Research classified by Journal of Economic Literature (JEL) codes

2015

• Timothy M. Christensen, 2015, "Nonparametric stochastic discount factor decomposition," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP24/15, Jun.
• Oscar V. De la Torre Torres & María Isabel Martínez Torre-Enciso, 2015, "Revisión de la Inversión Sustentable en La Bolsa Mexicana Durante Periodos de Crisis," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 10, issue 2, pages 115-130, Julio-Dic.
• Jorge O. Moreno & Renata Herrerías, 2015, "Analyzing the Size, Diffusion, and Spillover ff Loans Risk," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 10, issue 2, pages 159-181, Julio-Dic.
• Silvia DEDU, 2015, "The Impact of Solvency II Directive upon the Perspectives of the Horizon 2020 Programme," Romanian Journal of Economics, Institute of National Economy, volume 41, issue 2(50), pages 145-155, december.
• Fredj Jawadi & Georges Prat, 2015, "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," Working Papers, Department of Research, Ipag Business School, number 2015-630, Jan.
• Viorica CHIRILA & Ciprian CHIRILA, 2015, "The Steel European Stock Market Efficiency," CES Working Papers, Centre for European Studies, Alexandru Ioan Cuza University, volume 7, issue 4, pages 873-880, December.
• Robert Elliott & Jia Shen, 2015, "Dynamic optimal capital structure with regime switching," Annals of Finance, Springer, volume 11, issue 2, pages 199-220, May, DOI: 10.1007/s10436-015-0260-6.
• Robert Elliott & Jia Shen, 2015, "Credit risk and contagion via self-exciting default intensity," Annals of Finance, Springer, volume 11, issue 3, pages 319-344, November, DOI: 10.1007/s10436-015-0259-z.
• Niyati Bhanja & Arif Dar, 2015, "“The beauty of gold is, it loves bad news”: evidence from three major gold consumers," Economic Change and Restructuring, Springer, volume 48, issue 3, pages 187-208, November, DOI: 10.1007/s10644-015-9160-z.
• Fotis Papailias & Dimitrios Thomakos, 2015, "Covariance averaging for improved estimation and portfolio allocation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 29, issue 1, pages 31-59, February, DOI: 10.1007/s11408-014-0242-0.
• Ruoyang Li & Alva Svoboda & Shmuel Oren, 2015, "Efficiency impact of convergence bidding in the california electricity market," Journal of Regulatory Economics, Springer, volume 48, issue 3, pages 245-284, December, DOI: 10.1007/s11149-015-9281-3.
• Januj Juneja, 2015, "An evaluation of alternative methods used in the estimation of Gaussian term structure models," Review of Quantitative Finance and Accounting, Springer, volume 44, issue 1, pages 1-24, January, DOI: 10.1007/s11156-013-0396-2.
• Meichi Huang & Chih-Chiang Wu, 2015, "Economic benefits and determinants of extreme dependences between REIT and stock returns," Review of Quantitative Finance and Accounting, Springer, volume 44, issue 2, pages 299-327, February, DOI: 10.1007/s11156-013-0407-3.
• Eva Liljeblom & Sabur Mollah & Patrik Rotter, 2015, "Do dividends signal future earnings in the Nordic stock markets?," Review of Quantitative Finance and Accounting, Springer, volume 44, issue 3, pages 493-511, April, DOI: 10.1007/s11156-013-0415-3.
• Chien-Hsiu Lin & Shih-Kuei Lin & An-Chi Wu, 2015, "Foreign exchange option pricing in the currency cycle with jump risks," Review of Quantitative Finance and Accounting, Springer, volume 44, issue 4, pages 755-789, May, DOI: 10.1007/s11156-013-0425-1.
• Cristina Ciumas & Diana-Maria Chis, 2015, "Unit-Linked Life Insurance Products Versus Other Alternative Investments," Knowledge Horizons - Economics, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, volume 7, issue 3, pages 222-227, September.
• Rasmus Søndergaard Pedersen, 2015, "Inference and testing on the boundary in extended constant conditional correlation GARCH models," Discussion Papers, University of Copenhagen. Department of Economics, number 15-10, Sep.
• Arnaud Dufays, 2015, "Evolutionary Sequential Monte Carlo Samplers for Change-point Models," Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques, number 1508.
• Arnaud Dufays, 2015, "Evolutionary Sequential Monte Carlo Samplers for Change-point Models," Cahiers de recherche, CIRPEE, number 1518.
• John Cockburn & Luc Savard & Luca Tiberti, 2015, "Macro-Micro Models," Working Papers MPIA, PEP-MPIA, number 2015-12.
• Alexandru Mandes & Peter Winker, 2015, "Complexity and Model Comparison in Agent Based Modeling of Financial Markets," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 201528.
• Joanne Yen-Ei Kek & Kim-Leng Goh, 2015, "Informational Content of Yield Spread: Predicting Economic Growth of Malaysia," Capital Markets Review, Malaysian Finance Association, volume 23, issue 1&2, pages 84-95.
• Andrea BASTIANIN & Matteo MANERA, 2015, "How Does Stock Market Volatility React to Oil Shocks?," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2015-09, Jun.
• Andrea BASTIANIN & Francesca CONTI & Matteo MANERA, 2015, "The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2015-17, Oct.
• Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli, 2015, "Financial connectedness among European volatility risk premia," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0058, Dec.
• Seema Narayan & Russell Smyth, 2015, "The Financial Econometrics of Price Discovery and Predictability," Monash Economics Working Papers, Monash University, Department of Economics, number 06-15, Jan.
• Antoine Kornprobst & Raphael Douady, 2015, "A Practical Approach to Financial Crisis Indicators Based on Random Matrices," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 15049, Jun.
• Matthieu Garcin & Clément Goulet, 2015, "A fully non-parametric heteroskedastic model," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 15086, Sep.
• Matthieu Garcin & Clément Goulet, 2015, "Non-parameteric news impact curve: a variational approach," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 15086r, Sep, revised Jul 2016.
• Matthieu Garcin & Clément Goulet, 2015, "Non-parameteric news impact curve: a variational approach," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 15086rr, Sep, revised Feb 2017.
• Biqing Cai & Jiti Gao & Dag Tjostheim, 2015, "A New Class of Bivariate Threshold Cointegration Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/15.
• Harry Vander Elst, 2015, "FloGARCH : Realizing long memory and asymmetries in returns volatility," Working Paper Research, National Bank of Belgium, number 280, Apr.
• Tomasz Skoczylas, 2015, "Log-volatility enhanced GARCH models for single asset returns," Bank i Kredyt, Narodowy Bank Polski, volume 46, issue 5, pages 411-432.
• Karol Szafranek, 2015, "Financialisation of the commodity markets. Conclusions from the VARX DCC GARCH," NBP Working Papers, Narodowy Bank Polski, number 213.
• Stefano Giglio & Bryan T. Kelly & Seth Pruitt, 2015, "Systemic Risk and the Macroeconomy: An Empirical Evaluation," NBER Working Papers, National Bureau of Economic Research, Inc, number 20963, Feb.
• Robert Novy-Marx, 2015, "Backtesting Strategies Based on Multiple Signals," NBER Working Papers, National Bureau of Economic Research, Inc, number 21329, Jul.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2015, "The Pricing of Short-Term market Risk: Evidence from Weekly Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 21491, Aug.
• Yacine Aït-Sahalia & Dacheng Xiu, 2015, "Principal Component Analysis of High Frequency Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 21584, Sep.
• Vítor Manuel de Sousa Gabriel & José Ramos Pires Manso, 2015, "Ligações e transmissão de volatilidade intradiária entre mercados bolsistas europeus no âmbito da crise financeira global [Connections and transmission of intraday volatility among European stock mark," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 25, issue 2, pages 291-310, May-Augus.
• Omar O. Chisari & Leonardo J. Mastronardi & Arturo Leonardo Vásquez Cordano & Carlos A. Romero, 2015, "Los impactos económicos de las restricciones al transporte de gas natural en el Perú: Un análisis de equilibrio general computable," Working Papers, Osinergmin, Gerencia de Políticas y Análisis Económico, number 33, Dec.
• Eduardo Rossi & Dean Fantazzini, 2015, "Long Memory and Periodicity in Intraday Volatility," Journal of Financial Econometrics, Oxford University Press, volume 13, issue 4, pages 922-961.
• Cioca Ionela Cornelia, 2015, "Analysis of Correlation between Gross Domestic Product and Value Added Tax in the European Union Countries," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 702-706, May.
• Gian Piero Aielli & Massimiliano Caporin, 2015, "Dynamic Principal Components: a New Class of Multivariate GARCH Models," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0193, Feb.
• Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2015, "Asset Allocation Strategies Based On Penalized Quantile Regression," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0199, Jul.
• Hom M Pant, 2015, "A generic approach to investment modelling in recursive dynamic CGE models," Departmental Working Papers, The Australian National University, Arndt-Corden Department of Economics, number 2015-01.
• Mauricio Zeballos & Carlos del Carpio, 2015, "Metal Returns, Stock Returns and Stock Market Volatility," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, volume 38, issue 75, pages 101-122.
• Paul Bedón Garcia & Gabriel Rodriguez, 2015, "Univariate Autoregressive Conditional Heteroskedasticity Models: An Application to the Peruvian Stock Market Returns," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2015-400.
• Patricia Lengua Lafosse & Cristian Bayes & Gabriel Rodríguez, 2015, "A Stochastic Volatility Model with GH Skew Student’s t-Distribution: Application to Latin-American Stock Returns," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2015-405.
• Yuanhua Feng & Chen Zhou, 2015, "An iterative plug-in algorithm for realized kernels," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 87, Jan.
• Nadia Elena Stoicuța & Olimpiu Stoicuța, 2015, "Comparative analysis of estimation methods for CES production function," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, volume 15, issue 2, pages 167-180.
• Peter Julian Cayton & Dennis Mapa, 2015, "Time-varying conditional Johnson Su density in Value-at-Risk methodology," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, volume 51, issue 1, pages 23-44, June.
• Diseko, Nomathemba Veronica & Bonga-Bonga, Lumengo & Manguzvane, Mathias Mandla, 2015, "Dynamic portfolio rebalancing with safe-haven assets," MPRA Paper, University Library of Munich, Germany, number 123408.
• Langedijk, Sven & Monokroussos, George & Papanagiotou, Evangelia, 2015, "Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues," MPRA Paper, University Library of Munich, Germany, number 61865, Jan.
• Hina, Hafsa & Qayyum, Abdul, 2015, "Exchange Rate Determination and Out of Sample Forecasting: Cointegration Analysis," MPRA Paper, University Library of Munich, Germany, number 61997.
• Bonga-Bonga, Lumengo & Mwamba, Muteba, 2015, "A multivariate model for the prediction of stock returns in an emerging market: A comparison of parametric and non-parametric models," MPRA Paper, University Library of Munich, Germany, number 62028, Feb.
• Hu, Zongyi & Li, Chao, 2015, "Investor Sentiment and Irrational Speculative Bubble Model," MPRA Paper, University Library of Munich, Germany, number 62108, Feb.
• Maheu, John M & Yang, Qiao, 2015, "An Infinite Hidden Markov Model for Short-term Interest Rates," MPRA Paper, University Library of Munich, Germany, number 62408, Jan.
• Mukhoti, Sujay & Guhathakurta, Kousik, 2015, "Product market performance and capital structure: A Hierarchical Bayesian semi-parametric panel regression model," MPRA Paper, University Library of Munich, Germany, number 62517, Feb.
• Jones, Clive, 2015, "Predictability of the daily high and low of the S&P 500 index," MPRA Paper, University Library of Munich, Germany, number 62664, Mar.
• Djennad, Abdelmajid & Rigby, Robert & Stasinopoulos, Dimitrios & Voudouris, Vlasios & Eilers, Paul, 2015, "Beyond location and dispersion models: The Generalized Structural Time Series Model with Applications," MPRA Paper, University Library of Munich, Germany, number 62807, Mar.
• Bonga-Bonga, Lumengo & Umoetok, Ekerete, 2015, "The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa," MPRA Paper, University Library of Munich, Germany, number 62932, Mar.
• Didenko, Alexander & Dubovikov, Michael & Poutko, Boris, 2015, "Forecasting Coherent Volatility Breakouts," MPRA Paper, University Library of Munich, Germany, number 63708, Mar.
• Cayton, Peter Julian, 2015, "A Nonparametric Option Pricing Model Using Higher Moments," MPRA Paper, University Library of Munich, Germany, number 63755, Apr.
• Park, Kwang Suk & Masih, Mansur, 2015, "Does the shariah index move together with the conventional equity indexes?," MPRA Paper, University Library of Munich, Germany, number 63925, Jan.
• Rahim, Yasmin & Masih, Mansur, 2015, "Is gold good for hedging? lessons from the Malaysian sectoral stock indices," MPRA Paper, University Library of Munich, Germany, number 63928, Jan.
• Vardhan, Harsh & Sinha, Pankaj, 2015, "Influence of Macroeconomic Variable on Indian Stock Movement: Cointegration Approach," MPRA Paper, University Library of Munich, Germany, number 64369, Mar, revised 10 May 2015.
• Peresetsky, Anatoly & Yakubov, Ruslan, 2015, "Autocorrelation in an unobservable global trend: Does it help to forecast market returns?," MPRA Paper, University Library of Munich, Germany, number 64579.
• Troug, Haytem Ahmed & Sbia, Rashid, 2015, "The Relationship between Banking Competition and Stability in Developing Countries: The Case of Libya," MPRA Paper, University Library of Munich, Germany, number 64932.
• Troug, Haytem Ahmed & Sbia, Rashid, 2015, "Testing for the Presence of Asymmetric Information in the Oil Market: A VAR Approach," MPRA Paper, University Library of Munich, Germany, number 64933.
• Othman, Arshad Nuval & Masih, Mansur, 2015, "Do profit and loss sharing (PLS) deposits also affect PLS financing? Evidence from Malaysia based on DOLS, FMOLS and system GMM techniques," MPRA Paper, University Library of Munich, Germany, number 65224, Jun.
• Seho, Mirzet & Masih, Mansur, 2015, "Risk sharing financing of Islamic banks: interest free or interest based?," MPRA Paper, University Library of Munich, Germany, number 65230, Jun.
• Buriev, Abdul Aziz & Masih, Mansur, 2015, "Impact of Arab uprising on Portfolio diversification benefits at different investment horizons for the Turkish investors in relation to the regional stock markets: Multivariate GARCH-DCC and Wavelet c," MPRA Paper, University Library of Munich, Germany, number 65233, Jun.
• Hashim, Khairul Khairiah & Masih, Mansur, 2015, "Stock market volatility and exchange rates: MGARCH-DCC and wavelet approaches," MPRA Paper, University Library of Munich, Germany, number 65234, Jun.
• Morad, Shahidah Nailul & Masih, Mansur, 2015, "Islamic REIT response to macroeconomic factors: a markov regime switching auto regressive approach," MPRA Paper, University Library of Munich, Germany, number 65237, Jun.
• Mobin, Mohammad Ashraful & Alhabshi, Syed Othman & Masih, Mansur, 2015, "Religiosity and threshold effect in social and financial performance of microfinance institutions: System GMM and non-linear threshold approaches," MPRA Paper, University Library of Munich, Germany, number 65242, Jun.
• Rahim, Yasmin Abd & Masih, Mansur, 2015, "Is Islamic stock index secured against interest rate risk? Evidence from Wavelet analysis," MPRA Paper, University Library of Munich, Germany, number 65259, Jun.
• Kamarudin, Eka Azrin & Masih, Mansur, 2015, "Islamic versus conventional stock market and its co-movement with crude oil: a wavelet analysis," MPRA Paper, University Library of Munich, Germany, number 65261, Jun.
• Dwihasri, Dhaifina & Masih, Mansur, 2015, "Should investors diversify their portfolios with stocks from major trading countries? A comparative multivariate GARCH-DCC and wavelet correlation analysis," MPRA Paper, University Library of Munich, Germany, number 65278, Jun.
• Bensalma, Ahmed, 2015, "New Fractional Dickey and Fuller Test," MPRA Paper, University Library of Munich, Germany, number 65282, May.
• Uddin, Md Akther & Masih, Mansur, 2015, "Finance, growth and human development: An Islamic economic development perspective," MPRA Paper, University Library of Munich, Germany, number 65818, Jun.
• Tariq, Anam & Masih, Mansur, 2015, "Analyzing the impact of financial sector growth on female empowerment: A focus on the United States of America," MPRA Paper, University Library of Munich, Germany, number 65826, Jun.
• Chowdhury, Mohammad Ashraful Ferdous & Masih, Mansur, 2015, "Socially responsible investment and Shariah-compliant investment compared: Can investors benefit from diversification? An ARDL approach," MPRA Paper, University Library of Munich, Germany, number 65828, Jun.
• Ismail, Mohamed Ayaz Mohamed & Masih, Mansur, 2015, "Causality between financial development and economic growth, and the Islamic finance imperative: A case study of Indonesia," MPRA Paper, University Library of Munich, Germany, number 65831, Jul.
• Momin, Ebaad & Masih, Mansur, 2015, "Do US policy uncertainty, leveraging costs and global risk aversion impact emerging market equities? An application of bounds testing approach to the BRICS," MPRA Paper, University Library of Munich, Germany, number 65834, Jun.
• Najibullah, Syed & Masih, Mansur, 2015, "Remittances and economic growth nexus: Do financial development and investment act as transmission channels? An ARDL bounds approach," MPRA Paper, University Library of Munich, Germany, number 65837, Jul.
• Gulzar, Rosana & Masih, Mansur, 2015, "Islamic banking: 40 years later, still interest-based? Evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 65840, Jul.
• Shamsudheen, Shinaj Valangattil & Masih, Mansur, 2015, "Does the conventional benchmark prop up non-performing loans in Islamic banks? A case study of Malaysia with ARDL Approach," MPRA Paper, University Library of Munich, Germany, number 65845, Jul.
• Jailani, Mohamad Zaky & Masih, Mansur, 2015, "Determining the relationship between financial development and economic growth: An application of ARDL technique to Singapore," MPRA Paper, University Library of Munich, Germany, number 65847, Jun.
• Bonga-Bonga, Lumengo, 2015, "Uncovering equity market contagion among BRICS countries: an application of the multivariate GARCH model," MPRA Paper, University Library of Munich, Germany, number 66262, Aug.
• Awaludin, Fadhlee & Masih, Mansur, 2015, "Sukuk pricing dynamics - factors influencing yield curve of the Malaysian Sukuk," MPRA Paper, University Library of Munich, Germany, number 66355, Aug.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015, "Quantum microeconomics theory," MPRA Paper, University Library of Munich, Germany, number 66983, Sep.
• Sinha, Pankaj & Agnihotri, Shalini, 2015, "Macroeconomic risk and firms financing decision: An empirical panel data investigation using system GMM," MPRA Paper, University Library of Munich, Germany, number 67088, Sep, revised 30 Sep 2015.
• Francq, Christian & Sucarrat, Genaro, 2015, "Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns," MPRA Paper, University Library of Munich, Germany, number 67140, Oct.
• Francq, Christian & Zakoian, Jean-Michel, 2015, "Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels," MPRA Paper, University Library of Munich, Germany, number 67195, Oct.
• Situngkir, Hokky, 2015, "On Capturing the Spreading Dynamics over Trading Prices in the Market," MPRA Paper, University Library of Munich, Germany, number 67247, Oct.
• Francq, Christian & Jiménez Gamero, Maria Dolores & Meintanis, Simos, 2015, "Tests for sphericity in multivariate garch models," MPRA Paper, University Library of Munich, Germany, number 67411, Sep.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015, "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper, University Library of Munich, Germany, number 67470, Oct.
• Njindan Iyke, Bernard, 2015, "On The Term Structure of South African Interest Rates: Cointegration and Threshold Adjustment," MPRA Paper, University Library of Munich, Germany, number 67681, Apr.
• Francq, Christian & Zakoian, Jean-Michel, 2015, "Joint inference on market and estimation risks in dynamic portfolios," MPRA Paper, University Library of Munich, Germany, number 68100, Nov.
• Chkili, Walid, 2015, "Gold-oil prices co-movements and portfolio diversification implications," MPRA Paper, University Library of Munich, Germany, number 68110.
• Liu, Jia & Maheu, John M, 2015, "Improving Markov switching models using realized variance," MPRA Paper, University Library of Munich, Germany, number 71120, Sep.
• Fengler, Matthias R. & Herwartz, Helmut, 2015, "Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models," MPRA Paper, University Library of Munich, Germany, number 72197, Mar, revised 10 Jun 2016.
• Ellul, Reuben, 2015, "Analysing correlation between the MSE index and global stock markets," MPRA Paper, University Library of Munich, Germany, number 72464, Dec.
• Cayton, Peter Julian & Ho, Kin-Yip, 2015, "A Nonparametric Option Pricing Model Using Higher Moments," MPRA Paper, University Library of Munich, Germany, number 79134, Apr.
• Heidari, Hassan & Ebrahimi Torki, Mahyar & Babaei Balderlou, Saharnaz, 2015, "How Do Different Oil Price Shocks Affect the Relationship Between Oil and Stock Markets?," MPRA Paper, University Library of Munich, Germany, number 80273, Jan, revised 24 Dec 2016.
• Angelidis, Timotheos & Degiannakis, Stavros & Filis, George, 2015, "US stock market regimes and oil price shocks," MPRA Paper, University Library of Munich, Germany, number 80436.
• Mansur, Alfan & Liu, Yichang & Zaman, Kazi Arif Uz, 2015, "Portfolio Shocks and the Dynamics of the Real Economy of Australia (1980-2014): A Structural Vector Autoregressive Model Approach," MPRA Paper, University Library of Munich, Germany, number 93992, May, revised 17 May 2015.
• Stelios Bekiros & Rangan Gupta, 2015, "Predicting Stock Returns and Volatility Using Consumption-Aggregate Wealth Ratios: A Nonlinear Approach," Working Papers, University of Pretoria, Department of Economics, number 201505, Feb.
• Stelios Bekiros & Rangan Gupta & Clement Kyei, 2015, "On Economic Uncertainty, Stock Market Predictability and Nonlinear Spillover Effects," Working Papers, University of Pretoria, Department of Economics, number 201508, Feb.
• Giovanni Bonaccolto & Massimiliano Caporin & Rangan Gupta, 2015, "The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk," Working Papers, University of Pretoria, Department of Economics, number 201564, Sep.
• Christophe André & Lumengo Bonga-Bonga & Rangan Gupta & John W. Muteba Mwamba, 2015, "The Impact of Economic Policy Uncertainty on US Real Housing Returns and their Volatility: A Nonparametric Approach," Working Papers, University of Pretoria, Department of Economics, number 201582, Nov.
• Mehmet Balcilar & Rangan Gupta & Duc K. Nguyen & Mark E. Wohar, 2015, "Causal Effects of the United States and Japan on Pacific-Rim Stock Markets: Nonparametric Quantile Causality Approach," Working Papers, University of Pretoria, Department of Economics, number 201595, Dec.
• Rosella Giacometti & Sergio Ortobelli & Tomáš Tichý, 2015, "Portfolio Selection with Uncertainty Measures Consistent with Additive Shifts," Prague Economic Papers, Prague University of Economics and Business, volume 2015, issue 1, pages 3-16, DOI: 10.18267/j.pep.497.
• Růčková Petra & Heryán Tomáš, 2015, "The Capital Structure Management in Companies of Selected Business Branches of Building in Conditions of the Czech Republic," Prague Economic Papers, Prague University of Economics and Business, volume 2015, issue 6, pages 699-714, DOI: 10.18267/j.pep.515.
• Dana Cíchová Králová, 2015, "Využití modelu BGM při řízení úrokového rizika v českém prostředí v období po finanční krizi
  [Aplication of the BGM Model for Interest Rate Risk Management in the Czech Environment after Financial ," Politická ekonomie, Prague University of Economics and Business, volume 2015, issue 6, pages 714-740, DOI: 10.18267/j.polek.1023.
• Maciej Kostrzewski, 2015, "Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 7, issue 1, pages 43-70, March.
• Paulo M.M. Rodrigues & João Nicolau, 2015, "A New Regression-Based Tail Index Estimator: An Application to Exchange Rates," Working Papers, Banco de Portugal, Economics and Research Department, number w201514.
• Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith, 2015, "A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices," Working Papers, Queen Mary University of London, School of Economics and Finance, number 764, Dec.
• Stéphane Auray & Christian Gouriéroux, 2015, "Financial Regulations and Procyclicality," Bankers, Markets & Investors, ESKA Publishing, issue 138, pages 45-54, September.
• Ramaprasad Bhar & A.G. Malliaris & Mary Malliaris, 2015, "Quantitative Easing and the U.S. Stock Market: A Decision Tree Analysis," Review of Economic Analysis, Digital Initiatives at the University of Waterloo Library, volume 7, issue 2, pages 135-156, December.
• Ghada Gomaa A. Mohamed & Morrison Handley-Schachler, 2015, "Modeling FDI Flows from the USA to Canada:Two Main International Financial Variables Affect the Long-Run Economic Growth," Applied Economics and Finance, Redfame publishing, volume 2, issue 4, pages 85-94, November.
• Josip Arneric & Zdravka Aljinovic & Tea Poklepovic, 2015, "Extraction of market expectations from risk-neutral density," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, volume 33, issue 2, pages 235-256.
• G. Bampinas & T. Panagiotidis, 2015, "Are Gold and Silver a Hedge against Inflation? A Two Century Perspective," Working Paper series, Rimini Centre for Economic Analysis, number 15-02, Feb.
• John M. Maheu & Qiao Yang, 2015, "An Infinite Hidden Markov Model for Short-term Interest Rates," Working Paper series, Rimini Centre for Economic Analysis, number 15-05, Feb.
• Banu Tanrıöver & Duygu Arslantürk Çöllü, 2015, "Analysis of Forecasting Performance of Investors in Turkey Within Framework of the Random Walk Model (Türkiye’de Yatırımcıların Öngörü Performanslarının Rassal Yürüyüş Modeli Çerçevesinde Analizi)," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 6, issue 2, pages 127-139.
• İbrahim Yaşar Gök & Şeref Kalaycı, 2015, "International Interactions between Index Futures Markets: Testing Meteor Shower and Heat Wave Hypotheses on Turkey and US Markets," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 6, issue 4, pages 39-53.
• Adrian Cantemir CALIN, 2015, "The Impact of Trade Announcements on Financial Markets. An Event Study Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 81-91, June.
• Iulia LUPU, 2015, "European Stock Markets Correlations In A Markov Switching Framework," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 103-119, September.
• Tsang-Yao CHANG & Hao FANG & Yen-Hsien LEE, 2015, "Nonlinear A Djustment To The Long-Run Equilibrium Between The Reit And The Stock Markets In Japan And Singapore," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 27-38, September.
• Altaf Muhammad & Zhang Shuguang, 2015, "Impact Of Structural Shifts on Variance Persistence in Asymmetric Garch Models: Evidence From Emerging Asian and European Markets," Romanian Statistical Review, Romanian Statistical Review, volume 63, issue 1, pages 57-70, March.
• Marusa Beca & Irina Maria Dragan, 2015, "SMEs’ insolvency analysis in Romania in the year 2010. A microeconomic logistic approach," Romanian Statistical Review Supplement, Romanian Statistical Review, volume 63, issue 8, pages 58-73, August.
• Alessandro Giovannelli & Tommaso Proietti, 2015, "On the Selection of Common Factors for Macroeconomic Forecasting," CEIS Research Paper, Tor Vergata University, CEIS, number 332, Mar, revised 12 Mar 2015.
• Francesco Lautizi, 2015, "Large Scale Covariance Estimates for Portfolio Selection," CEIS Research Paper, Tor Vergata University, CEIS, number 353, Aug, revised 07 Aug 2015.
• Bartosz Stawiarski, 2015, "Selected Techniques Of Detecting Structural Breaks In Financial Volatility," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 11, issue 1, pages 32-43, August.
• Didenko Alexander & Dubovikov Mikhail & Poutko Boris, 2015, "Forecasting coherent volatility breakouts," Вестник Финансового университета, CyberLeninka;Федеральное государственное образовательное бюджетное учреждение высшего профессионального образования «Финансовый университет при Правительстве Российской Федерации» (Финансовый университет), issue 1 (85), pages 30-36.
• Muhammad Naveed, 2015, "Capital Structure Dynamics and Sensitivity Analysis: A Case of Developing Country?," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 2603875, Jul.
• Ayben Koy, 2015, "The Relationship Between Credit Default Swap Spreads, Equity Indices and Sector Equity Indices: An Empirical Study on Istanbul Stock Exchange," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 2604117, Jul.
• Serdar Neslihanoglu, 2015, "Financial Stock Market Co-movement and Correlation: Evidence in the European Union (EU) Area Before and After the October 2008 Financial Crisis," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 2604587, Jul.
• Serdar Neslihanoglu, 2015, "The Performance of Conditional CAPMs based on Evidence from the European Union?s (EU) Financial Stock Markets before and after the Eurozone Financial Crisis," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 2604617, Jul.
• KANTA TANNIYOM & Paponpat Taveeapiradeecharoen & Prapatchon Jariyapan, 2015, "Modeling Dependency and Conditional Volatility between Asian Economic Community (AEC) Country Exchange Rate and Inflation Using the Copula-GARCH Model," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 2704733, Sep.
• Roengchai Tansuchat, 2015, "Portfolio Optimization of Global REITs Returns: High-Dimensional Copula-Based Approach," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 2704838, Sep.
• Serdar Nesl?Hano?Lu, 2015, "Linear and Non-linear Market Model Specifications for Developed and Emerging Markets," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 2805281, Oct.
• Serdar Nesl?Hano?Lu, 2015, "Time-varying Multivariate Extension of the Linear Market Model for Developed and Emerging Markets," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 2805282, Oct.
• Dilek ALTAS & Gulen Arikan, 2015, "Effect of Housing on Net Error Omissions: An Application to Turkey Case," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 3105048, Nov.
• Resul Aydemir & Bulent Guloglu & Ercan Saridogan, 2015, "Volatility Spillovers And Dynamic Correlations Between Emerging Economies In Foreign Exchange And Bond Markets," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 2204248, Sep.
• Sadaf Anwar & Shveta Singh & P K Jain, 2015, "Cash Dividend Announcements and Stock Return Volatility: Evidence from India," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 2204432, Sep.
• Esref Savas Basci, 2015, "Yield Spreads on Government Benchmark Bonds: Cross Country Evidence," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 2204522, Sep.
• Takeshi Kobayashi, 2015, "Term Structure of Credit Spreads and the Macroeconomy in Japan : A Global Factor Approach," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 2204987, Sep.
• Hilal Hümeyra Özsu, 2015, "Empirical Analysis of Herd Behavior in Borsa Istanbul," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, volume 4, issue 4, pages 27-52, December.
• Olivares Aguayo, Héctor Alonso & Ortiz Ramírez, Ambrosio & Bucio Pacheco, Christian, 2015, "Escenarios Monte Carlo para estrategias con expectativas de baja volatilidad cambiante mediante opciones europeas de compra y venta / Monte Carlo scenarios for strategies with expectations of changing," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 5, issue 1, pages 65-94, enero-jun.
• Juan Carlos Cuestas & Bo Tang, 2015, "Asymmetric Exchange Rate Exposure of Stock Returns: Empirical Evidence from Chinese Industries," Working Papers, The University of Sheffield, Department of Economics, number 2015021, Sep.
• Juan Carlos Cuestas & Bo Tang, 2015, "Exchange Rate Changes and Stock Returns in China: A Markov Switching SVAR Approach," Working Papers, The University of Sheffield, Department of Economics, number 2015024, Dec.
• Nora Abu Asab & Juan Carlos Cuestas & Alberto Montagnoli, 2015, "Inflation targeting or Exchange Rate Targeting: Which Framework Supports The Goal of Price Stability in Emerging Market Economics?," Working Papers, The University of Sheffield, Department of Economics, number 2015025, Dec.
• John Cockburn & Luc Savard & Luca Tiberti, 2015, "Macro-Micro Models," Cahiers de recherche, Departement d'économique de l'École de gestion à l'Université de Sherbrooke, number 15-08, Aug.
• Peter C. B. Phillips & Ye Chen & Jun Yu, 2015, "Limit Theory for Continuous Time Systems with Mildly Explosive Regressors," Working Papers, Singapore Management University, School of Economics, number 03-2015, Mar.
• Jürgen Franke & Peter Mwita & Weining Wang, 2015, "Nonparametric estimates for conditional quantiles of time series," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 99, issue 1, pages 107-130, January, DOI: 10.1007/s10182-014-0234-4.
• Sainan Jin & Liangjun Su & Yonghui Zhang, 2015, "Nonparametric testing for anomaly effects in empirical asset pricing models," Empirical Economics, Springer, volume 48, issue 1, pages 9-36, February, DOI: 10.1007/s00181-014-0846-2.
• Ryo Kinoshita, 2015, "Asset allocation under higher moments with the GARCH filter," Empirical Economics, Springer, volume 49, issue 1, pages 235-254, August, DOI: 10.1007/s00181-014-0871-1.
• Yuri Salazar & Wing Ng, 2015, "Nonparametric estimation of general multivariate tail dependence and applications to financial time series," Statistical Methods & Applications, Springer;Società Italiana di Statistica, volume 24, issue 1, pages 121-158, March, DOI: 10.1007/s10260-014-0274-7.
• Mauro Bernardi & Lea Petrella, 2015, "Multiple seasonal cycles forecasting model: the Italian electricity demand," Statistical Methods & Applications, Springer;Società Italiana di Statistica, volume 24, issue 4, pages 671-695, November, DOI: 10.1007/s10260-015-0313-z.
• Aymen Belgacem & Anna Creti & Khaled Guesmi & Amine Lahiani, 2015, "Volatility spillovers and macroeconomic announcements: evidence from crude oil markets," Applied Economics, Taylor & Francis Journals, volume 47, issue 28, pages 2974-2984, June, DOI: 10.1080/00036846.2015.1011316.
• Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli, 2015, "A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises," Applied Economics, Taylor & Francis Journals, volume 47, issue 2, pages 129-147, January, DOI: 10.1080/00036846.2014.967379.
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• Charles Engel & Nelson C. Mark & Kenneth D. West, 2015, "Factor Model Forecasts of Exchange Rates," Econometric Reviews, Taylor & Francis Journals, volume 34, issue 1-2, pages 32-55, February, DOI: 10.1080/07474938.2014.944467.
• J. Miguel Marin & Genaro Sucarrat, 2015, "Financial density selection," The European Journal of Finance, Taylor & Francis Journals, volume 21, issue 13-14, pages 1195-1213, November, DOI: 10.1080/1351847X.2012.706906.
• Ke Zhu & Wai Keung Li, 2015, "A New Pearson-Type QMLE for Conditionally Heteroscedastic Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 33, issue 4, pages 552-565, October, DOI: 10.1080/07350015.2014.977446.
• Massimiliano Caporin & Angelo Ranaldo & Gabriel G. Velo, 2015, "Precious metals under the microscope: a high-frequency analysis," Quantitative Finance, Taylor & Francis Journals, volume 15, issue 5, pages 743-759, May, DOI: 10.1080/14697688.2014.947313.
• Sayaeed, Mohammad Abu & Dungey, Mardi & Yao, Wenying, 2015, "High frequency characterization of Indian banking stocks," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2015-04, Feb.
• Yao, Wenying & Tian, Jing, 2015, "The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2015-05.
• Suleyman Hilmi Kal & Ferhat Arslaner & Nuran Arslaner, 2015, "The Dynamic Relationship Between Stock, Bond and Foreign Exchange Markets," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1512.
• Ozgur Ozel & Mustafa Utku Ozmen & Erdal Yilmaz, 2015, "Importance of Foreign Ownership and Staggered Adjustment of Capital Outflows," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1531.
• Manabu Asai & Michael McAleer, 2015, "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-018/III, Feb.
• Guillaume Gaetan Martinet & Michael McAleer, 2015, "On the Invertibility of EGARCH(p,q)," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-022/III, Feb.
• Shiqing Ling & Michael McAleer & Howell Tong, 2015, "Frontiers in Time Series and Financial Econometrics: An Overview," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-026/III, Feb.
• Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & André Lucas, 2015, "In-Sample Bounds for Time-Varying Parameters of Observation Driven Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-027/III, Feb, revised 07 Sep 2015.
• Sungyong Park & Wendun Wang & Naijing Huang, 2015, "Testing for Stock Market Contagion: A Quantile Regression Approach," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-040/III, Mar.
• Bart Keijsers & Bart Diris & Erik Kole, 2015, "Cyclicality in Losses on Bank Loans," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-050/III, May, revised 01 Sep 2017.
• Siem Jan Koopman & Rutger Lit & Andre Lucas, 2015, "Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-076/IV/DSF94, Jul.
• Chia-Lin Chang & Yiying Li & Michael McAleer, 2015, "Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-077/III, Jul.
• David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2015, "Multivariate Volatility Impulse Response Analysis of GFC News Events," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-089/III, Jul.
• Michael McAleer, 2015, "The Fundamental Equation in Tourism Finance," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-129/III, Nov.
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• Gentjan ÇERA & Eda Dokle & Edmond Çera, 2015, "Do The News Affect The Eur/All Exchange Rate Volatility?," Economic Review: Journal of Economics and Business, University of Tuzla, Faculty of Economics, volume 13, issue 1, pages 21-28, May.
• Manabu Asai & Michael McAleer, 2015, "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2015-02, Feb.
• Guillaume Gaetan Martinet & Michael McAleer, 2015, "On the Invertibility of EGARCH(p,q)," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2015-03, Feb.
• Shiqing Ling & Michael McAleer & Howell Tong, 2015, "Frontiers in Time Series and Financial Econometrics: An Overview," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2015-04, Feb.
• Chia-Lin Chang & Yiying Li & Michael McAleer, 2015, "Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2015-08, Jun.
• David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2015, "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 2015-10, Jul.
• Chevillon, G. & Hecq, A.W. & Laurent, S.F.J.A., 2015, "Long memory through marginalization of large systems and hidden cross-section dependence," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 014, Jan, DOI: 10.26481/umagsb.2015014.
• Hecq, A.W. & Lieb, L.M. & Telg, J.M.A., 2015, "Identification of Mixed Causal-Noncausal Models : How Fat Should We Go?," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 035, Jan, DOI: 10.26481/umagsb.2015035.
• Audrino, Francesco & Camponovo, Lorenzo & Roth, Constantin, 2015, "Testing the lag structure of assets’ realized volatility dynamics," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1501, Jan.