Research classified by Journal of Economic Literature (JEL) codes

2016

• William Barnett & Liting Su, 2016, "Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates," Studies in Applied Economics, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise, number 67, Oct.
• Álvaro Chamizo Cana & Alfonso Novales Cinca, 2016, "Credit Risk Decomposition for Asset Allocation," Journal of Financial Transformation, Capco Institute, volume 43, pages 117-123.
• Rolando Caballero Martínez & Benigno Caballero Claure, 2016, "Estimación de la volatilidad del tipo de cambio en México y Brasil. Un enfoque con modelos Markov Switching Garch," Revista Latinoamericana de Desarrollo Economico, Carrera de Economía de la Universidad Católica Boliviana (UCB), issue 25, pages 127-170.
• Samet Günay & Yanlin Shi, 2016, "Long-Memory in Volatilities of CDS Spreads: Evidences from the Emerging Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 122-137, March.
• Elisabeta Jaba & Ioan-Bogdan Robu & Costel Istrate & Christiana Brigitte Balan & Mihai Roman, 2016, "Statistical Assessment of the Value Relevance of Financial Information Reported by Romanian Listed Companies," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 27-42, June.
• Chin Wen CHEONG & Lee Min CHERNG & Grace Lee Ching YAP, 2016, "Heterogeneous Market Hypothesis Evaluations using Various Jump-Robust Realized Volatility," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 50-64, December.
• Mateescu, Dan, 2016, "The Linear Regression Of Weighted Segments," Working Papers of Institute for Economic Forecasting, Institute for Economic Forecasting, number 160720, Jul.
• Ansgar Belke & Irina Dubova & Thomas Osowski, 2016, "Policy uncertainty and international financial markets: the case of Brexit," ROME Working Papers, ROME Network, number 201607, Jul.
• Davide De Gaetano, 2016, "Forecast Combinations For Realized Volatility In Presence Of Structural Breaks," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0208, Jun.
• Murat Midilic, 2016, "Estimation Of Star-Garch Models With Iteratively Weighted Least Squares," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 16/918, Jan.
• Joseph P. Hughes & Loretta J. Mester & Choon-Geol Moon, 2016, "Measuring Agency Costs and the Value of Investment Opportunities of U.S. Bank Holding Companies with Stochastic Frontier Estimation," Departmental Working Papers, Rutgers University, Department of Economics, number 201605, Jun.
• Joseph P. Hughes & Loretta J. Mester & Choon-Geol Moon, 2016, "Market Discipline Working for and Against Financial Stability: The Two Faces of Equity Capital in U.S. Commercial Banking," Departmental Working Papers, Rutgers University, Department of Economics, number 201611, Dec.
• Harsh Vardhan & Pankaj Sinha, 2016, "Influence of Foreign Institutional Investments (FIIs) on the Indian Stock Market: An Insight by VAR Models," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 15, issue 1, pages 49-83, April, DOI: 10.1177/0972652715623677.
• Narendra Bhana, 2016, "The Stock Market Reaction to Board Changes: The South African Experience," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 15, issue 3, pages 269-294, December, DOI: 10.1177/0972652716666459.
• Muneer Shaik & S. Maheswaran, 2016, "Modelling the Paradox in Stock Markets by Variance Ratio Volatility Estimator that Utilises Extreme Values of Asset Prices," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 15, issue 3, pages 333-361, December, DOI: 10.1177/0972652716666464.
• Jozef Baruník & Evžen KoÄ enda b,a & Lukáš Vácha, 2016, "Volatility Spillovers Across Petroleum Markets," The Energy Journal, , volume 37, issue 1, pages 136-158, January, DOI: 10.5547/01956574.37.1.jbar.
• Антонов И. Н. & Князев А. Г. & Лепёхин О. А., 2016, "Копулярные модели совместного распределения курсов валют. Copula models of the joint distribution of exchange rates," Мир экономики и управления // Вестник НГУ. Cерия: Cоциально-экономические науки, Socionet;Новосибирский государственный университет, volume 16, issue 4, pages 20-38.
• Fela Özbey & Erhan ??can & Mehmet Fatih Tra?, 2016, "How Do Exchange Rate Movements Affect Stock Prices? The Case of Turkey," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 3506112, Apr.
• Hasan A?an Karaduman, 2016, "Stylized Facts And Weak-Form Efficiency In Turkish Stock Market," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 4006651, Aug.
• Pawe? Kliber, 2016, "Portfolio analysis in jump-diffusion model with power-law tails," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 5306873, Nov.
• Cenk Gokce ADAS & Bibigul Tussupova, 2016, "Impact Of The Global Financial Crises On The Major Asian Countries And Usa Stock Markets And Inter-Linkages Among Them," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 3205838, Mar.
• Cenk Gokce ADAS, 2016, "Impact Of The Global Financial Crises On The Major Asian Countries And Usa Stock Markets And Inter-Linkages Among Them," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, volume 5, issue 1, pages 1-17, March.
• Santillán-Salgado, Roberto J. & Gurrola Ríos, César & López-Herrera, Francisco, 2016, "Evaluación del grado de integración de los principales mercados de capital europeos con un modelo Cópula-GARCH," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 6, issue 1, pages 9-36, enero-jun.
• Juan Carlos Cuestas & Ying Sophie Huang & Bo Tang, 2016, "Does the Yuan's Overseas Expansion Increase the Currency Exposure of Chinese Financial Firms?," Working Papers, The University of Sheffield, Department of Economics, number 2016006, Mar.
• Ming-Chu Chiang & I-Chun Tsai, 2016, "Ripple effect and contagious effect in the US regional housing markets," The Annals of Regional Science, Springer;Western Regional Science Association, volume 56, issue 1, pages 55-82, January, DOI: 10.1007/s00168-015-0718-5.
• Ming-Chu Chiang & I-Chun Tsai, 2016, "Ripple effect and contagious effect in the US regional housing markets," The Annals of Regional Science, Springer;Western Regional Science Association, volume 56, issue 1, pages 55-82, January, DOI: 10.1007/s00168-015-0718-5.
• Mehmet Fatih Öztek & Nadir Öcal, 2016, "The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets," Empirical Economics, Springer, volume 50, issue 2, pages 317-360, March, DOI: 10.1007/s00181-015-0943-x.
• Carl Lönnbark, 2016, "Asymmetry with respect to the memory in stock market volatilities," Empirical Economics, Springer, volume 50, issue 4, pages 1409-1419, June, DOI: 10.1007/s00181-015-0975-2.
• Jacques Peeperkorn & Yudhvir Seetharam, 2016, "A learning-augmented approach to pricing risk in South Africa," Eurasian Business Review, Springer;Eurasia Business and Economics Society, volume 6, issue 1, pages 117-139, April, DOI: 10.1007/s40821-015-0038-9.
• Rituparna Sen & Pulkit Mehrotra, 2016, "Modeling Jumps and Volatility of the Indian Stock Market Using High-Frequency Data," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 14, issue 1, pages 137-150, June, DOI: 10.1007/s40953-016-0028-5.
• Yeap, Claudia & Kwok, Simon S. & Choy, S. T. Boris, 2016, "A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases," Working Papers, University of Sydney, School of Economics, number 2016-14, Aug.
• Lumengo Bonga-Bonga & Ekerete Umoetok, 2016, "The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa," Applied Economics, Taylor & Francis Journals, volume 48, issue 42, pages 3999-4018, September, DOI: 10.1080/00036846.2016.1150948.
• Francesco Audrino & Simon D. Knaus, 2016, "Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics," Econometric Reviews, Taylor & Francis Journals, volume 35, issue 8-10, pages 1485-1521, December, DOI: 10.1080/07474938.2015.1092801.
• T. Roncalli & G. Weisang, 2016, "Risk parity portfolios with risk factors," Quantitative Finance, Taylor & Francis Journals, volume 16, issue 3, pages 377-388, March, DOI: 10.1080/14697688.2015.1046907.
• Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016, "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-006/III, Feb.
• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016, "Connecting VIX and Stock Index ETF," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-010/III, Feb, revised 23 Jan 2017.
• Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016, "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-014/III, Mar, revised 30 Jan 2017.
• Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2016, "Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-015/III, Mar.
• Istvan Barra & Siem Jan Koopman & Agnieszka Borowska, 2016, "Bayesian Dynamic Modeling of High-Frequency Integer Price Changes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-028/III, Apr, revised 16 Feb 2018.
• Shelton Peiris & Manabu Asai & Michael McAleer, 2016, "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-044/III, Jun.
• Chia-Lin Chang & Chia-Ping Liu & Michael McAleer, 2016, "Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-046/III, Jun.
• Chia-Lin Chang & Michael McAleer & Yanghuiting Wang, 2016, "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-047/III, Jun.
• Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2016, "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-052/III, Jul.
• Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2016, "Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-053/III, Jul.
• Peter Reinhard Hansen & Pawel Janus & Siem Jan Koopman, 2016, "Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-061/III, Aug.
• Manabu Asai & Michael McAleer, 2016, "A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-065/III, Aug.
• Andre Lucas & Anne Opschoor, 2016, "Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-069/IV, Sep, revised 07 Jul 2017.
• Manabu Asai & Michael McAleer, 2016, "Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-071/III, Sep.
• Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016, "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-076/III, Sep.
• Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger, 2016, "Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-082/III, Oct.
• David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2016, "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-084/III, Oct.
• Chia-Lin Chang & Michael McAleer, 2016, "A Simple Test for Causality in Volatility," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-094/III, Nov.
• Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2016, "Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-104/III, Nov.
• Falk Bräuning & Siem Jan Koopman, 2016, "The Dynamic Factor Network Model with an Application to Global Credit-Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-105/III, Nov.
• Siem Jan Koopman & André Lucas & Marcel Scharth, 2016, "Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models," The Review of Economics and Statistics, MIT Press, volume 98, issue 1, pages 97-110, March.
• Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016, "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-01, Feb.
• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016, "How are VIX and Stock Index ETF Related?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-02, Feb.
• Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016, "Modelling volatility spillovers for bio-ethanol, sugarcane and corn," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-03, Mar.
• Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2016, "Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-04, Mar.
• Shelton Peiris & Manabu Asai & Michael McAleer, 2016, "Estimating and forecasting generalized fractional Long memory stochastic volatility models," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-08, Jun.
• Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2016, "Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-09, Jun.
• Chia-Lin Chang & Michael McAleer & Yanghuiting Wang, 2016, "Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-10, Jun.
• Chia-Lin Chang & Michael McAleer & Chia-Ping Liu, 2016, "Volatility spillovers for spot, futures, and ETF prices in energy and agriculture," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-11, Jun.
• Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2016, "An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-12, Jun.
• Manabu Asai & Michael McAleer, 2016, "Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-14, Sep.
• Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016, "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-15, Sep.
• David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2016, "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-16, Oct.
• Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2016, "Tourism stocks in times of crises: An econometric investigation of non-macro factors," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-18, Nov.
• David E. Allen & Michael McAleer & Abhay K. Singh, 2016, "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2017-03, Dec.
• Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016, "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2017-04, Dec.
• Ahmad Monir Abdullah & Abul Mansur Mohammed Masih, 2016, "Diversification in Crude Oil and Other Commodities: A Comparative Analysis," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, volume 12, issue 1, pages 101-128.
• Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2016, "Networks in risk spillovers: a multivariate GARCH perspective," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2016:03.
• EMAMVERDI, Ghodratollah & KARIMI, Mohammad Sharif & KHAKIE, Sima & KARIMI, Mojtaba, 2016, "Forecasting The Total Index Of Tehran Stock Exchange," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 20, issue 1, pages 54-68.
• Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2016, "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 63, issue 3, pages 273-291.
• Marcin Chlebus, 2016, "One-Day Prediction of State of Turbulence for Portfolio. Models for Binary Dependent Variable," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2016-01.
• Ulrich Hounyo & Bezirgen Veliyev, 2016, "Validity of Edgeworth expansions for realized volatility estimators," Econometrics Journal, Royal Economic Society, volume 19, issue 1, pages 1-32, February.
• Cuestas, Juan Carlos & Tang, Bo, 2016, "Asymmetric Exchange Rate Exposure of Stock Returns: Empirical Evidence from Chinese Industries," RIEI Working Papers, Xi'an Jiaotong-Liverpool University, Research Institute for Economic Integration, number 2016-03, Apr.
• Böing, Tobias & Stadtmann, Georg, 2016, "Money growth and aggregate stock returns," Discussion Papers, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics, number 390.
• Barunik, Jozef & Krehlik, Tomas, 2016, "Measuring the frequency dynamics of financial and macroeconomic connectedness," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 54.
• Hofmann, Maurice & Rottmann, Horst, 2016, "Die Bewertung von Aktienanleihen mit Barriere: Eine Fallstudie für die Easy-Aktienanleihe der Deutschen Bank," Weidener Diskussionspapiere, University of Applied Sciences Amberg-Weiden (OTH), number 55.
• Raddant, Matthias & Wagner, Friedrich, 2016, "Multivariate GARCH for a large number of stocks," Kiel Working Papers, Kiel Institute for the World Economy, number 2049.
• Holtemöller, Oliver, 2016, "Agrarrohstoffpreise und Lebensmittelpreise in armen Ländern," Wirtschaft im Wandel, Halle Institute for Economic Research (IWH), volume 22, issue 1, pages 5-8.
• Bormann, Carsten & Schaumburg, Julia & Schienle, Melanie, 2016, "Beyond dimension two: A test for higher-order tail risk," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 80, DOI: 10.5445/IR/1000051814.
• Belke, Ansgar & Dubova, Irina & Osowski, Thomas, 2016, "Policy uncertainty and international financial markets: The case of Brexit," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 657, DOI: 10.4419/86788763.
• Caporin, Massimiliano & Kolokolov, Alexey & Renò, Roberto, 2016, "Systemic co-jumps," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 149, DOI: 10.2139/ssrn.2851811.
• Härdle, Wolfgang Karl & Nasekin, Sergey & Hong, Zhiwu, 2016, "Leveraged ETF options implied volatility paradox: A statistical study," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-004.
• Haas, Markus, 2016, "A note on optimal portfolios under regime-switching," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145493.
• Conrad, Christian & Loch, Karin, 2016, "Macroeconomic expectations and the time-varying stock-bond correlation: international evidence," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145530.
• Winker, Peter & Lütkepohl, Helmut & Staszewska-Bystrova, Anna, 2016, "Calculating Joint Bands for Impulse Response Functions using Highest Density Regions," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145537.
• 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.
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• 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, Centre for Economic Policy Research, number 11730, Dec.
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• 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.