 163-171, DOI: 10.1016/j.najef.2016.09.004.
• Longin, François & Pagliardi, Giovanni, 2016, "Tail relation between return and volume in the US stock market: An analysis based on extreme value theory," Economics Letters, Elsevier, volume 145, issue C, pages 252-254, DOI: 10.1016/j.econlet.2016.06.026.
• Ibragimov, Rustam & Prokhorov, Artem, 2016, "Heavy tails and copulas: Limits of diversification revisited," Economics Letters, Elsevier, volume 149, issue C, pages 102-107, DOI: 10.1016/j.econlet.2016.10.024.
• Goliński, Adam & Zaffaroni, Paolo, 2016, "Long memory affine term structure models," Journal of Econometrics, Elsevier, volume 191, issue 1, pages 33-56, DOI: 10.1016/j.jeconom.2015.09.006.
• 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.
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• 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.