Research classified by Journal of Economic Literature (JEL) codes

2015

• Zu, Y., 2015, "Consistent nonparametric specification tests for stochastic volatility models based on the return distribution," Working Papers, Department of Economics, City St George's, University of London, number 15/02.
• Arnade, Carlos & Hoffman, Linwood, 2015, "The Impact Of Price Variability On Cash/Futures Market Relationships: Implications For Market Efficiency And Price Discovery," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 47, issue 4, pages 539-559, November.
• Gourieroux, Christian (ed.), 2015, "Analyse et mesure du risque systémique," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/14985.
• Fredj Jawadi & Georges Prat, 2015, "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2015-16.
• Adam Goliński & João Madeira & Dooruj Rambaccussing, 2015, "Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee, number 284, Feb.
• Kutluk KaÄŸan SÃœMER, 2015, "Effectiveness of technical analysis indicators over stock return: A Panel Data Approach," Eurasian Eononometrics, Statistics and Emprical Economics Journal, Eurasian Academy Of Sciences, volume 1, issue 1, pages 43-56, February, DOI: 10.17740/eas.stat.2015.V1-04.
• Declerck , Francis & Indjehagopian , Jean-Pierre & Bellocq , Flavien, 2015, "Relation entre le prix du pétrole et les cours boursiers des grandes compagnies pétrolières mondiales," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1504, Feb.
• Chevillon, Guillaume & Hecq , Alain & Laurent, Sébastien, 2015, "Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1507, Jun.
• De Bruyckere, Valerie, 2015, "Systemic risk rankings and network centrality in the European banking sector," Working Paper Series, European Central Bank, number 1848, Sep.
• Fethi Belhaj & Ezzeddine Abaoub, 2015, "A Generalized Autoregressive Conditional Heteroskedasticity Examination of the Relationship between Trading Volume and Conditional Volatility in the Tunisian Stock Market: Evidence for the Information," International Journal of Economics and Financial Issues, Econjournals, volume 5, issue 2, pages 354-364.
• Haytem Ahmed Troug & Rashid Sbia, 2015, "Testing for the Presence of Asymmetric Information in the Oil Market: A Vector Autoregression Approach," International Journal of Economics and Financial Issues, Econjournals, volume 5, issue 3, pages 753-762.
• Haytem Ahmed Troug & Rashid Sbia, 2015, "The Relationship between Banking Competition and Stability in Developing Countries: The Case of Libya," International Journal of Economics and Financial Issues, Econjournals, volume 5, issue 3, pages 772-779.
• Berna Aydogan & Istemi Berk, 2015, "Crude Oil Price Shocks and Stock Returns: Evidences from Turkish Stock Market under Global Liquidity Conditions," International Journal of Energy Economics and Policy, Econjournals, volume 5, issue 1, pages 54-68.
• Saleh Mothana Obadi & Matej Korcek, 2015, "Investigation of Driving Forces of Energy Consumption in European Union 28 Countries," International Journal of Energy Economics and Policy, Econjournals, volume 5, issue 2, pages 422-432.
• Pasrun Adam & Usman Rianse & Edi Cahyono & Manat Rahim, 2015, "Modeling of the Dynamics Relationship between World Crude Oil Prices and the Stock Market in Indonesia," International Journal of Energy Economics and Policy, Econjournals, volume 5, issue 2, pages 550-557.
• Samet G nay, 2015, "Markov Regime Switching Generalized Autoregressive Conditional Heteroskedastic Model and Volatility Modeling for Oil Returns," International Journal of Energy Economics and Policy, Econjournals, volume 5, issue 4, pages 979-985.
• Mesut Bal bey, 2015, "Relationships among CO2 Emissions, Economic Growth and Foreign Direct Investment and the Environmental Kuznets Curve Hypothesis in Turkey," International Journal of Energy Economics and Policy, Econjournals, volume 5, issue 4, pages 1042-1049.
• Kumari, Jyoti & Mahakud, Jitendra, 2015, "Does investor sentiment predict the asset volatility? Evidence from emerging stock market India," Journal of Behavioral and Experimental Finance, Elsevier, volume 8, issue C, pages 25-39, DOI: 10.1016/j.jbef.2015.10.001.
• Liu, Xiaochun & Luger, Richard, 2015, "Unfolded GARCH models," Journal of Economic Dynamics and Control, Elsevier, volume 58, issue C, pages 186-217, DOI: 10.1016/j.jedc.2015.06.007.
• Boudreault, Mathieu & Gauthier, Geneviève & Thomassin, Tommy, 2015, "Estimation of correlations in portfolio credit risk models based on noisy security prices," Journal of Economic Dynamics and Control, Elsevier, volume 61, issue C, pages 334-349, DOI: 10.1016/j.jedc.2015.10.001.
• King, Daniel & Botha, Ferdi, 2015, "Modelling stock return volatility dynamics in selected African markets," Economic Modelling, Elsevier, volume 45, issue C, pages 50-73, DOI: 10.1016/j.econmod.2014.11.008.
• Friedman, Joseph & Shachmurove, Yochanan, 2015, "The responses of the prime rate to change in policies of the Federal Reserve," Economic Modelling, Elsevier, volume 46, issue C, pages 407-411, DOI: 10.1016/j.econmod.2014.12.042.
• Hoang, Thi-Hong-Van & Wong, Wing-Keung & Zhu, Zhenzhen, 2015, "Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange," Economic Modelling, Elsevier, volume 50, issue C, pages 200-211, DOI: 10.1016/j.econmod.2015.06.021.
• Billio, Monica & Caporin, Massimiliano & Costola, Michele, 2015, "Backward/forward optimal combination of performance measures for equity screening," The North American Journal of Economics and Finance, Elsevier, volume 34, issue C, pages 63-83, DOI: 10.1016/j.najef.2015.08.002.
• Hafner, Christian M. & Preminger, Arie, 2015, "An ARCH model without intercept," Economics Letters, Elsevier, volume 129, issue C, pages 13-17, DOI: 10.1016/j.econlet.2015.01.029.
• Bekiros, Stelios & Gupta, Rangan, 2015, "Predicting stock returns and volatility using consumption-aggregate wealth ratios: A nonlinear approach," Economics Letters, Elsevier, volume 131, issue C, pages 83-85, DOI: 10.1016/j.econlet.2015.03.019.
• Conrad, Christian & Loch, Karin, 2015, "The variance risk premium and fundamental uncertainty," Economics Letters, Elsevier, volume 132, issue C, pages 56-60, DOI: 10.1016/j.econlet.2015.04.006.
• Hansen, Peter Reinhard, 2015, "A martingale decomposition of discrete Markov chains," Economics Letters, Elsevier, volume 133, issue C, pages 14-18, DOI: 10.1016/j.econlet.2015.04.028.
• Herwartz, Helmut & Raters, Fabian H.C., 2015, "Copula-MGARCH with continuous covariance decomposition," Economics Letters, Elsevier, volume 133, issue C, pages 73-76, DOI: 10.1016/j.econlet.2015.05.023.
• Bao, Yong & Ullah, Aman & Wang, Yun & Yu, Jun, 2015, "Bias in the estimation of mean reversion in continuous-time Lévy processes," Economics Letters, Elsevier, volume 134, issue C, pages 16-19, DOI: 10.1016/j.econlet.2015.06.002.
• Krämer, Walter & Wied, Dominik, 2015, "A simple and focused backtest of value at risk," Economics Letters, Elsevier, volume 137, issue C, pages 29-31, DOI: 10.1016/j.econlet.2015.10.028.
• Francq, Christian & Zakoïan, Jean-Michel, 2015, "Risk-parameter estimation in volatility models," Journal of Econometrics, Elsevier, volume 184, issue 1, pages 158-173, DOI: 10.1016/j.jeconom.2014.06.019.
• Gençay, Ramazan & Signori, Daniele, 2015, "Multi-scale tests for serial correlation," Journal of Econometrics, Elsevier, volume 184, issue 1, pages 62-80, DOI: 10.1016/j.jeconom.2014.08.002.
• Fengler, Matthias R. & Hin, Lin-Yee, 2015, "Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints," Journal of Econometrics, Elsevier, volume 184, issue 2, pages 242-261, DOI: 10.1016/j.jeconom.2014.09.003.
• Calvet, Laurent E. & Czellar, Veronika, 2015, "Through the looking glass: Indirect inference via simple equilibria," Journal of Econometrics, Elsevier, volume 185, issue 2, pages 343-358, DOI: 10.1016/j.jeconom.2014.11.003.
• Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2015, "Risks of large portfolios," Journal of Econometrics, Elsevier, volume 186, issue 2, pages 367-387, DOI: 10.1016/j.jeconom.2015.02.015.
• Bücher, Axel & Jäschke, Stefan & Wied, Dominik, 2015, "Nonparametric tests for constant tail dependence with an application to energy and finance," Journal of Econometrics, Elsevier, volume 187, issue 1, pages 154-168, DOI: 10.1016/j.jeconom.2015.02.002.
• Shaliastovich, Ivan, 2015, "Learning, confidence, and option prices," Journal of Econometrics, Elsevier, volume 187, issue 1, pages 18-42, DOI: 10.1016/j.jeconom.2015.02.007.
• Liu, Lily Y. & Patton, Andrew J. & Sheppard, Kevin, 2015, "Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes," Journal of Econometrics, Elsevier, volume 187, issue 1, pages 293-311, DOI: 10.1016/j.jeconom.2015.02.008.
• Zu, Yang, 2015, "Nonparametric specification tests for stochastic volatility models based on volatility density," Journal of Econometrics, Elsevier, volume 187, issue 1, pages 323-344, DOI: 10.1016/j.jeconom.2015.02.045.
• Chang, Chia-Lin & McAleer, Michael, 2015, "Econometric analysis of financial derivatives: An overview," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 403-407, DOI: 10.1016/j.jeconom.2015.02.026.
• Aït-Sahalia, Yacine & Amengual, Dante & Manresa, Elena, 2015, "Market-based estimation of stochastic volatility models," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 418-435, DOI: 10.1016/j.jeconom.2015.02.028.
• Baldovin, Fulvio & Caporin, Massimiliano & Caraglio, Michele & Stella, Attilio L. & Zamparo, Marco, 2015, "Option pricing with non-Gaussian scaling and infinite-state switching volatility," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 486-497, DOI: 10.1016/j.jeconom.2015.02.033.
• Eraker, Bjørn & Wang, Jiakou, 2015, "A non-linear dynamic model of the variance risk premium," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 547-556, DOI: 10.1016/j.jeconom.2015.02.038.
• Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2015, "Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 557-579, DOI: 10.1016/j.jeconom.2015.02.039.
• Duong, Diep & Swanson, Norman R., 2015, "Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 606-621, DOI: 10.1016/j.jeconom.2015.02.042.
• Fengler, M.R. & Mammen, E. & Vogt, M., 2015, "Specification and structural break tests for additive models with applications to realized variance data," Journal of Econometrics, Elsevier, volume 188, issue 1, pages 196-218, DOI: 10.1016/j.jeconom.2015.04.002.
• Ling, Shiqing & McAleer, Michael & Tong, Howell, 2015, "Frontiers in Time Series and Financial Econometrics: An overview," Journal of Econometrics, Elsevier, volume 189, issue 2, pages 245-250, DOI: 10.1016/j.jeconom.2015.03.019.
• Asai, Manabu & McAleer, Michael, 2015, "Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance," Journal of Econometrics, Elsevier, volume 189, issue 2, pages 251-262, DOI: 10.1016/j.jeconom.2015.03.020.
• Cai, Zongwu & Juhl, Ted & Yang, Bingduo, 2015, "Functional index coefficient models with variable selection," Journal of Econometrics, Elsevier, volume 189, issue 2, pages 272-284, DOI: 10.1016/j.jeconom.2015.03.022.
• Kal, Süleyman Hilmi & Arslaner, Ferhat & Arslaner, Nuran, 2015, "The dynamic relationship between stock, bond and foreign exchange markets," Economic Systems, Elsevier, volume 39, issue 4, pages 592-607, DOI: 10.1016/j.ecosys.2015.03.002.
• Ornelas, Jose Renato Haas & Silva Jr., Antonio Francisco de Almeida, 2015, "Testing the liquidity preference hypothesis using survey forecasts," Emerging Markets Review, Elsevier, volume 23, issue C, pages 173-185, DOI: 10.1016/j.ememar.2015.04.006.
• Mensi, Walid & Hammoudeh, Shawkat & Reboredo, Juan C. & Nguyen, Duc Khuong, 2015, "Are Sharia stocks, gold and U.S. Treasury hedges and/or safe havens for the oil-based GCC markets?," Emerging Markets Review, Elsevier, volume 24, issue C, pages 101-121, DOI: 10.1016/j.ememar.2015.05.007.
• De Lira Salvatierra, Irving & Patton, Andrew J., 2015, "Dynamic copula models and high frequency data," Journal of Empirical Finance, Elsevier, volume 30, issue C, pages 120-135, DOI: 10.1016/j.jempfin.2014.11.008.
• Bekiros, Stelios D., 2015, "Heuristic learning in intraday trading under uncertainty," Journal of Empirical Finance, Elsevier, volume 30, issue C, pages 34-49, DOI: 10.1016/j.jempfin.2014.11.002.
• Grassi, Stefano & Santucci de Magistris, Paolo, 2015, "It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model," Journal of Empirical Finance, Elsevier, volume 30, issue C, pages 62-78, DOI: 10.1016/j.jempfin.2014.11.007.
• Frijns, Bart & Indriawan, Ivan & Tourani-Rad, Alireza, 2015, "Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms," Journal of Empirical Finance, Elsevier, volume 32, issue C, pages 35-48, DOI: 10.1016/j.jempfin.2014.05.001.
• BenSaïda, Ahmed, 2015, "The frequency of regime switching in financial market volatility," Journal of Empirical Finance, Elsevier, volume 32, issue C, pages 63-79, DOI: 10.1016/j.jempfin.2015.03.005.
• Chatzikonstanti, Vasiliki & Venetis, Ioannis A., 2015, "Long memory in log-range series: Do structural breaks matter?," Journal of Empirical Finance, Elsevier, volume 33, issue C, pages 104-113, DOI: 10.1016/j.jempfin.2015.06.003.
• Cipollini, Andrea & Cascio, Iolanda Lo & Muzzioli, Silvia, 2015, "Volatility co-movements: A time-scale decomposition analysis," Journal of Empirical Finance, Elsevier, volume 34, issue C, pages 34-44, DOI: 10.1016/j.jempfin.2015.08.005.
• Nolte, Ingmar & Xu, Qi, 2015, "The economic value of volatility timing with realized jumps," Journal of Empirical Finance, Elsevier, volume 34, issue C, pages 45-59, DOI: 10.1016/j.jempfin.2015.03.019.
• He, Ling T. & Casey, K.M., 2015, "Forecasting ability of the investor sentiment endurance index: The case of oil service stock returns and crude oil prices," Energy Economics, Elsevier, volume 47, issue C, pages 121-128, DOI: 10.1016/j.eneco.2014.11.005.
• Paraschiv, Florentina & Fleten, Stein-Erik & Schürle, Michael, 2015, "A spot-forward model for electricity prices with regime shifts," Energy Economics, Elsevier, volume 47, issue C, pages 142-153, DOI: 10.1016/j.eneco.2014.11.003.
• Ziel, Florian & Steinert, Rick & Husmann, Sven, 2015, "Efficient modeling and forecasting of electricity spot prices," Energy Economics, Elsevier, volume 47, issue C, pages 98-111, DOI: 10.1016/j.eneco.2014.10.012.
• Reboredo, Juan C., 2015, "Is there dependence and systemic risk between oil and renewable energy stock prices?," Energy Economics, Elsevier, volume 48, issue C, pages 32-45, DOI: 10.1016/j.eneco.2014.12.009.
• Khalfaoui, R. & Boutahar, M. & Boubaker, H., 2015, "Analyzing volatility spillovers and hedging between oil and stock markets: Evidence from wavelet analysis," Energy Economics, Elsevier, volume 49, issue C, pages 540-549, DOI: 10.1016/j.eneco.2015.03.023.
• Narayan, Paresh Kumar & Liu, Ruipeng, 2015, "A unit root model for trending time-series energy variables," Energy Economics, Elsevier, volume 50, issue C, pages 391-402, DOI: 10.1016/j.eneco.2014.11.021.
• Ziel, Florian & Steinert, Rick & Husmann, Sven, 2015, "Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets," Energy Economics, Elsevier, volume 51, issue C, pages 430-444, DOI: 10.1016/j.eneco.2015.08.005.
• Du, Limin & He, Yanan, 2015, "Extreme risk spillovers between crude oil and stock markets," Energy Economics, Elsevier, volume 51, issue C, pages 455-465, DOI: 10.1016/j.eneco.2015.08.007.
• Bouri, Elie, 2015, "Oil volatility shocks and the stock markets of oil-importing MENA economies: A tale from the financial crisis," Energy Economics, Elsevier, volume 51, issue C, pages 590-598, DOI: 10.1016/j.eneco.2015.09.002.
• Youssef, Manel & Belkacem, Lotfi & Mokni, Khaled, 2015, "Value-at-Risk estimation of energy commodities: A long-memory GARCH–EVT approach," Energy Economics, Elsevier, volume 51, issue C, pages 99-110, DOI: 10.1016/j.eneco.2015.06.010.
• Benth, Fred Espen & Koekebakker, Steen, 2015, "Pricing of forwards and other derivatives in cointegrated commodity markets," Energy Economics, Elsevier, volume 52, issue PA, pages 104-117, DOI: 10.1016/j.eneco.2015.09.009.
• Nazlioglu, Saban & Soytas, Ugur & Gupta, Rangan, 2015, "Oil prices and financial stress: A volatility spillover analysis," Energy Policy, Elsevier, volume 82, issue C, pages 278-288, DOI: 10.1016/j.enpol.2015.01.003.
• Khalifa, Ahmed & Caporin, Massimiliano & Hammoudeh, Shawkat, 2015, "Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle," Energy Policy, Elsevier, volume 87, issue C, pages 72-82, DOI: 10.1016/j.enpol.2015.08.039.
• Bertrand, Philippe & Lapointe, Vincent, 2015, "How performance of risk-based strategies is modified by socially responsible investment universe?," International Review of Financial Analysis, Elsevier, volume 38, issue C, pages 175-190, DOI: 10.1016/j.irfa.2014.11.009.
• Syriopoulos, Theodore & Makram, Beljid & Boubaker, Adel, 2015, "Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis," International Review of Financial Analysis, Elsevier, volume 39, issue C, pages 7-18, DOI: 10.1016/j.irfa.2015.01.015.
• Bampinas, Georgios & Panagiotidis, Theodore, 2015, "Are gold and silver a hedge against inflation? A two century perspective," International Review of Financial Analysis, Elsevier, volume 41, issue C, pages 267-276, DOI: 10.1016/j.irfa.2015.02.007.
• Goodell, John W. & McGroarty, Frank & Urquhart, Andrew, 2015, "Political uncertainty and the 2012 US presidential election: A cointegration study of prediction markets, polls and a stand-out expert," International Review of Financial Analysis, Elsevier, volume 42, issue C, pages 162-171, DOI: 10.1016/j.irfa.2015.05.003.
• Narayan, Seema & Smyth, Russell, 2015, "The financial econometrics of price discovery and predictability," International Review of Financial Analysis, Elsevier, volume 42, issue C, pages 380-393, DOI: 10.1016/j.irfa.2015.09.003.
• Laurini, Márcio Poletti & Mauad, Roberto Baltieri, 2015, "A common jump factor stochastic volatility model," Finance Research Letters, Elsevier, volume 12, issue C, pages 2-10, DOI: 10.1016/j.frl.2014.12.009.
• Nguyen, Duc Khuong & Sousa, Ricardo M. & Uddin, Gazi Salah, 2015, "Testing for asymmetric causality between U.S. equity returns and commodity futures returns," Finance Research Letters, Elsevier, volume 12, issue C, pages 38-47, DOI: 10.1016/j.frl.2014.12.002.
• Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun, 2015, "Effects of macroeconomic uncertainty on the stock and bond markets," Finance Research Letters, Elsevier, volume 13, issue C, pages 10-16, DOI: 10.1016/j.frl.2015.03.008.
• Alemany, Aida & Ballester, Laura & González-Urteaga, Ana, 2015, "Volatility spillovers in the European bank CDS market," Finance Research Letters, Elsevier, volume 13, issue C, pages 137-147, DOI: 10.1016/j.frl.2015.02.003.
• Boudt, Kris & Lu, Wanbo & Peeters, Benedict, 2015, "Higher order comoments of multifactor models and asset allocation," Finance Research Letters, Elsevier, volume 13, issue C, pages 225-233, DOI: 10.1016/j.frl.2014.12.008.
• Han, Jihun & Park, Hyungbin, 2015, "The intrinsic bounds on the risk premium of Markovian pricing kernels," Finance Research Letters, Elsevier, volume 13, issue C, pages 36-44, DOI: 10.1016/j.frl.2015.03.005.
• De Moor, Lieven & Sercu, Piet, 2015, "Measuring the impact of extreme observations on CAPM alphas: Some methodological issues," Finance Research Letters, Elsevier, volume 15, issue C, pages 1-10, DOI: 10.1016/j.frl.2014.05.002.
• Ferrer, Alex & Casals, José & Sotoca, Sonia, 2015, "Sample dependency during unconditional credit capital estimation," Finance Research Letters, Elsevier, volume 15, issue C, pages 175-186, DOI: 10.1016/j.frl.2015.09.008.
• Mazza, Paolo & Petitjean, Mikael, 2015, "How integrated is the European carbon derivatives market?," Finance Research Letters, Elsevier, volume 15, issue C, pages 18-30, DOI: 10.1016/j.frl.2015.07.005.
• Ferrer, Alex & Casals, José & Sotoca, Sonia, 2015, "Capital cyclicality, conditional coverage and long-term capital assessment," Finance Research Letters, Elsevier, volume 15, issue C, pages 246-256, DOI: 10.1016/j.frl.2015.10.009.
• Fengler, Matthias R. & Hin, Lin-Yee, 2015, "A simple and general approach to fitting the discount curve under no-arbitrage constraints," Finance Research Letters, Elsevier, volume 15, issue C, pages 78-84, DOI: 10.1016/j.frl.2015.08.006.
• Novotný, Jan & Petrov, Dmitri & Urga, Giovanni, 2015, "Trading price jump clusters in foreign exchange markets," Journal of Financial Markets, Elsevier, volume 24, issue C, pages 66-92, DOI: 10.1016/j.finmar.2015.03.002.
• Kadilli, Anjeza, 2015, "Predictability of stock returns of financial companies and the role of investor sentiment: A multi-country analysis," Journal of Financial Stability, Elsevier, volume 21, issue C, pages 26-45, DOI: 10.1016/j.jfs.2015.09.004.
• Angelidis, Timotheos & Degiannakis, Stavros & Filis, George, 2015, "US stock market regimes and oil price shocks," Global Finance Journal, Elsevier, volume 28, issue C, pages 132-146, DOI: 10.1016/j.gfj.2015.01.006.
• Karl Härdle, Wolfgang & López-Cabrera, Brenda & Teng, Huei-Wen, 2015, "State price densities implied from weather derivatives," Insurance: Mathematics and Economics, Elsevier, volume 64, issue C, pages 106-125, DOI: 10.1016/j.insmatheco.2015.05.001.
• Scholz, Michael & Nielsen, Jens Perch & Sperlich, Stefan, 2015, "Nonparametric prediction of stock returns based on yearly data: The long-term view," Insurance: Mathematics and Economics, Elsevier, volume 65, issue C, pages 143-155, DOI: 10.1016/j.insmatheco.2015.09.011.
• Nneji, Ogonna, 2015, "Liquidity shocks and stock bubbles," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 35, issue C, pages 132-146, DOI: 10.1016/j.intfin.2014.12.010.
• Yunus, Nafeesa, 2015, "Trends and convergence in global housing markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 36, issue C, pages 100-112, DOI: 10.1016/j.intfin.2014.12.008.
• Carroll, Rachael & Kearney, Colm, 2015, "Testing the mixture of distributions hypothesis on target stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 39, issue C, pages 1-14, DOI: 10.1016/j.intfin.2015.05.003.
• Lin, Li & Surti, Jay, 2015, "Capital requirements for over-the-counter derivatives central counterparties," Journal of Banking & Finance, Elsevier, volume 52, issue C, pages 140-155, DOI: 10.1016/j.jbankfin.2014.08.015.
• Siburg, Karl Friedrich & Stoimenov, Pavel & Weiß, Gregor N.F., 2015, "Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates," Journal of Banking & Finance, Elsevier, volume 54, issue C, pages 129-140, DOI: 10.1016/j.jbankfin.2015.01.012.
• Weiß, Gregor N.F. & Scheffer, Marcus, 2015, "Mixture pair-copula-constructions," Journal of Banking & Finance, Elsevier, volume 54, issue C, pages 175-191, DOI: 10.1016/j.jbankfin.2015.01.008.
• Gençay, Ramazan & Signori, Daniele & Xue, Yi & Yu, Xiao & Zhang, Keyi, 2015, "Economic links and credit spreads," Journal of Banking & Finance, Elsevier, volume 55, issue C, pages 157-169, DOI: 10.1016/j.jbankfin.2015.02.007.
• Mittnik, Stefan & Robinzonov, Nikolay & Spindler, Martin, 2015, "Stock market volatility: Identifying major drivers and the nature of their impact," Journal of Banking & Finance, Elsevier, volume 58, issue C, pages 1-14, DOI: 10.1016/j.jbankfin.2015.04.003.
• Choi, Jaehyung & Kim, Young Shin & Mitov, Ivan, 2015, "Reward-risk momentum strategies using classical tempered stable distribution," Journal of Banking & Finance, Elsevier, volume 58, issue C, pages 194-213, DOI: 10.1016/j.jbankfin.2015.05.002.
• Guillaume, F., 2015, "The LIX: A model-independent liquidity index," Journal of Banking & Finance, Elsevier, volume 58, issue C, pages 214-231, DOI: 10.1016/j.jbankfin.2015.04.015.
• Leccadito, Arturo & Tunaru, Radu S. & Urga, Giovanni, 2015, "Trading strategies with implied forward credit default swap spreads," Journal of Banking & Finance, Elsevier, volume 58, issue C, pages 361-375, DOI: 10.1016/j.jbankfin.2015.04.018.
• Byun, Suk Joon & Jeon, Byoung Hyun & Min, Byungsun & Yoon, Sun-Joong, 2015, "The role of the variance premium in Jump-GARCH option pricing models," Journal of Banking & Finance, Elsevier, volume 59, issue C, pages 38-56, DOI: 10.1016/j.jbankfin.2015.05.009.
• Tian, Shuairu & Hamori, Shigeyuki, 2015, "Modeling interest rate volatility: A Realized GARCH approach," Journal of Banking & Finance, Elsevier, volume 61, issue C, pages 158-171, DOI: 10.1016/j.jbankfin.2015.09.008.
• Audrino, Francesco & Fengler, Matthias R., 2015, "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Journal of Banking & Finance, Elsevier, volume 61, issue C, pages 46-63, DOI: 10.1016/j.jbankfin.2015.08.018.
• Jiang, Liang & Phillips, Peter C.B. & Yu, Jun, 2015, "New methodology for constructing real estate price indices applied to the Singapore residential market," Journal of Banking & Finance, Elsevier, volume 61, issue S2, pages 121-131, DOI: 10.1016/j.jbankfin.2015.08.026.
• He, Zhongzhi (Lawrence) & Zhu, Jie & Zhu, Xiaoneng, 2015, "Multi-factor volatility and stock returns," Journal of Banking & Finance, Elsevier, volume 61, issue S2, pages 132-149, DOI: 10.1016/j.jbankfin.2015.09.013.
• Preve, Daniel, 2015, "Linear programming-based estimators in nonnegative autoregression," Journal of Banking & Finance, Elsevier, volume 61, issue S2, pages 225-234, DOI: 10.1016/j.jbankfin.2015.08.010.
• Dark, Jonathan, 2015, "Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH," Journal of Banking & Finance, Elsevier, volume 61, issue S2, pages 269-285, DOI: 10.1016/j.jbankfin.2015.08.017.
• Jotikasthira, Chotibhak & Le, Anh & Lundblad, Christian, 2015, "Why do term structures in different currencies co-move?," Journal of Financial Economics, Elsevier, volume 115, issue 1, pages 58-83, DOI: 10.1016/j.jfineco.2014.09.004.
• Segal, Gill & Shaliastovich, Ivan & Yaron, Amir, 2015, "Good and bad uncertainty: Macroeconomic and financial market implications," Journal of Financial Economics, Elsevier, volume 117, issue 2, pages 369-397, DOI: 10.1016/j.jfineco.2015.05.004.
• Aït-Sahalia, Yacine & Cacho-Diaz, Julio & Laeven, Roger J.A., 2015, "Modeling financial contagion using mutually exciting jump processes," Journal of Financial Economics, Elsevier, volume 117, issue 3, pages 585-606, DOI: 10.1016/j.jfineco.2015.03.002.
• Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2015, "Regression-based estimation of dynamic asset pricing models," Journal of Financial Economics, Elsevier, volume 118, issue 2, pages 211-244, DOI: 10.1016/j.jfineco.2015.07.004.
• Becker, Christoph & Schmidt, Wolfgang M., 2015, "How past market movements affect correlation and volatility," Journal of International Money and Finance, Elsevier, volume 50, issue C, pages 78-107, DOI: 10.1016/j.jimonfin.2014.09.003.
• Reboredo, Juan C. & Ugolini, Andrea, 2015, "Systemic risk in European sovereign debt markets: A CoVaR-copula approach," Journal of International Money and Finance, Elsevier, volume 51, issue C, pages 214-244, DOI: 10.1016/j.jimonfin.2014.12.002.
• Liu, Fang & Sercu, Piet & Vandebroek, Martina, 2015, "Orthogonalized regressors and spurious precision, with an application to currency exposures," Journal of International Money and Finance, Elsevier, volume 51, issue C, pages 245-263, DOI: 10.1016/j.jimonfin.2014.11.008.
• Boffelli, Simona & Urga, Giovanni, 2015, "Macroannouncements, bond auctions and rating actions in the European government bond spreads," Journal of International Money and Finance, Elsevier, volume 53, issue C, pages 148-173, DOI: 10.1016/j.jimonfin.2015.01.004.
• Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2015, "Intra-daily volatility spillovers in international stock markets," Journal of International Money and Finance, Elsevier, volume 53, issue C, pages 95-114, DOI: 10.1016/j.jimonfin.2015.01.002.
• Ubukata, Masato & Watanabe, Toshiaki, 2015, "Evaluating the performance of futures hedging using multivariate realized volatility," Journal of the Japanese and International Economies, Elsevier, volume 38, issue C, pages 148-171, DOI: 10.1016/j.jjie.2015.07.001.
• Sensoy, Ahmet & Hacihasanoglu, Erk & Nguyen, Duc Khuong, 2015, "Dynamic convergence of commodity futures: Not all types of commodities are alike," Resources Policy, Elsevier, volume 44, issue C, pages 150-160, DOI: 10.1016/j.resourpol.2015.03.001.
• Nicolau, Mihaela & Palomba, Giulio, 2015, "Dynamic relationships between spot and futures prices. The case of energy and gold commodities," Resources Policy, Elsevier, volume 45, issue C, pages 130-143, DOI: 10.1016/j.resourpol.2015.04.004.
• Yilmaz, Mustafa K. & Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk, 2015, "Cross-sectoral interactions in Islamic equity markets," Pacific-Basin Finance Journal, Elsevier, volume 32, issue C, pages 1-20, DOI: 10.1016/j.pacfin.2014.12.008.
• He, Zhongzhi (Lawrence) & Zhu, Jie & Zhu, Xiaoneng, 2015, "Dynamic factors and asset pricing: International and further U.S. evidence," Pacific-Basin Finance Journal, Elsevier, volume 32, issue C, pages 21-39, DOI: 10.1016/j.pacfin.2015.02.002.
• Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur. M., 2015, "Combining momentum, value, and quality for the Islamic equity portfolio: Multi-style rotation strategies using augmented Black Litterman factor model," Pacific-Basin Finance Journal, Elsevier, volume 34, issue C, pages 205-232, DOI: 10.1016/j.pacfin.2014.12.006.
• Mohamed, Hisham Hanifa & Masih, Mansur & Bacha, Obiyathulla I., 2015, "Why do issuers issue Sukuk or conventional bond? Evidence from Malaysian listed firms using partial adjustment models," Pacific-Basin Finance Journal, Elsevier, volume 34, issue C, pages 233-252, DOI: 10.1016/j.pacfin.2015.02.004.
• Agiakloglou, Christos & Gkouvakis, Michail, 2015, "Causal interrelations among market fundamentals: Evidence from the European Telecommunications sector," The Quarterly Review of Economics and Finance, Elsevier, volume 55, issue C, pages 150-159, DOI: 10.1016/j.qref.2014.07.001.
• Chen, Hong-Yi & Lee, Alice C. & Lee, Cheng-Few, 2015, "Alternative errors-in-variables models and their applications in finance research," The Quarterly Review of Economics and Finance, Elsevier, volume 58, issue C, pages 213-227, DOI: 10.1016/j.qref.2014.12.002.
• Halari, Anwar & Tantisantiwong, Nongnuch & Power, David. M. & Helliar, Christine, 2015, "Islamic calendar anomalies: Evidence from Pakistani firm-level data," The Quarterly Review of Economics and Finance, Elsevier, volume 58, issue C, pages 64-73, DOI: 10.1016/j.qref.2015.02.004.
• Gospodinov, Nikolay & Jamali, Ibrahim, 2015, "The response of stock market volatility to futures-based measures of monetary policy shocks," International Review of Economics & Finance, Elsevier, volume 37, issue C, pages 42-54, DOI: 10.1016/j.iref.2014.11.001.
• Chen, Qian & Lv, Xin, 2015, "The extreme-value dependence between the crude oil price and Chinese stock markets," International Review of Economics & Finance, Elsevier, volume 39, issue C, pages 121-132, DOI: 10.1016/j.iref.2015.03.007.
• Hammoudeh, Shawkat & McAleer, Michael, 2015, "Advances in financial risk management and economic policy uncertainty: An overview," International Review of Economics & Finance, Elsevier, volume 40, issue C, pages 1-7, DOI: 10.1016/j.iref.2015.02.001.
• Chang, Chia-Lin, 2015, "Modelling a latent daily Tourism Financial Conditions Index," International Review of Economics & Finance, Elsevier, volume 40, issue C, pages 113-126, DOI: 10.1016/j.iref.2015.02.006.
• Li, Johnny Siu-Hang & Ng, Andrew C.Y. & Chan, Wai-Sum, 2015, "Managing financial risk in Chinese stock markets: Option pricing and modeling under a multivariate threshold autoregression," International Review of Economics & Finance, Elsevier, volume 40, issue C, pages 217-230, DOI: 10.1016/j.iref.2015.02.022.
• Almeida, Fernanda Dantas & Divino, José Angelo, 2015, "Determinants of the banking spread in the Brazilian economy: The role of micro and macroeconomic factors," International Review of Economics & Finance, Elsevier, volume 40, issue C, pages 29-39, DOI: 10.1016/j.iref.2015.02.003.
• Caporin, Massimiliano & Velo, Gabriel G., 2015, "Realized range volatility forecasting: Dynamic features and predictive variables," International Review of Economics & Finance, Elsevier, volume 40, issue C, pages 98-112, DOI: 10.1016/j.iref.2015.02.021.
• Ismail, Ashraf & Oh, Seunghack & Arsyad, Nuruzzaman, 2015, "Split ratings and debt-signaling in bond markets: A note," Review of Financial Economics, Elsevier, volume 24, issue C, pages 36-41, DOI: 10.1016/j.rfe.2014.12.003.
• Peláez, Rolando F., 2015, "Market-timing the business cycle," Review of Financial Economics, Elsevier, volume 26, issue C, pages 55-64, DOI: 10.1016/j.rfe.2015.03.003.
• Brière, Marie & Szafarz, Ariane, 2015, "Does Commercial Microfinance Belong to the Financial Sector? Lessons from the Stock Market," World Development, Elsevier, volume 67, issue C, pages 110-125, DOI: 10.1016/j.worlddev.2014.10.007.
• Joshua C.C. Chan, 2015, "The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2015-07, Mar.
• Karol Szafranek, 2015, "Financialisation of the commodity markets. Conclusions from the VARX DCC GARCH," EcoMod2015, EcoMod, number 8554, Jul.
• Kamil Makiel, 2015, "Portfolio diversification during monetary loosening policy," Journal of Risk Finance, Emerald Group Publishing Limited, volume 16, issue 2, pages 197-214, March, DOI: 10.1108/JRF-08-2014-0121.
• Asai, M. & McAleer, M.J., 2015, "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2015-06, Feb.
• Ling, S. & McAleer, M.J. & Tong, H., 2015, "Frontiers in Time Series and Financial Econometrics," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2015-07, Feb.
• Martinet, G.G. & McAleer, M.J., 2015, "On the Invertibility of EGARCH(p,q)," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2015-12, Feb.
• Chang, C-L. & Li, Y. & McAleer, M.J., 2015, "Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2015-18, Jun.
• Allen, D.E. & McAleer, M.J. & Powell, R.J. & Singh, A.K., 2015, "Multivariate Volatility Impulse Response Analysis of GFC News Events," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2015-22, Jul.
• McAleer, M.J., 2015, "The Fundamental Equation in Tourism Finance," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2015-35, Nov.
• Antoniade Ciprian ALEXANDRU & Nicoleta CARAGEA, 2015, "The Capital Markets Research Based on the Financial Quantitative Models," Eco-Economics Review, Ecological University of Bucharest, Economics Faculty and Ecology and Environmental Protection Faculty, volume 1, issue 1, pages 3-16, June.
• Michal Adam & Piotr Banbula & Michal Markun, 2015, "International Dependence and Contagion across Asset Classes: The Case of Poland," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 65, issue 3, pages 254-270, May.
• Sercan Demiralay & Selcuk Bayraci, 2015, "Central and Eastern European Stock Exchanges under Stress: A Range-Based Volatility Spillover Framework," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 65, issue 5, pages 411-430, October.
• Dejan Zivkov & Jovan Njegic & Ivan Milenkovic, 2015, "Bidirectional Volatility Spillover Effect between the Exchange Rate and Stocks in the Presence of Structural Breaks in Selected Eastern European Economies," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 65, issue 6, pages 477-498, December.
• Roman Horváth & Boril Sopov, 2015, "GARCH Models, Tail Indexes and Error Distributions: An Empirical Investigation," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2015/09, May, revised May 2015.
• Andrea Bastianin & Matteo Manera, 2015, "Oil and Macroeconomic Uncertianty," Review of Environment, Energy and Economics - Re3, Fondazione Eni Enrico Mattei, June.
• Andrea Bastianin & Matteo Manera, 2015, "How Does Stock Market Volatility React to Oil Shocks?," Working Papers, Fondazione Eni Enrico Mattei, number 2014.110, Jan.
• Claire Gavard & Djamel Kirat, 2015, "Flexibility in the Market for International Carbon Credits and Price. Dynamics Difference with European Allowances," Working Papers, Fondazione Eni Enrico Mattei, number 2015.03, Jan.
• Andrea Bastianin & Francesca Conti & Matteo Manera, 2015, "The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries," Working Papers, Fondazione Eni Enrico Mattei, number 2015.99, Oct.
• Michael B. Gordy & Pawel J. Szerszen, 2015, "Bayesian Estimation of Time-Changed Default Intensity Models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-2, Jan, DOI: 10.17016/FEDS.2015.002.
• Dong Hwan Oh & Andrew J. Patton, 2015, "High-Dimensional Copula-Based Distributions with Mixed Frequency Data," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-50, May, DOI: 10.17016/FEDS.2015.050.
• Fernando M. Duarte & Carlo Rosa, 2015, "The equity risk premium: a review of models," Economic Policy Review, Federal Reserve Bank of New York, issue 2, pages 39-57.
• Fernando M. Duarte & Carlo Rosa, 2015, "The equity risk premium: a review of models," Staff Reports, Federal Reserve Bank of New York, number 714, Feb.
• Cecilia Mancini, 2015, "Truncated Realized Covariance when prices have infinite variation jumps," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2015-02, Apr.
• Michael McAleer, 2015, "The Fundamental Equation in Tourism Finance," JRFM, MDPI, volume 8, issue 4, pages 1-6, December.
• Mário Augusto & Rui Pascoal & Ana Margarida Monteiro, 2015, "Size Distribution of Portuguese Firms between 2006 and 2012," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2015-04, Feb.
• Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015, "Efficient Skewness/Semivariance Portfolios," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2015-05, Mar.
• Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015, "Portfolio Management With Higher Moments: The Cardinality Impact," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2015-15, Jul.
• Antoine Kornprobst & Raphaël Douady, 2015, "A Pratical Approach to Financial Crisis Indicators Based on Random Matrices," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-01169307, May.
• Fredj Jawadi & Georges Prat, 2015, "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," Working paper serie RMT - Grenoble Ecole de Management, HAL, number hal-04141411.
• Paolo Mazza & Mikael Petitjean, 2015, "How integrated is the European carbon derivatives market?," Post-Print, HAL, number hal-01526028, Nov, DOI: 10.1016/j.frl.2015.07.005.
• Philippe Bertrand & Vincent Lapointe, 2015, "How performance of risk-based strategies is modified by socially responsible investment universe?," Post-Print, HAL, number hal-01833066, Mar, DOI: 10.1016/j.irfa.2014.11.009.
• Thi-Hong-Van Hoang & Wing-Keung Wong & Zhenzhen Zhu, 2015, "Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange," Post-Print, HAL, number hal-02010732, Nov, DOI: 10.1016/j.econmod.2015.06.021.
• Laurent E. Calvet & Veronika Czellar, 2015, "Through the Looking Glass : Indirect Inference via Simple Equilibria," Post-Print, HAL, number hal-02313236, Apr, DOI: 10.1016/j.jeconom.2014.11.003.
• Antoine Kornprobst & Raphaël Douady, 2015, "A Pratical Approach to Financial Crisis Indicators Based on Random Matrices," Post-Print, HAL, number halshs-01169307, May.
• Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2015, "Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence," Working Papers, HAL, number hal-01158524, May.
• Fredj Jawadi & Georges Prat, 2015, "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," Working Papers, HAL, number hal-04141411.
• Anne Péguin-Feissolle & Bilel Sanhaji, 2015, "Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix)," Working Papers, HAL, number halshs-01133751, Mar.
• Alexander N. Bogin & Stephen D. Bruestle & William M. Doerner, 2015, "How Low Can House Prices Go? Estimating a Conservative Lower Bound," FHFA Staff Working Papers, Federal Housing Finance Agency, number 15-01, May, DOI: 10.1007/s11146-015-9538-8.
• Nordvig, Jens, 2015, "Legal Risk Premia During the Euro-Crisis: The Role of Credit and Redenomination Risk," Discussion Papers on Economics, University of Southern Denmark, Department of Economics, number 10/2015, May.
• Brännäs, Kurt & Machava, Agostinho, 2015, "Time Series Modelling of Daily Metical/Rand Exchange Rate Returns, 1996-2014," Umeå Economic Studies, Umeå University, Department of Economics, number 909, May.
• Machava, Agostinho & Brännäs, Kurt, 2015, "Mozambican Monetary Policy and the Yield Curve of Treasury Bills - An Empirical Study," Umeå Economic Studies, Umeå University, Department of Economics, number 918, Dec.
• Ishihara, Tsunehiro, 2015, "Estimation of Generalized Realized Stochastic Volatility Model: An Application to Calendar Effect of Nikkei 225," Economic Review, Hitotsubashi University, volume 66, issue 1, pages 1-18, January, DOI: 10.15057/27507.
• Takamizawa, Hideyuki & 髙見澤, 秀幸, 2015, "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series, Hitotsubashi University Center for Financial Research, number G-1-9, May.
• Shin Kanaya & Dennis Kristensen, 2015, "Estimation of stochastic volatility models by nonparametric filtering," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP09/15, Mar.