Research classified by Journal of Economic Literature (JEL) codes

2014

• Manganelli, Simone & Idier, Julien & Vergote, Olivier & Ghysels, Eric, 2014, "A high frequency assessment of the ECB securities markets programme," Working Paper Series, European Central Bank, number 1642, Feb.
• Linzert, Tobias & Winkelmann, Lars & Bibinger, Markus, 2014, "ECB monetary policy surprises: identification through cojumps in interest rates," Working Paper Series, European Central Bank, number 1674, May.
• Serpil TURKYILMAZ & Mesut BALIBEY, 2014, "Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models," International Journal of Economics and Financial Issues, Econjournals, volume 4, issue 2, pages 400-410.
• Alex Granate, 2014, "Directions of the State Effect on the Development of Communication Systems of the Agrarian Sector Enterprises," International Journal of Economics and Financial Issues, Econjournals, volume 4, issue 3, pages 572-579.
• Mesut BALLIBEY & Serpil T RKYILMAZ, 2014, "Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market," International Journal of Economics and Financial Issues, Econjournals, volume 4, issue 4, pages 836-848.
• Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2014, "On the Sources of Uncertainty in Exchange Rate Predictability," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2015-24, Sep.
• Golinski, Adam & Madeira, Joao & Rambaccussing, Dooruj, 2014, "Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2015-79, Sep.
• Fabio Filipozzi & Kersti Harkmann, 2014, "Currency hedge – walking on the edge?," Bank of Estonia Working Papers, Bank of Estonia, number wp2014-5, Oct, revised 10 Oct 2014.
• Chen, Ray-Bing & Chen, Ying & Härdle, Wolfgang K., 2014, "TVICA—Time varying independent component analysis and its application to financial data," Computational Statistics & Data Analysis, Elsevier, volume 74, issue C, pages 95-109, DOI: 10.1016/j.csda.2014.01.002.
• Aielli, Gian Piero & Caporin, Massimiliano, 2014, "Variance clustering improved dynamic conditional correlation MGARCH estimators," Computational Statistics & Data Analysis, Elsevier, volume 76, issue C, pages 556-576, DOI: 10.1016/j.csda.2013.01.029.
• Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo, 2014, "Quadratic hedging schemes for non-Gaussian GARCH models," Journal of Economic Dynamics and Control, Elsevier, volume 42, issue C, pages 13-32, DOI: 10.1016/j.jedc.2014.03.001.
• Reboredo, Juan C., 2014, "Volatility spillovers between the oil market and the European Union carbon emission market," Economic Modelling, Elsevier, volume 36, issue C, pages 229-234, DOI: 10.1016/j.econmod.2013.09.039.
• Goutte, Stéphane, 2014, "Conditional Markov regime switching model applied to economic modelling," Economic Modelling, Elsevier, volume 38, issue C, pages 258-269, DOI: 10.1016/j.econmod.2013.12.007.
• Kumar, Dilip & Maheswaran, S., 2014, "A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices," Economic Modelling, Elsevier, volume 38, issue C, pages 33-44, DOI: 10.1016/j.econmod.2013.11.045.
• Reboredo, Juan C. & Rivera-Castro, Miguel A., 2014, "Can gold hedge and preserve value when the US dollar depreciates?," Economic Modelling, Elsevier, volume 39, issue C, pages 168-173, DOI: 10.1016/j.econmod.2014.02.038.
• Sensoy, Ahmet & Soytas, Ugur & Yildirim, Irem & Hacihasanoglu, Erk, 2014, "Dynamic relationship between Turkey and European countries during the global financial crisis," Economic Modelling, Elsevier, volume 40, issue C, pages 290-298, DOI: 10.1016/j.econmod.2014.04.024.
• Haugom, Erik & Lien, Gudbrand & Veka, Steinar & Westgaard, Sjur, 2014, "Covariance estimation using high-frequency data: Sensitivities of estimation methods," Economic Modelling, Elsevier, volume 43, issue C, pages 416-425, DOI: 10.1016/j.econmod.2014.08.016.
• Tamakoshi, Go & Hamori, Shigeyuki, 2014, "Spillovers among CDS indexes in the US financial sector," The North American Journal of Economics and Finance, Elsevier, volume 27, issue C, pages 104-113, DOI: 10.1016/j.najef.2013.12.001.
• Herrera, Rodrigo & Schipp, Bernhard, 2014, "Statistics of extreme events in risk management: The impact of the subprime and global financial crisis on the German stock market," The North American Journal of Economics and Finance, Elsevier, volume 29, issue C, pages 218-238, DOI: 10.1016/j.najef.2014.06.013.
• Álvarez-Díaz, Marcos & Hammoudeh, Shawkat & Gupta, Rangan, 2014, "Detecting predictable non-linear dynamics in Dow Jones Islamic Market and Dow Jones Industrial Average indices using nonparametric regressions," The North American Journal of Economics and Finance, Elsevier, volume 29, issue C, pages 22-35, DOI: 10.1016/j.najef.2014.05.001.
• Chang, Kuang-Liang, 2014, "The symmetrical and positive relationship between crude oil and nominal exchange rate returns," The North American Journal of Economics and Finance, Elsevier, volume 29, issue C, pages 266-284, DOI: 10.1016/j.najef.2014.07.001.
• Majdoub, Jihed & Mansour, Walid, 2014, "Islamic equity market integration and volatility spillover between emerging and US stock markets," The North American Journal of Economics and Finance, Elsevier, volume 29, issue C, pages 452-470, DOI: 10.1016/j.najef.2014.06.011.
• Tamakoshi, Go & Hamori, Shigeyuki, 2014, "The conditional dependence structure of insurance sector credit default swap indices," The North American Journal of Economics and Finance, Elsevier, volume 30, issue C, pages 122-132, DOI: 10.1016/j.najef.2014.09.002.
• Demiralay, Sercan & Ulusoy, Veysel, 2014, "Non-linear volatility dynamics and risk management of precious metals," The North American Journal of Economics and Finance, Elsevier, volume 30, issue C, pages 183-202, DOI: 10.1016/j.najef.2014.10.002.
• Ardia, David & Hoogerheide, Lennart F., 2014, "GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts," Economics Letters, Elsevier, volume 123, issue 2, pages 187-190, DOI: 10.1016/j.econlet.2014.02.008.
• Lahaye, Jerome & Shaw, Philip, 2014, "Can we reject linearity in an HAR-RV model for the S&P 500? Insights from a nonparametric HAR-RV," Economics Letters, Elsevier, volume 125, issue 1, pages 43-46, DOI: 10.1016/j.econlet.2014.07.003.
• Kalli, Maria & Griffin, Jim E., 2014, "Time-varying sparsity in dynamic regression models," Journal of Econometrics, Elsevier, volume 178, issue 2, pages 779-793, DOI: 10.1016/j.jeconom.2013.10.012.
• Kim, Hyun Hak & Swanson, Norman R., 2014, "Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence," Journal of Econometrics, Elsevier, volume 178, issue P2, pages 352-367, DOI: 10.1016/j.jeconom.2013.08.033.
• Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K., 2014, "Marginal likelihood for Markov-switching and change-point GARCH models," Journal of Econometrics, Elsevier, volume 178, issue P3, pages 508-522, DOI: 10.1016/j.jeconom.2013.08.017.
• Jensen, Mark J. & Maheu, John M., 2014, "Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture," Journal of Econometrics, Elsevier, volume 178, issue P3, pages 523-538, DOI: 10.1016/j.jeconom.2013.08.018.
• Chen, Song Xi & Xu, Zheng, 2014, "On implied volatility for options—Some reasons to smile and more to correct," Journal of Econometrics, Elsevier, volume 179, issue 1, pages 1-15, DOI: 10.1016/j.jeconom.2013.10.007.
• Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin, 2014, "Multivariate rotated ARCH models," Journal of Econometrics, Elsevier, volume 179, issue 1, pages 16-30, DOI: 10.1016/j.jeconom.2013.10.003.
• Horváth, Lajos & Kokoszka, Piotr & Rice, Gregory, 2014, "Testing stationarity of functional time series," Journal of Econometrics, Elsevier, volume 179, issue 1, pages 66-82, DOI: 10.1016/j.jeconom.2013.11.002.
• Zu, Yang & Peter Boswijk, H., 2014, "Estimating spot volatility with high-frequency financial data," Journal of Econometrics, Elsevier, volume 181, issue 2, pages 117-135, DOI: 10.1016/j.jeconom.2014.04.001.
• Grothe, Oliver & Korniichuk, Volodymyr & Manner, Hans, 2014, "Modeling multivariate extreme events using self-exciting point processes," Journal of Econometrics, Elsevier, volume 182, issue 2, pages 269-289, DOI: 10.1016/j.jeconom.2014.03.011.
• Blake, David & Caulfield, Tristan & Ioannidis, Christos & Tonks, Ian, 2014, "Improved inference in the evaluation of mutual fund performance using panel bootstrap methods," Journal of Econometrics, Elsevier, volume 183, issue 2, pages 202-210, DOI: 10.1016/j.jeconom.2014.05.010.
• von Eije, Henk & Goyal, Abhinav & Muckley, Cal B., 2014, "Does the information content of payout initiations and omissions influence firm risks?," Journal of Econometrics, Elsevier, volume 183, issue 2, pages 222-229, DOI: 10.1016/j.jeconom.2014.05.012.
• Dewandaru, Ginanjar & Rizvi, Syed Aun R. & Masih, Rumi & Masih, Mansur & Alhabshi, Syed Othman, 2014, "Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis," Economic Systems, Elsevier, volume 38, issue 4, pages 553-571, DOI: 10.1016/j.ecosys.2014.05.003.
• Castro, Carlos & Ferrari, Stijn, 2014, "Measuring and testing for the systemically important financial institutions," Journal of Empirical Finance, Elsevier, volume 25, issue C, pages 1-14, DOI: 10.1016/j.jempfin.2013.10.009.
• Karanasos, Menelaos & Paraskevopoulos, Alexandros G. & Menla Ali, Faek & Karoglou, Michail & Yfanti, Stavroula, 2014, "Modelling stock volatilities during financial crises: A time varying coefficient approach," Journal of Empirical Finance, Elsevier, volume 29, issue C, pages 113-128, DOI: 10.1016/j.jempfin.2014.08.002.
• Bauwens, Luc & De Backer, Bruno & Dufays, Arnaud, 2014, "A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models," Journal of Empirical Finance, Elsevier, volume 29, issue C, pages 207-229, DOI: 10.1016/j.jempfin.2014.06.008.
• Conrad, Christian & Loch, Karin & Rittler, Daniel, 2014, "On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets," Journal of Empirical Finance, Elsevier, volume 29, issue C, pages 26-40, DOI: 10.1016/j.jempfin.2014.03.009.
• Sun, Pengfei & Zhou, Chen, 2014, "Diagnosing the distribution of GARCH innovations," Journal of Empirical Finance, Elsevier, volume 29, issue C, pages 287-303, DOI: 10.1016/j.jempfin.2014.08.005.
• Gillen, Benjamin J., 2014, "An empirical Bayesian approach to stein-optimal covariance matrix estimation," Journal of Empirical Finance, Elsevier, volume 29, issue C, pages 402-420, DOI: 10.1016/j.jempfin.2014.09.006.
• Aloui, Riadh & Aïssa, Mohamed Safouane Ben & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2014, "Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management," Energy Economics, Elsevier, volume 42, issue C, pages 332-342, DOI: 10.1016/j.eneco.2013.12.005.
• Brigida, Matthew, 2014, "The switching relationship between natural gas and crude oil prices," Energy Economics, Elsevier, volume 43, issue C, pages 48-55, DOI: 10.1016/j.eneco.2014.01.014.
• Benth, Fred Espen & Klüppelberg, Claudia & Müller, Gernot & Vos, Linda, 2014, "Futures pricing in electricity markets based on stable CARMA spot models," Energy Economics, Elsevier, volume 44, issue C, pages 392-406, DOI: 10.1016/j.eneco.2014.03.020.
• Madaleno, Mara & Pinho, Carlos, 2014, "Wavelet dynamics for oil-stock world interactions," Energy Economics, Elsevier, volume 45, issue C, pages 120-133, DOI: 10.1016/j.eneco.2014.06.024.
• Dias, José G. & Ramos, Sofia B., 2014, "Heterogeneous price dynamics in U.S. regional electricity markets," Energy Economics, Elsevier, volume 46, issue C, pages 453-463, DOI: 10.1016/j.eneco.2014.05.012.
• Mason, Charles F. & A. Wilmot, Neil, 2014, "Jump processes in natural gas markets," Energy Economics, Elsevier, volume 46, issue S1, pages 69-79, DOI: 10.1016/j.eneco.2014.09.015.
• Atil, Ahmed & Lahiani, Amine & Nguyen, Duc Khuong, 2014, "Asymmetric and nonlinear pass-through of crude oil prices to gasoline and natural gas prices," Energy Policy, Elsevier, volume 65, issue C, pages 567-573, DOI: 10.1016/j.enpol.2013.09.064.
• Baldi, Lucia & Peri, Massimo & Vandone, Daniela, 2014, "Clean energy industries and rare earth materials: Economic and financial issues," Energy Policy, Elsevier, volume 66, issue C, pages 53-61, DOI: 10.1016/j.enpol.2013.10.067.
• Dias, José G. & Ramos, Sofia B., 2014, "Energy price dynamics in the U.S. market. Insights from a heterogeneous multi-regime framework," Energy, Elsevier, volume 68, issue C, pages 327-336, DOI: 10.1016/j.energy.2014.01.077.
• Berger, T. & Missong, M., 2014, "Financial crisis, Value-at-Risk forecasts and the puzzle of dependency modeling," International Review of Financial Analysis, Elsevier, volume 33, issue C, pages 33-38, DOI: 10.1016/j.irfa.2013.07.006.
• Bekiros, Stelios D., 2014, "Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets," International Review of Financial Analysis, Elsevier, volume 33, issue C, pages 58-69, DOI: 10.1016/j.irfa.2013.07.007.
• Boudreault, Mathieu & Gauthier, Geneviève & Thomassin, Tommy, 2014, "Contagion effect on bond portfolio risk measures in a hybrid credit risk model," Finance Research Letters, Elsevier, volume 11, issue 2, pages 131-139, DOI: 10.1016/j.frl.2013.07.005.
• Gradojevic, Nikola, 2014, "Foreign exchange customers and dealers: Who’s driving whom?," Finance Research Letters, Elsevier, volume 11, issue 3, pages 213-218, DOI: 10.1016/j.frl.2013.11.005.
• Medovikov, Ivan, 2014, "Can analysts predict rallies better than crashes?," Finance Research Letters, Elsevier, volume 11, issue 4, pages 319-325, DOI: 10.1016/j.frl.2014.08.001.
• Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk, 2014, "Constructing a financial fragility index for emerging countries," Finance Research Letters, Elsevier, volume 11, issue 4, pages 410-419, DOI: 10.1016/j.frl.2014.07.007.
• Boudt, Kris & Petitjean, Mikael, 2014, "Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks," Journal of Financial Markets, Elsevier, volume 17, issue C, pages 121-149, DOI: 10.1016/j.finmar.2013.05.004.
• Kearney, Fearghal & Cummins, Mark & Murphy, Finbarr, 2014, "Outperformance in exchange-traded fund pricing deviations: Generalized control of data snooping bias," Journal of Financial Markets, Elsevier, volume 19, issue C, pages 86-109, DOI: 10.1016/j.finmar.2013.08.003.
• Dimpfl, Thomas & Peter, Franziska J., 2014, "The impact of the financial crisis on transatlantic information flows: An intraday analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 31, issue C, pages 1-13, DOI: 10.1016/j.intfin.2014.03.004.
• Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2014, "Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 31, issue C, pages 159-177, DOI: 10.1016/j.intfin.2014.03.015.
• Turhan, M. Ibrahim & Sensoy, Ahmet & Hacihasanoglu, Erk, 2014, "A comparative analysis of the dynamic relationship between oil prices and exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 32, issue C, pages 397-414, DOI: 10.1016/j.intfin.2014.07.003.
• Arouri, Mohamed & Hammoudeh, Shawkat & Jawadi, Fredj & Nguyen, Duc Khuong, 2014, "Financial linkages between US sector credit default swaps markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 33, issue C, pages 223-243, DOI: 10.1016/j.intfin.2014.08.002.
• Chkili, Walid & Aloui, Chaker & Nguyen, Duc Khuong, 2014, "Instabilities in the relationships and hedging strategies between crude oil and US stock markets: Do long memory and asymmetry matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 33, issue C, pages 354-366, DOI: 10.1016/j.intfin.2014.09.003.
• Gupta, Rangan & Hammoudeh, Shawkat & Modise, Mampho P. & Nguyen, Duc Khuong, 2014, "Can economic uncertainty, financial stress and consumer sentiments predict U.S. equity premium?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 33, issue C, pages 367-378, DOI: 10.1016/j.intfin.2014.09.004.
• Lee, Chien-Chiang & Chen, Mei-Ping & Chang, Chi-Hung, 2014, "Industry co-movement and cross-listing: Do home country factors matter?," Japan and the World Economy, Elsevier, volume 32, issue C, pages 96-110, DOI: 10.1016/j.japwor.2014.09.001.
• Chen, Yi-Ting & Ho, Keng-Yu & Tzeng, Larry Y., 2014, "Riskiness-minimizing spot-futures hedge ratio," Journal of Banking & Finance, Elsevier, volume 40, issue C, pages 154-164, DOI: 10.1016/j.jbankfin.2013.11.038.
• Gilder, Dudley & Shackleton, Mark B. & Taylor, Stephen J., 2014, "Cojumps in stock prices: Empirical evidence," Journal of Banking & Finance, Elsevier, volume 40, issue C, pages 443-459, DOI: 10.1016/j.jbankfin.2013.04.025.
• Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan Sivananthan, 2014, "An analysis of price discovery from panel data models of CDS and equity returns," Journal of Banking & Finance, Elsevier, volume 41, issue C, pages 167-177, DOI: 10.1016/j.jbankfin.2014.01.008.
• Alter, Adrian & Beyer, Andreas, 2014, "The dynamics of spillover effects during the European sovereign debt turmoil," Journal of Banking & Finance, Elsevier, volume 42, issue C, pages 134-153, DOI: 10.1016/j.jbankfin.2014.01.030.
• Christiansen, Charlotte, 2014, "Integration of European bond markets," Journal of Banking & Finance, Elsevier, volume 42, issue C, pages 191-198, DOI: 10.1016/j.jbankfin.2014.01.022.
• Guermat, Cherif, 2014, "Yes, the CAPM is testable," Journal of Banking & Finance, Elsevier, volume 46, issue C, pages 31-42, DOI: 10.1016/j.jbankfin.2014.05.001.
• Jung, R.C. & Maderitsch, R., 2014, "Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?," Journal of Banking & Finance, Elsevier, volume 47, issue C, pages 331-342, DOI: 10.1016/j.jbankfin.2013.12.023.
• Ziggel, Daniel & Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik, 2014, "A new set of improved Value-at-Risk backtests," Journal of Banking & Finance, Elsevier, volume 48, issue C, pages 29-41, DOI: 10.1016/j.jbankfin.2014.07.005.
• Gnabo, Jean-Yves & Hvozdyk, Lyudmyla & Lahaye, Jérôme, 2014, "System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies," Journal of International Money and Finance, Elsevier, volume 48, issue PA, pages 147-174, DOI: 10.1016/j.jimonfin.2014.07.002.
• Da Fonseca, José & Gottschalk, Katrin, 2014, "Cross-hedging strategies between CDS spreads and option volatility during crises," Journal of International Money and Finance, Elsevier, volume 49, issue PB, pages 386-400, DOI: 10.1016/j.jimonfin.2014.03.010.
• Gündüz, Yalin & Kaya, Orcun, 2014, "Impacts of the financial crisis on eurozone sovereign CDS spreads," Journal of International Money and Finance, Elsevier, volume 49, issue PB, pages 425-442, DOI: 10.1016/j.jimonfin.2014.03.013.
• Lee, Bong-Soo & Ko, Kwangsoo, 2014, "Are Japanese short sellers information detectives?," Journal of the Japanese and International Economies, Elsevier, volume 34, issue C, pages 89-97, DOI: 10.1016/j.jjie.2014.05.002.
• Chan, Kam Fong & Powell, John G. & Treepongkaruna, Sirimon, 2014, "Currency jumps and crises: Do developed and emerging market currencies jump together?," Pacific-Basin Finance Journal, Elsevier, volume 30, issue C, pages 132-157, DOI: 10.1016/j.pacfin.2014.08.001.
• Hammoudeh, Shawkat & Mensi, Walid & Reboredo, Juan Carlos & Nguyen, Duc Khuong, 2014, "Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors," Pacific-Basin Finance Journal, Elsevier, volume 30, issue C, pages 189-206, DOI: 10.1016/j.pacfin.2014.10.001.
• Coulomb, Renaud & Sangnier, Marc, 2014, "The impact of political majorities on firm value: Do electoral promises or friendship connections matter?," Journal of Public Economics, Elsevier, volume 115, issue C, pages 158-170, DOI: 10.1016/j.jpubeco.2014.05.001.
• Macchiarelli, Corrado, 2014, "Bond market co-movements, expected inflation and the GBP-USD equilibrium real exchange rate," The Quarterly Review of Economics and Finance, Elsevier, volume 54, issue 2, pages 242-256, DOI: 10.1016/j.qref.2013.10.008.
• Reboredo, Juan C. & Rivera-Castro, Miguel A., 2014, "Wavelet-based evidence of the impact of oil prices on stock returns," International Review of Economics & Finance, Elsevier, volume 29, issue C, pages 145-176, DOI: 10.1016/j.iref.2013.05.014.
• Turhan, M. Ibrahim & Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk, 2014, "A view to the long-run dynamic relationship between crude oil and the major asset classes," International Review of Economics & Finance, Elsevier, volume 33, issue C, pages 286-299, DOI: 10.1016/j.iref.2014.06.002.
• Ma, Jun & Wohar, Mark E., 2014, "Determining what drives stock returns: Proper inference is crucial: Evidence from the UK," International Review of Economics & Finance, Elsevier, volume 33, issue C, pages 371-390, DOI: 10.1016/j.iref.2014.02.006.
• Reboredo, Juan C. & Rivera-Castro, Miguel A., 2014, "Gold and exchange rates: Downside risk and hedging at different investment horizons," International Review of Economics & Finance, Elsevier, volume 34, issue C, pages 267-279, DOI: 10.1016/j.iref.2014.07.005.
• Tamakoshi, Go & Hamori, Shigeyuki, 2014, "On cross-currency transmissions between US dollar and euro LIBOR-OIS spreads," Research in International Business and Finance, Elsevier, volume 30, issue C, pages 83-90, DOI: 10.1016/j.ribaf.2013.06.001.
• Chevapatrakul, Thanaset & Tee, Kai-Hong, 2014, "The effects of news events on market contagion: Evidence from the 2007–2009 financial crisis," Research in International Business and Finance, Elsevier, volume 32, issue C, pages 83-105, DOI: 10.1016/j.ribaf.2014.03.003.
• Joshua C.C. Chan & Angelia L. Grant, 2014, "Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2014-51, Jul.
• Ozge KORKMAZ & Suleyman Serdar KARACA, 2014, "Uretim Isletmelerinde Firma Karliliginin Finansal Belirleyicileri ve BIST Imalat Sanayi Uygulamasi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 14, issue 1, pages 21-29.
• Alex Maynard & Dongmeng Ren, 2014, "Assessing the Power of Long-Horizon Predictive Tests in Models of Bull and Bear Markets," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of Peter C. B. Phillips", DOI: 10.1108/S0731-905320140000033019.
• Daniel Felix Ahelegbey & Paolo Giudici, 2014, "Bayesian Selection of Systemic Risk Networks," Advances in Econometrics, Emerald Group Publishing Limited, "Bayesian Model Comparison", DOI: 10.1108/S0731-905320140000034007.
• John Cockburn & Luc Savard & Luca Tiberti, 2014, "Macro-Micro Models," Contributions to Economic Analysis, Emerald Group Publishing Limited, "Handbook of Microsimulation Modelling", DOI: 10.1108/S0573-855520140000293008.
• McAleer, M.J., 2014, "Asymmetry and Leverage in Conditional Volatility Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number 77759, Sep.
• Chang, C-L. & McAleer, M.J., 2014, "Econometric Analysis of Financial Derivatives," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2015-02, Dec.
• Agata Kliber, 2014, "The Dynamics of Sovereign Credit Default Swaps and the Evolution of the Financial Crisis in Selected Central European Economies," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 64, issue 4, pages 330-350, September.
• Petra Andrlíková, 2014, "Is Barrier version of Merton model more realistic? Evidence from Europe," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2014/11, Apr, revised Apr 2014.
• Jozef Baruník & Frantisek Cech, 2014, "On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2014/23, Aug, revised Aug 2014.
• Daniel Bencik, 2014, "Range-based Volatility Estimation and Forecasting," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2014/34, Dec, revised Dec 2014.
• Nikolay Gospodinov & Ibrahim Jamali, 2014, "The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2014-14, Aug.
• Jesus Cañas & Emily Kerr, 2014, "Texas Manufacturing Outlook Survey: survey methodology and performance," Working Papers, Federal Reserve Bank of Dallas, number 1416, Dec, DOI: 10.24149/wp1416.
• Jerome Lahaye & Christopher J. Neely, 2014, "The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited," Working Papers, Federal Reserve Bank of St. Louis, number 2014-034, Oct, DOI: 10.20955/wp.2014.034.
• Erik Vogt, 2014, "Option-implied term structures," Staff Reports, Federal Reserve Bank of New York, number 706, Dec.
• Francesco Calvori & Fabrizio Cipollini & Giampiero M. Gallo, 2014, "Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2014_01, Feb, revised Feb 2014.
• Giampiero M. Gallo & Edoardo Otranto, 2014, "Forecasting Realized Volatility with Changes of Regimes," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2014_03, Feb, revised Feb 2014.
• Alessandra Amendola & Vincenzo Candila & Antonio Scognamillo, 2014, "Does U.S. Monetary Policy Affect Crude Oil Future Price Volatility? An Empirical Investigation," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2014_17.rdf.
• Michael McAleer, 2014, "Asymmetry and Leverage in Conditional Volatility Models," Econometrics, MDPI, volume 2, issue 3, pages 1-6, September.
• David E. Allen & Michael McAleer & Marcel Scharth, 2014, "Asymmetric Realized Volatility Risk," JRFM, MDPI, volume 7, issue 2, pages 1-30, June.
• António Alberto Santos & Ana Margarida Monteiro & Rui Pascoal, 2014, "Portfolio Choice under Parameter Uncertainty: Bayesian Analysis and Robust Optimization Comparison," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2014-25, Dec.

2013

• Stefano Grassi & Paolo Santucci de Magistris, 2013, "It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-03, 02.
• Sílvia Gonçalves & Ulrich Hounyo & Nour Meddahi, 2013, "Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-07, 02.
• Daniela Osterrieder, 2013, "Interest Rates with Long Memory: A Generalized Affine Term-Structure Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-17, 05.
• Ulrich Hounyo & Sílvia Goncalves & Nour Meddahi, 2013, "Bootstrapping pre-averaged realized volatility under market microstructure noise," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-28, 08.
• Ulrich Hounyo, 2013, "Bootstrapping realized volatility and realized beta under a local Gaussianity assumption," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-30, 09.
• Torben G. Andersen & Oleg Bondarenko, 2013, "Assessing Measures of Order Flow Toxicity via Perfect Trade Classification," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-43, 11.
• Tatiana MANOLE & Sofia SCUTARI (ANGHEL), 2013, "Use Of The Macroeconomic Models In The Analysis Of The Balance Value," Economy and Sociology, The Journal Economy and Sociology, issue 2, pages 21-33.
• Cândida Ferreira, 2013, "Banking Efficiency and European Financial Integration," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, volume 59, issue 2, pages 99-124, DOI: 10.3790/aeq.59.2.99.
• Baldi, Lucia & Peri, Massimo & Vandone, Daniela, 2013, "Clean Energy Industries and rare Earth Materials: Economic and Financial Issues," 2013 International European Forum, February 18-22, 2013, Innsbruck-Igls, Austria, International European Forum on System Dynamics and Innovation in Food Networks, number 164750, Sep, DOI: 10.22004/ag.econ.164750.
• Cavaliere, Giuseppe & ßrregaard Nielsen, Morten & Taylor, A.M. Robert, 2013, "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 274634, Dec, DOI: 10.22004/ag.econ.274634.
• Pujula, Aude Liliana & Zapata, Hector O., 2013, "Macroeconomic Aspects of Ghana's Export Performance," 2013 Annual Meeting, February 2-5, 2013, Orlando, Florida, Southern Agricultural Economics Association, number 143039, DOI: 10.22004/ag.econ.143039.
• Almánzar, Miguel & Torero, Máximo & Grebmer, Klaus von, 2013, "Futures Commodities Prices and Media Coverage," Discussion Papers, University of Bonn, Center for Development Research (ZEF), number 149414, May, DOI: 10.22004/ag.econ.149414.
• Bucher, Axel & Jaschke, Stefan & Wied, Dominik, 2013, "Nonparametric tests for constant tail dependence with an application to energy and finance," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2013033, Jan.
• Pierret, D., 2013, "The systemic risk of energy markets," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2013061, Jan.
• Adela Socol & Adina Elena DănuleÅ£iu, 2013, "Analysis Of The Romanian Banks' Performance Through Roa, Roe And Non-Performing Loans Models," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 2, issue 15, pages 1-24.
• Mihaela NICOLAU & Giulio PALOMBA & Ilaria TRAINI, 2013, "Are Futures Prices Influenced by Spot;Prices or Vice-versa? An Analysis of Crude;Oil, Natural Gas and Gold Markets," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 394, Nov.
• João F. Caldeira, 2013, "Arbitragem Estatística, Estratégia Long-Short Pairs Trading, Abordagem com Cointegração Aplicada ao Mercado de Ações Brasileiro," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 14, issue 1b, pages 521-546.
• Fulvio Baldovin & Massimiliano Caporin & Michele Caraglio & Attilio Stella & Marco Zamparo, 2013, "Option pricing with non-Gaussian scaling and infinite-state switching volatility," Papers, arXiv.org, number 1307.6322, Jul, revised May 2014.
• Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2013, "Gold, Oil, and Stocks," Papers, arXiv.org, number 1308.0210, Aug, revised Mar 2014.
• Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2013, "Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?," Papers, arXiv.org, number 1308.1221, Aug, revised Jul 2014.
• Selma Chaker, 2013, "Volatility and Liquidity Costs," Staff Working Papers, Bank of Canada, number 13-29, DOI: 10.34989/swp-2013-29.
• Selma Chaker & Nour Meddahi, 2013, "Volatility Forecasting when the Noise Variance Is Time-Varying," Staff Working Papers, Bank of Canada, number 13-48, DOI: 10.34989/swp-2013-48.
• Selma Chaker & Nour Meddahi, 2013, "A Distributional Approach to Realized Volatility," Staff Working Papers, Bank of Canada, number 13-49, DOI: 10.34989/swp-2013-49.
• Doruk KUCUKSARAC & Ozgur OZEL, 2013, "The Overnight Currency Swap Rates and ISE Overnight Repo Rates," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 7, issue 2, pages 37-53.
• Emma Berenguer & Ricardo Gimeno & Juan M. Nave, 2013, "Term structure estimation, liquidity-induced heteroskedasticity and the price of liquidity risk," Working Papers, Banco de España, number 1308, May.
• Hamann-Salcedo, Franz Alonso & Mejía, Luis Fernando & Rodríguez-Niño, Norberto, 2013, "Flujos de capitales y crecimiento en Colombia : estimación y perspectivas," Chapters, Banco de la Republica de Colombia, chapter 6, in: Rincón-Castro, Hernán & Velasco, Andrés M., "Flujos de capitales, choques externos y respuestas de política en países emergentes", DOI: 10.32468/Ebook.664-270-5.
• Vasile Cocris & Anca Elena Nucu, 2013, "Monetary policy and financial stability: empirical evidence from Central and Eastern European countries," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, volume 13, issue 1, pages 75-98, July.
• Santiago García-Verdú & Manuel Ramos-Francia, 2013, "Interventions and expected exchange rates in emerging market economies," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements, "Sovereign risk: a world without risk-free assets?".
• Bucevska Vesna, 2013, "An Empirical Evaluation of GARCH Models in Value-at-Risk Estimation: Evidence from the Macedonian Stock Exchange," Business Systems Research, Sciendo, volume 4, issue 1, pages 49-64, March, DOI: 10.2478/bsrj-2013-0005.
• Corrado Macchiarelli, 2013, "On the Joint Test of the Uncovered Interest Parity and the Ex-ante Purchasing Power Parity," Review of International Economics, Wiley Blackwell, volume 21, issue 3, pages 519-535, August.
• Martin Andreasen & Andrew Meldrum, 2013, "Likelihood inference in non-linear term structure models: the importance of the lower bound," Bank of England working papers, Bank of England, number 481, Dec.
• Stavros Degiannakis & Timotheos Angelidis & George Filis, 2013, "Oil price shocks and volatility do predict stock market regimes," Working Papers, Bank of Greece, number 170, Dec.
• Burc Ulengin & M. Banu Yobas, 2013, "Effects of Horizontal M&As on Trading Volume of Stock Exchanges," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, volume 13, issue 52, pages 38-58, April.
• Aloy Marcel & Dufrénot Gilles & Tong Charles Lai & Peguin-Feissolle Anne, 2013, "A smooth transition long-memory model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 17, issue 3, pages 281-296, May, DOI: 10.1515/snde-2012-0042.
• Ito, Ryoko, 2013, "Modeling Dynamic Diurnal Patterns in High-Frequency Financial Data," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1315, Jun.
• Kelly, Robert & McQuinn, Kieran, 2013, "On the hook for impaired bank lending: Do sovereign-bank inter-linkages affect the fiscal multiplier?," Research Technical Papers, Central Bank of Ireland, number 01/RT/13, Mar.
• Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013, "Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 13/07, Jan.
• Massimiliano Caporin & Michael McAleer, 2013, "Ten Things You Should Know About DCC," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 13/16, Mar.
• Massimiliano Caporin & Michael McAleer, 2013, "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 13/21, Jun.
• Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral, 2013, "Risk Modeling and Management: An Overview," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 13/22, Jun.
• Michael Melvin & John Prins & Duncan Shand, 2013, "Forecasting Exchange Rates: An Investor Perspective," CESifo Working Paper Series, CESifo, number 4238.
• Marc Gronwald, 2013, "Explosive Oil Prices," CESifo Working Paper Series, CESifo, number 4376.
• Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013, "The Micro Dynamics of Macro Announcements," CESifo Working Paper Series, CESifo, number 4421.
• Chris Bardgett & Elise Gourier & Markus Leippold, 2013, "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-40, Jul, revised Dec 2016.
• Lanwenjing Yin & Kanchana Chokethaworn & Chukiat Chaiboonsri, 2013, "Dependence structure analysis between stock index futures and spot markets in the case of the “Golden week” effect," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, volume 2, issue 4, pages 75-86, December.
• Theo Berger, 2013, "Forecasting value-at-risk using time varying copulas and EVT return distributions," International Economics, CEPII research center, issue 133, pages 93-106.
• Narcisa Kadlcakova & Lubos Komarek & Zlatuse Komarkova & Michal Hlavacek, 2013, "Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory," Working Papers, Czech National Bank, Research and Statistics Department, number 2013/14, Dec.
• Julio César Alonso & Andr�s Mauricio Arcila, 2013, "Empleo del comportamiento estacional para mejorar el pronóstico de un commodity: el caso del mercado internacional del azúcar," Estudios Gerenciales, Universidad Icesi.
• Fabián Enrique Salazar Villano, 2013, "Cuantificación del riesgo de incumplimiento en créditos de libre inversión: un ejercicio econométrico para una entidad bancaria del municipio de Popayán, Colombia," Estudios Gerenciales, Universidad Icesi.
• Jorge Mario Uribe Gil, 2013, "Testing for multiple bubbles with daily data," Documentos de Trabajo, Universidad del Valle, CIDSE, number 11028, Jul.
• BAUWENS, Luc & otranto, EDOARDO, 2013, "Modeling the dependence of conditional correlations on volatility," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2013014, May.
• PIERRET, Diane, 2013, "The systemic risk of energy markets," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2013018, May.
• BAUWENS, Luc & HAFNER, Christian M. & PIERRET, Diane, 2013, "Multivariate volatility modeling of electricity futures," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2526, Jan.
• Joanna Olbrys, 2013, "Asymmetric impact of innovations on volatility in the case of the US and CEEC-3 markets: EGARCH based approach," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, volume 13, pages 33-50.
• Malgorzata Doman & Ryszard Doman, 2013, "The Dynamics and Strength of Linkages between the Stock Markets in the Czech Republic, Hungary and Poland after their EU Accession," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, volume 13, pages 5-32.
• Ghysels, Eric & Manganelli, Simone & , & Idier, Julien, 2013, "A high frequency assessment of the ECB Securities Markets Programme," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9778, Dec.
• Sucarrat, Genaro & Escribano, Álvaro, 2013, "Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1321, Sep.
• Boswijk, H. P. & Zu, Y., 2013, "Testing for Cointegration with Nonstationary Volatility," Working Papers, Department of Economics, City St George's, University of London, number 13/08.