Research classified by Journal of Economic Literature (JEL) codes

2014

• Shijaku, Gerti, 2014, "Fiscal policy, output and financial stress in the case of developing and emerging European economies: a threshold VAR approach," MPRA Paper, University Library of Munich, Germany, number 79139.
• Saban Nazlioglu & Ugur Soytas & Rangan Gupta, 2014, "Volatility Spillover between Energy and Financial Markets," Working Papers, University of Pretoria, Department of Economics, number 201409, Mar.
• Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2014, "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Working Papers, University of Pretoria, Department of Economics, number 201422, May.
• Milan Bašta, 2014, "Simulating Bivariate Stationary Processes with Scale-Specific Characteristics," Acta Oeconomica Pragensia, Prague University of Economics and Business, volume 2014, issue 1, pages 3-26, DOI: 10.18267/j.aop.423.
• Roman Huptas, 2014, "Bayesian Estimation and Prediction for ACD Models in the Analysis of Trade Durations from the Polish Stock Market," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 6, issue 4, pages 237-273, December.
• George Kapetanios & Michael Neumann & George Skiadopoulos, 2014, "Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market," Working Papers, Queen Mary University of London, School of Economics and Finance, number 730, Oct.
• Oleg Groshev, 2014, "Time varying vine copulas for multivariate returns (in Russian)," Quantile, Quantile, issue 12, pages 53-67, February.
• Grigory Franguridi, 2014, "Higher order conditional moment dynamics and forecasting value-at-risk (in Russian)," Quantile, Quantile, issue 12, pages 69-82, February.
• Monica Billio & Lorenzon Frattarolo & Lauriana Pelizzon, 2014, "A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation," Bankers, Markets & Investors, ESKA Publishing, issue 129, pages 40-58, March-Apr.
• Gill Segal & Ivan Shaliastovich & Amir Yaron, 2014, "Good and Bad Uncertainty: Macroeconomic and Financial Market Implications," 2014 Meeting Papers, Society for Economic Dynamics, number 488.
• Xin Jin & John M. Maheu, 2014, "Bayesian Semiparametric Modeling of Realized Covariance Matrices," Working Paper series, Rimini Centre for Economic Analysis, number 34_14, Nov.
• Xin Jin & John M. Maheu, 2014, "Modeling Covariance Breakdowns in Multivariate GARCH," Working Paper series, Rimini Centre for Economic Analysis, number 36_14, Nov.
• Alexandr Shcherba, 2014, "Comparing «Realized volatility» models in the VaR calculation for the Russian equity market," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 34, issue 2, pages 120-136.
• Henry Penikas, 2014, "Investment portfolio risk modelling based on hierarchical copulas," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 35, issue 3, pages 18-38.
• Ruslan Durdyev & Anatoly Peresetsky, 2014, "Autocorrelation in the global stochastic trend," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 35, issue 3, pages 39-58.
• Valeriya Lakshina, 2014, "Is it possible to break the «curse of dimensionality»? Spatial specifications of multivariate volatility models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 36, issue 4, pages 61-78.
• Raisul Islam, 2014, "A Comparison of the Long Term Interdependence of Southeast Asian Equity Markets," East Asian Economic Review, Korea Institute for International Economic Policy, volume 18, issue 2, pages 187-212, DOI: 10.11644/KIEP.JEAI.2014.18.2.280.
• David Rothschild & David M. Pennock, 2014, "The extent of price misalignment in prediction markets," Algorithmic Finance, IOS Press, volume 3, issue 1-2, pages 3-20.
• Sergio Bianchi & Augusto Pianese, 2014, "Multifractional processes in finance," Risk and Decision Analysis, IOS Press, issue 5, pages 1-22.
• Pawe³ Kliber, 2014, "Estimation Of Risk Neutral Measure For Polish Stock Market," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 10, issue 2, pages 28-37, August.
• Mahmood Mahmoodzadeh & Saleh Ghavidel & Mir Hosein Mousavi, 2014, "The Role of Information in Stock Market," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 0701697, Oct.
• Petra Andrlikova, 2014, "Is Barrier version of Merton model more realistic? Evidence from Europe," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 0801868, Oct.
• Maxime Bonelli & Daniel Mantilla-Garcia, 2014, "Should a skeptical portfolio insurer use an optimal or a risk-based multiplier?," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 0802327, Oct.
• Lidan Grossmass, 2014, "Obtaining and Predicting the Bounds of Realized Correlations," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 150, issue III, pages 191-226, September.
• Wojciech Szatzschneider, 2014, "Generating Covariances in multifactor CIR model," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 4, issue 1, pages 87-98, enero-jun.
• Amanjot Singh & Parneet Kaur, 2014, "Impact Of The Fii'S Indian Equity Investment Behavior On The Bric Countries' Stock Market Volatility During The Subprime Crisis. An Empirical Investigation," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, volume 6, issue 3 (Novemb, pages 336-349.
• Sainan Jin & Liangjun Su & Yonghui Zhang, 2014, "Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models," Working Papers, Singapore Management University, School of Economics, number 09-2014, Aug.
• Liang Jiang & Peter C.B. Phillips & Jun Yu, 2014, "A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market," Working Papers, Singapore Management University, School of Economics, number 19-2014, Oct.
• Ioannis Vogiatzis & Costas Siriopoulos & Nikolaos Frangos, 2014, "Effects of the Public Sector downsizing on Social Security and public finance," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, volume 64, issue 1, pages 53-62, January-M.
• Romuald Kenmoe & Simona Sanfelici, 2014, "An application of nonparametric volatility estimators to option pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 37, issue 2, pages 393-412, October, DOI: 10.1007/s10203-013-0150-1.
• Ergun Ermisoglu & Yasin Akcelik & Arif Oduncu & Temel Taskin, 2014, "Effects of additional monetary tightening on exchange rates," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 4, issue 1, pages 71-79, June, DOI: 10.1007/s40822-014-0004-3.
• John Fry, 2014, "Bubbles, shocks and elementary technical trading strategies," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, volume 87, issue 1, pages 1-13, January, DOI: 10.1140/epjb/e2013-40587-y.
• Omid Sabbaghi & Navid Sabbaghi, 2014, "An empirical analysis of the Carbon Financial Instrument," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 38, issue 2, pages 209-234, April, DOI: 10.1007/s12197-011-9208-5.
• Rangan Gupta & Shawkat Hammoudeh & Beatrice D. Simo-Kengne & Soodabeh Sarafrazi, 2014, "Can the Sharia-based Islamic stock market returns be forecasted using large number of predictors and models?," Applied Financial Economics, Taylor & Francis Journals, volume 24, issue 17, pages 1147-1157, September, DOI: 10.1080/09603107.2014.924296.
• Chaker Aloui & Duc Khuong Nguyen, 2014, "On the detection of extreme movements and persistent behaviour in Mediterranean stock markets: a wavelet-based approach," Applied Economics, Taylor & Francis Journals, volume 46, issue 22, pages 2611-2622, August, DOI: 10.1080/00036846.2014.907480.
• Eduardo Rossi & Paolo Santucci de Magistris, 2014, "Estimation of Long Memory in Integrated Variance," Econometric Reviews, Taylor & Francis Journals, volume 33, issue 7, pages 785-814, October, DOI: 10.1080/07474938.2013.806131.
• Joseph Friedman & Yochanan Shachmurove, 2014, "The Responses of the Prime Rate to a Change in Policies of the Federal Reserve," DETU Working Papers, Department of Economics, Temple University, number 1405, Sep.
• David E. Allen & Michael McAleer & Abhay K. Singh, 2014, "Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-014/III, Jan.
• Lukasz Gatarek & Søren Johansen, 2014, "Optimal Hedging with the Vector Autoregressive Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-022/III, Feb.
• Michael McAleer, 2014, "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-025/III, Feb.
• Siem Jan Koopman & Rutger Lit & André Lucas, 2014, "The Dynamic Skellam Model with Applications," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-032/IV/DSF73, Mar, revised 06 Jul 2015.
• Manabu Asai & Michael McAleer, 2014, "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-037/III, Mar.
• Lukasz Gatarek & Lennart Hoogerheide & Herman K. van Dijk, 2014, "Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-039/III, Mar.
• Michael McAleer & Christian M. Hafner, 2014, "A One Line Derivation of EGARCH," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-069/III, Jun.
• Pawel Janus & André Lucas & Anne Opschoor & Dick J.C. van Dijk, 2014, "New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-073/IV, Jun, revised 19 Aug 2015.
• David E. Allen & Michael McAleer & Marcel Scharth, 2014, "Asymmetric Realized Volatility Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-075/III, Jun.
• Shawkat Hammoudeh & Michael McAleer, 2014, "Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-076/III, Jun.
• Christian M. Hafner & Michael McAleer, 2014, "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-087/III, Jul.
• Anne Opschoor & Dick van Dijk & Michel van der Wel, 2014, "Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-090/III, Jul.
• Guillaume Gaetan Martinet & Michael McAleer, 2014, "On the Invertibility of EGARCH," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-096/III, Jul.
• David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014, "Volatility Spillovers from Australia's Major Trading Partners across the GFC," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-106/III, Aug.
• István Barra & Lennart Hoogerheide & Siem Jan Koopman & André Lucas, 2014, "Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-118/III, Sep, revised 31 Mar 2016.
• Michael McAleer, 2014, "Asymmetry and Leverage in Conditional Volatility Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-125/III, Sep.
• Chia-Lin Chang & Michael McAleer, 2014, "Econometric Analysis of Financial Derivatives: An Overview," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-153/III, Dec.
• David E. Allen & Michael McAleer & Abhay K. Singh, 2014, "Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2014-02, Jan.
• Manabu Asai & Michael McAleer, 2014, "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2014-05, Mar.
• Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014, "A new approach to the unconditional measurement of default risk," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2014-11, Jun.
• Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014, "Conditional coverage and its role in determining and assessing long-term capital requirements," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2014-12, Jun.
• Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014, "Linking the problems of estimating and allocating unconditional capital," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2014-13, Jun.
• Michael McAleer & Christian M. Hafner, 2014, "A One Line Derivation of EGARCH," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2014-15, Jun.
• David E. Allen & Michael McAleer & Marcel Scharth, 2014, "Asymmetric Realized Volatility Risk," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2014-16, Jun.
• Shawkat Hammoudeh & Michael McAleer, 2014, "Advances in Financial Risk Management andEconomic Policy Uncertainty: An Overview," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2014-17, Jun.
• Michael McAleer, 2014, "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2014-18, Jun.
• Guillaume Gaetan Martinet & Michael McAleer, 2014, "On the Invertibility of EGARCH," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2014-28.
• Christian M. Hafner & Michael McAleer, 2014, "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2014-29.
• Chia-Lin Chang & Michael McAleer, 2014, "Econometric Analysis of Financial Derivatives: An Overview," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2014-31.
• Tae-Hwy Lee & Huiyu Huang, 2014, "Forecasting Realized Volatility Using Subsample Averaging," Working Papers, University of California at Riverside, Department of Economics, number 201410, Sep.
• Aman Ullah & Yong Bao & Yun Wang, 2014, "Exact Distribution of the Mean Reversion Estimator in the Ornstein-Uhlenbeck Process," Working Papers, University of California at Riverside, Department of Economics, number 201413, Sep.
• Audrino, Francesco & Huitema, Robert & Ludwig, Markus, 2014, "An Empirical Analysis of the Ross Recovery Theorem," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1411, May.
• Fengler, Matthias R. & Hin, Lin-Yee, 2014, "A simple and general approach to fitting the discount curve under no-arbitrage constraints," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1423, Aug.
• Trojan, Sebastian, 2014, "Multivariate Stochastic Volatility with Dynamic Cross Leverage," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1424, Aug.
• Trojan, Sebastian, 2014, "Modeling Intraday Stochastic Volatility and Conditional Duration Contemporaneously with Regime Shifts," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1425, Aug.
• Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2014, "Precious Metals Under the Microscope: A High-Frequency Analysis," Working Papers on Finance, University of St. Gallen, School of Finance, number 1409, Jan.
• Gian P. Cervellera & Marco P. Tucci, 2014, "A note on the estimation of a Gamma-Variance process: Learning from a failure," Department of Economics University of Siena, Department of Economics, University of Siena, number 702, Oct.
• Roberto Casarin & Fabrizio Leisen & German Molina & Enrique Ter Horst, 2014, "A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2014:22.
• David E. Giles & Qinlu Chen, 2014, "Risk Analysis for Three Precious Metals: An Application of Extreme Value Theory," Econometrics Working Papers, Department of Economics, University of Victoria, number 1402, Aug.
• DIMITRIU, Mihail, 2014, "Particularities Of Transfer Channel In The Financial Network Modeling," Journal of Financial and Monetary Economics, Centre of Financial and Monetary Research "Victor Slavescu", volume 1, issue 1, pages 239-243.
• Rasmus S. Pedersen & Anders Rahbek, 2014, "Multivariate variance targeting in the BEKK–GARCH model," Econometrics Journal, Royal Economic Society, volume 17, issue 1, pages 24-55, February.
• Azam, Kazim, 2014, "Dependence Analysis between Foreign Exchange Rates: A Semi-Parametric Copula Approach," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 1052.
• Chia-Lin Chang & Shing-Yang Hu & Shih-Ti Yu, 2014, "Recent Developments In Quantitative Finance: An Overview," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 9, issue 02, pages 1-7, DOI: 10.1142/S2010495214020023.
• Renfei Gao & Cindy S. H. Wang & Christian M. Hafner, 2014, "The Impact Of Acquisitions On New Technology Stocks: The Google–Motorola Case," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 9, issue 02, pages 1-23, DOI: 10.1142/S2010495214400028.
• Santiago García-Verdú & Manuel Ramos-Francia, 2014, "Interventions and Expected Exchange Rates in Emerging Market Economies," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 4, issue 01, pages 1-34, DOI: 10.1142/S2010139214500025.
• Kaddour Hadri & William Mikhail (ed.), 2014, "Econometric Methods and Their Applications in Finance, Macro and Related Fields," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8843, ISBN: ARRAY(0x540e6590), March.
• Zhaodong Wang & Weian Zheng, 2014, "High-Frequency Trading and Probability Theory," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9233, ISBN: ARRAY(0x54497660), March.
• Joseph Ato Forson & Jakkaphong Janrattanagul, 2014, "Selected Macroeconomic Variables and Stock Market Movements: Empirical evidence from Thailand," Contemporary Economics, Vizja University, volume 8, issue 2, June.
• Ali Raza Elahi Bilal Mehmood Muhammad Mubashir Hussain Awan, 2014, "Macroeconomic Covariates of Default Risk: Case of Pakistani Non-Financial Firms," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, volume 17, issue 1, pages 15-26, May.
• Scharnagl, Michael & Stapf, Jelena, 2014, "Inflation, deflation, and uncertainty: What drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?," Discussion Papers, Deutsche Bundesbank, number 24/2014.
• Grammig, Joachim & Schaub, Eva-Maria, 2014, "Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 14-05.
• Sönksen, Jantje & Grammig, Joachim, 2020, "Empirical Asset Pricing with Multi-Period Disaster Risk: A Simulation-Based Approach," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 14-06, revised 2020, DOI: 10.2139/ssrn.3377345.
• Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus, 2014, "Estimating the spot covariation of asset prices: Statistical theory and empirical evidence," CFS Working Paper Series, Center for Financial Studies (CFS), number 477.
• Grammig, Joachim & Schaub, Eva-Maria, 2014, "Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing models," CFS Working Paper Series, Center for Financial Studies (CFS), number 479.
• Grammig, Joachim & Sönksen, Jantje, 2014, "Consumption-based asset pricing with rare disaster risk," CFS Working Paper Series, Center for Financial Studies (CFS), number 480.
• Barunik, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2014, "Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 13.
• Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2014, "Gold, Oil, and Stocks," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 14.
• Franke, Jürgen & Mwita, Peter & Wang, Weining, 2014, "Nonparametric estimates for conditional quantiles of time series," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-012.
• Reiß, Markus & Todorov, Viktor & Tauchen, George, 2014, "Nonparametric test for a constant beta over a fixed time interval," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-022.
• Härdle, Wolfgang Karl & Nasekin, Sergey & Lee, David Kuo Chuen & Fai, Phoon Kok, 2014, "TEDAS - Tail Event Driven ASset Allocation," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-032.
• Dedy Dwi Prastyo & Härdle, Wolfgang Karl, 2014, "Localising forward intensities for multiperiod corporate default," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-040.
• Bormann, Carsten & Schienle, Melanie & Schaumburg, Julia, 2014, "Beyond dimension two: A test for higher-order tail risk," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-042.
• Bibinger, Markus & Jirak, Moritz & Reiss, Markus, 2014, "Improved volatility estimation based on limit order books," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-053.
• Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus, 2014, "Estimating the spot covariation of asset prices: Statistical theory and empirical evidence," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-055.
• Dimpfl, Thomas & Peter, Franziska J., 2014, "The impact of the financial crisis on transatlantic information flows: An intraday analysis," University of Tübingen Working Papers in Business and Economics, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics, number 70.
• Becker, Gideon, 2014, "The portfolio structure of German households: A multinomial fractional response approach with unobserved heterogeneity," University of Tübingen Working Papers in Business and Economics, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics, number 74.
• Grammig, Joachim & Schaub, Eva-Maria, 2014, "Give me strong moments and time - Combining GMM and SMM to estimate long-run risk asset pricing models," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association, number 100607.
• Grammig, Joachim & Sönksen, Jantje, 2014, "Consumption-Based Asset Pricing with Rare Disaster Risk: A Simulated Method of Moments Approach," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association, number 100614.
• Blasques, Francisco & Koopman, Siem Jan & Lucas, Andre & Schaumburg, Julia, 2014, "Spillover dynamics for systemic risk measurement using spatial financial time series models," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association, number 100632.
• Olivier Ledoit & Michael Wolf, 2014, "Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks," ECON - Working Papers, Department of Economics - University of Zurich, number 137, Jan, revised Feb 2017.
• Asger Lunde & Kasper V. Olesen, 2014, "Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-19, Nov.
• Paul Catani & Timo Teräsvirta & Meiqun Yin, 2014, "A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-03, Jan.
• Kris Boudt & Sébastien Laurent & Asger Lunde & Rogier Quaedvlieg, 2014, "Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-05, Feb.
• Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2014, "Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-13, Apr.
• Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2014, "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-22, Aug.
• Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014, "Volatility jumps and their economic determinants," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-27, Aug.
• Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014, "Chasing volatility - A persistent multiplicative error model with jumps," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-29, Aug.
• Massimiliano Caporin & Luca Corazzini & Michele Costola, 2014, "Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-33, Sep.
• Ulrich Hounyo, 2014, "Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-35, Oct.
• Søren Johansen & Lukasz Gatarek, 2014, "Optimal hedging with the cointegrated vector autoregressive model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-40, Sep.
• Alessandro Giovannelli & Tommaso Proietti, 2014, "On the Selection of Common Factors for Macroeconomic Forecasting," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-46, Nov.
• Eduardo Rossi & Paolo Santucci de Magistris, 2014, "Indirect inference with time series observed with error," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-57, Dec.
• Marco Cipriani & Antonio Guarino, 2014, "Estimating a Structural Model of Herd Behavior in Financial Markets," American Economic Review, American Economic Association, volume 104, issue 1, pages 224-251, January.
• Ryan Kellogg, 2014, "The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling," American Economic Review, American Economic Association, volume 104, issue 6, pages 1698-1734, June.
• Aviral Kumar TIWARI & Raveesh KRISHNANKUTTY, 2014, "Determinants of capital structure: comparison of empirical evidence for the use of different estimators," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, volume 0, issue 12(601), pages 63-82, December.
• Serrao, Amilcar, , "The influence of behavior factors in setting the agricultural futures market prices," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota, Agricultural and Applied Economics Association, number 170326, DOI: 10.22004/ag.econ.170326.
• Algieri, Bernardina, 2014, "The influence of biofuels, economic and financial factors on daily returns of commodity futures prices," Discussion Papers, University of Bonn, Center for Development Research (ZEF), number 164963, Feb, DOI: 10.22004/ag.econ.164963.
• Algieri, Bernardina & Kalkuhl, Matthias, 2014, "Back to the Futures: An Assessment of Commodity Market Efficiency and Forecast Error Drivers," Discussion Papers, University of Bonn, Center for Development Research (ZEF), number 187159, Sep, DOI: 10.22004/ag.econ.187159.
• Cristina CIUMAS & Diana-Maria CHIS & Ramona Alexandrina COCA, 2014, "Unit-Linked Life Insurance Contracts With Investment Guarantees Ï¿½ A Proposal For Romanian Life Insurance Market," Journal of Public Administration, Finance and Law, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 0, issue Special i, pages 19-24, September.
• Andreea ROSOIU, 2014, "Monetary Policy Transmission Mechanism And Dynamic Factor Models," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 14, pages 199-206, December.
• Renaud Coulomb & Marc Sangnier, 2014, "The Impact of Political Majorities on Firm Value: Do Electoral Promises or Friendship Connections Matter?," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1414, May, revised May 2014.
• Gheorghe MATEI & Olivia MANOLE, 2014, "Financial Decentralization Reflected in the Revenues and Expenses of Local Budgets in Romania," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 16, pages 36-45, December.
• Breitung, J. & Hafner, C., 2014, "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 2014046, Jan.
• Boudt, Kris & Petitjean, Mikael, 2014, "Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks," LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2014006, Jan.
• Adina Elena DănuleÅ£iu & Iulia Cristina Iuga & Adela Socol, 2014, "Investigating Banking Households' Deposits Using Vector Autoregressive Model Var," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 16, pages 1-8.
• Ioan-Bogdan Robu & Mihaela-Alina Robu & Marilena Mironiuc & Florentina Olivia Balu, 2014, "The Value Relevance of Financial Distress Risk in the Case of RASDAQ Companies," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, volume 13, issue 4, pages 623-642, December.
• Luis Varona Castillo & Laura Gismera Tierno & Ricardo Gimeno Nogues, 2014, "Supervivencia de las empresas según indicadores empresariales. Modelo lineal mixto con datos de panel, período 2004 al 2008, caso de España," Working Papers, Peruvian Economic Association, number 13, Aug.
• Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2014, "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Papers, arXiv.org, number 1401.3911, Jan, revised Mar 2016.
• Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2014, "How does bad and good volatility spill over across petroleum markets?," Papers, arXiv.org, number 1405.2445, May.
• Ivan Medovikov, 2014, "Can Analysts Predict Rallies Better Than Crashes?," Papers, arXiv.org, number 1405.3225, May.
• Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014, "The Random Walk of High Frequency Trading," Papers, arXiv.org, number 1408.3650, Aug, revised Aug 2014.
• Roberto Casarin & Fabrizio Leisen & German Molina & Enrique ter Horst, 2014, "A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities," Papers, arXiv.org, number 1409.1956, Sep.
• Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, 2014, "Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections," DEOS Working Papers, Athens University of Economics and Business, number 1410, Sep.
• Noureddine Benlagha, 2014, "Volatility Linkage of Nominal and Index-linked Bond Returns: A Multivariate BEKK-GARCH Approach," Review of Economics & Finance, Better Advances Press, Canada, volume 4, pages 49-60, November.
• Boryana Bogdanova, 2014, "Measuring the degree of integration within a group of stock markets," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 6, pages 26-46.
• Roland Weigand, 2014, "Matrix Box-Cox Models for Multivariate Realized Volatility," Working Papers, Bavarian Graduate Program in Economics (BGPE), number 144, Mar.
• Weigand, Roland, 2014, "Matrix Box-Cox Models for Multivariate Realized Volatility," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 478, Mar.
• Soloschenko, Max & Weber, Enzo, 2014, "Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 475, Apr.
• Jose Renato Haas Ornelas & Antonio Francisco de Almeida Silva Jr, 2014, "Testing the Liquidity Preference Hypothesis using Survey Forecasts," Working Papers Series, Central Bank of Brazil, Research Department, number 353, Apr.
• Michele Leonardo Bianchi & Frank J. Fabozzi & Svetlozar T. Rachev, 2014, "Calibrating the Italian smile with time-varying volatility and heavy-tailed models," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 944, Jan.
• Hernández Juan R., 2014, "Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis," Working Papers, Banco de México, number 2014-09, May.
• García-Verdú Santiago & Ramos Francia Manuel, 2014, "Interventions and Expected Exchange Rates in Emerging Market Economies," Working Papers, Banco de México, number 2014-11, Jun.
• Carlos León, 2014, "Scale-free tails in Colombian financial indexes: A primer," Borradores de Economia, Banco de la Republica de Colombia, number 812, Mar, DOI: 10.32468/be.812.
• Robert E. Hall, 2014, "Fiscal Stability of High-Debt Nations under Volatile Economic Conditions," German Economic Review, Verein für Socialpolitik, volume 15, issue 1, pages 4-22, February.
• Akbar Komijani & Esmaeil Naderi & Nadiya Gandali Alikhani, 2014, "A hybrid approach for forecasting of oil prices volatility," OPEC Energy Review, Organization of the Petroleum Exporting Countries, volume 38, issue 3, pages 323-340, September.
• Rodrigo Guimarães, 2014, "Expectations, risk premia and information spanning in dynamic term structure model estimation," Bank of England working papers, Bank of England, number 489, Mar.
• Jan Hanousek & Evzen Kocenda & Jan Novotny, 2014, "Price jumps on European stock markets," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 14, issue 1, pages 10-22, March.
• Buerhan Saiti & Obiyathulla I. Bacha & Mansur Masih, 2014, "The diversification benefits from Islamic investment during the financial turmoil: The case for the US-based equity investors," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 14, issue 4, pages 196-211, December.
• Hall Robert E., 2014, "Fiscal Stability of High-Debt Nations under Volatile Economic Conditions," German Economic Review, De Gruyter, volume 15, issue 1, pages 4-22, February, DOI: 10.1111/geer.12025.
• Regis Augusto Ely, 2014, "Relations Between Serial Correlation and Volatility: Is There a LeBaron Effect in Brazil?," Brazilian Review of Finance, Brazilian Society of Finance, volume 12, issue 1, pages 13-39.
• Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014, "A Compound Multifractal Model for High-Frequency Asset Returns," BYU Macroeconomics and Computational Laboratory Working Paper Series, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory, number 2014-05, Aug.
• Natalia Bailey & Vanessa Smith & M. Hashem Pesaran, 2014, "A multiple testing approach to the regularisation of large sample correlation matrices," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1413, Jun.
• Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2014, "Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1464, Oct.
• David E. Allen & Michael McAleer & Abhay K. Singh, 2014, "Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 14/04, Jan.
• Michael McAleer, 2014, "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 14/09, Feb.
• Manabu Asai & Michael McAleer, 2014, "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 14/10, Mar.
• Michael McAleer & Christian M. Hafner, 2014, "A One Line Derivation of EGARCH," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 14/16, Jun.
• Shawkat Hammoudeh & Michael McAleer, 2014, "Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 14/17, Jun.
• Christian M. Hafner & Michael McAleer, 2014, "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 14/19, Jul.
• David E. Allen & Michael McAleer & Marcel Scharth, 2014, "Asymmetric Realized Volatility Risk," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 14/20, Jul.
• Guillaume Gaetan Martinet & Michael McAleer, 2014, "On the Invertibility of EGARCH," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 14/21, Jul.
• David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014, "Volatility Spillovers from Australia's major trading partners across the GFC," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 14/23, Aug.
• Michael McAleer, 2014, "Asymmetry and Leverage in Conditional Volatility Models," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 14/24, Sep.
• Chia-Lin Chang & Michael McAleer, 2014, "Econometric Analysis of Financial Derivatives: An Overview," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 14/29, Dec.
• Olivier Schöni, 2014, "Asymptotic Properties of Imputed Hedonic Price Indices," SERC Discussion Papers, Centre for Economic Performance, LSE, number 0166, Oct.
• Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith, 2014, "A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices," CESifo Working Paper Series, CESifo, number 4834.
• Marc Gronwald, 2014, "The Economics of Bitcoins - Market Characteristics and Price Jumps," CESifo Working Paper Series, CESifo, number 5121.
• Jorge M. Uribe & Juli�n Fern�ndez, 2014, "Riesgo sistémico en el mercado de acciones colombiano: alternativas de diversificación bajo eventos extremos," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Carlos Le�n, 2014, "Scale-free tails in Colombian financial indexes: a primer," Borradores de Economia, Banco de la Republica, number 11144, Mar.
• Jorge Uribe & Juli�n Fern�ndez, 2014, "Burbujas financieras y comportamiento reciente de los mercados de acciones en América Latina," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 81, pages 57-90.
• G.A. Meagher & Felicity Pang & R.A. Wilson, 2014, "Interfacing a CGE Labour Market Model with the E3ME Multi-Sector Macroeconomic Model," Centre of Policy Studies/IMPACT Centre Working Papers, Victoria University, Centre of Policy Studies/IMPACT Centre, number g-248, Sep.
• G.A. Meagher & R.A.Wilson & E.Yerushalmi, 2014, "Emerging Structural Pressures in European Labour Markets," Centre of Policy Studies/IMPACT Centre Working Papers, Victoria University, Centre of Policy Studies/IMPACT Centre, number g-249, Sep.
• CARPANTIER, Jean-François & DUFAYS, Arnaud, 2014, "Specific Markov-switching behaviour for ARMA parameters," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2014014, Jun.
• BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe, 2014, "Forecasting comparison of long term component dynamic models for realized covariance matrices," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2014053, Nov.
• Braione, Manuela & Scholtes, Nicolas K., 2014, "Construction of value-at-risk forecasts under different distributional assumptions within a BEKK framework," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2014059, Nov.
• Hafner, Christian & Breitung, Jörg, 2014, "A simple model for now-casting volatility series," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2014060, Nov.
• BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V.K., 2014, "Marginal likelihood for Markov-switching and change-point GARCH models," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2533, Jan.
• BOUDT, Kris & PETITJEAN, Mikael, 2014, "Intraday liquidity dynamics and news releases around price jumps: evidence from the DJIA stocks," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2591, Jan.
• BAUWENS, Luc & DE BACKER, Bruno & DUFAYS, Arnaud, 2014, "A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2641, Jan.
• Elzbieta Szulc & Dagna Wleklinska & Karolina Gorna & Joanna Gorna, 2014, "The significance of distance between stock exchanges undergoing the process of convergence: An analysis of selected world stock exchanges during the period of 2004-2012," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, volume 14, pages 125-144.
• Christian Francq & Jean-Michel Zakoian, 2014, "Multi-level Conditional VaR Estimation in Dynamic Models," Working Papers, Center for Research in Economics and Statistics, number 2014-01.
• Grané Chávez, Aurea & Martín-Barragán, Belén & Veiga, Helena, 2014, "Outliers in multivariate Garch models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws140503, Feb.
• Liang Jiang & Peter C.B. Phillips & Jun Yu, 2014, "A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1969, Dec.