Research classified by Journal of Economic Literature (JEL) codes

2014

• Ciumas Cristina & Chis Diana-Maria, 2014, "Pricing And Assessing Unit-Linked Insurance Contracts With Investment Guarantees," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 864-873, July.
• Niccolò Battistini & Marco Pagano & Saverio Simonelli, 2014, "Systemic risk, sovereign yields and bank exposures in the euro crisis
  [Real effects of the sovereign debt crises in Europe: evidence from syndicated loans]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, volume 29, issue 78, pages 203-251.
• Rainer Dahlhaus & Jan C. Neddermeyer, 2014, "Online Spot Volatility-Estimation and Decomposition with Nonlinear Market Microstructure Noise Models," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 1, pages 174-212.
• Rama Cont & Arseniy Kukanov & Sasha Stoikov, 2014, "The Price Impact of Order Book Events," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 1, pages 47-88.
• Mark Hallam & Jose Olmo, 2014, "Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 2, pages 408-432.
• Sílvia Gonçalves & Ulrich Hounyo & Nour Meddahi, 2014, "Bootstrap Inference for Pre-averaged Realized Volatility based on Nonoverlapping Returns," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 4, pages 679-707.
• Cioca Ionela Cornelia, 2014, "Analysis of the Banking System Performance in Romania During 2000-2012," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 109-114, May.
• Popescu Iulian Vasile, 2014, "Mutations Driven by the Global Financial Crisis on the Hierarchy of Monetary Policy Transmission Mechanism Channels in CEE Countries," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 169-177, May.
• Kevin Sheppard & Wen Xu, 2014, "Factor High-Frequency Based Volatility (HEAVY) Models," Economics Series Working Papers, University of Oxford, Department of Economics, number 710, May.
• Villalba Padilla, Fátima Irina & Flores-Ortega, Miguel, 2014, "Análisis de la volatilidad del índice principal del mercado bursátil mexicano, del índice de riesgo país y de la mezcla mexicana de exportación mediante un modelo GARCH trivariado asimétrico || Volatility Analysis of the Core Mexican Stock Market Ind," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 17, issue 1, pages 3-22, June.
• Massimiliano Caporin & Aleksey Kolokolov & Roberto RenoÕ, 2014, "Multi-jumps," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0185, Sep.
• Massimiliano Caporin & Eduardo Rossi & Paolo Santucci De Magistris, 2014, "Chasing Volatility. A Persistent Multiplicative Error Model With Jumps," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0186, Sep.
• Alfredo Calderon Vela & Gabriel Rodríguez, 2014, "Extreme Value Theory: An Application to the Peruvian Stock Market Returns," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2014-394.
• Hernández, Juan R., 2014, "Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis," MPRA Paper, University Library of Munich, Germany, number 100653.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014, "Mergers and acquisitions transactions strategies in diffusion - type financial systems in highly volatile global capital markets with nonlinearities," MPRA Paper, University Library of Munich, Germany, number 52697, Jan.
• Zhu, Ke & Li, Wai Keung, 2014, "A new Pearson-type QMLE for conditionally heteroskedastic models," MPRA Paper, University Library of Munich, Germany, number 52732, Jan.
• Demiralay, Sercan & Ulusoy, Veysel, 2014, "Value-at-risk Predictions of Precious Metals with Long Memory Volatility Models," MPRA Paper, University Library of Munich, Germany, number 53229, Jan.
• El Ghini, Ahmed & Saidi, Youssef, 2014, "Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis," MPRA Paper, University Library of Munich, Germany, number 53439, Jan.
• Vardhan, Harsh & Sinha, Pankaj, 2014, "Influence of Foreign Institutional Investments (FIIs) on the Indian stock market," MPRA Paper, University Library of Munich, Germany, number 53611, Jan.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014, "Strategies on initial public offering of company equity at stock exchanges in imperfect highly volatile global capital markets with induced nonlinearities," MPRA Paper, University Library of Munich, Germany, number 53769, Feb.
• Zhu, Ke & Li, Wai Keung & Yu, Philip L.H., 2014, "Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates," MPRA Paper, University Library of Munich, Germany, number 53874, Feb.
• Cosma, Antonio & Galli, Fausto, 2014, "A non parametric ACD model," MPRA Paper, University Library of Munich, Germany, number 53990, Feb.
• Galli, Fausto, 2014, "Stochastic conditonal range, a latent variable model for financial volatility," MPRA Paper, University Library of Munich, Germany, number 54030, Feb.
• Galli, Fausto, 2014, "Stochastic conditonal range, a latent variable model for financial volatility," MPRA Paper, University Library of Munich, Germany, number 54841, Feb.
• Chang, Chia-Lin, 2014, "Modelling a Latent Daily Tourism Financial Conditions Index," MPRA Paper, University Library of Munich, Germany, number 54887, Mar.
• Jin, Xin & Maheu, John M, 2014, "Modeling Covariance Breakdowns in Multivariate GARCH," MPRA Paper, University Library of Munich, Germany, number 55243, Apr.
• P., Srinivasan, 2014, "Stock Market Development and Economic growth in India: An Empirical Analysis," MPRA Paper, University Library of Munich, Germany, number 55657, May.
• Mohanty, Roshni & P, Srinivasan, 2014, "The Time-Varying Risk and Return Trade Off in Indian Stock Markets," MPRA Paper, University Library of Munich, Germany, number 55660, May.
• Mapa, Dennis S. & Paz, Nino Joseph I. & Eustaquio, John D. & Mindanao, Miguel Antonio C., 2014, "Forecasting Time-Varying Correlation using the Dynamic Conditional Correlation (DCC) Model," MPRA Paper, University Library of Munich, Germany, number 55861.
• Albis, Manuel Leonard F. & Mapa, Dennis S., 2014, "Bayesian Averaging of Classical Estimates in Asymmetric Vector Autoregressive (AVAR) Models," MPRA Paper, University Library of Munich, Germany, number 55902.
• Medovikov, Ivan, 2014, "Can Analysts Predict Rallies Better Than Crashes?," MPRA Paper, University Library of Munich, Germany, number 55942, May.
• Sinha, Pankaj & Agnihotri, Shalini, 2014, "Sensitivity of Value at Risk estimation to NonNormality of returns and Market capitalization," MPRA Paper, University Library of Munich, Germany, number 56307, Mar, revised 26 May 2014.
• Miglo, Anton & Wu, Congsheng, 2014, "Asymmetric Information and IPO Size," MPRA Paper, University Library of Munich, Germany, number 56550.
• Wanat, Stanisław & Papież, Monika & Śmiech, Sławomir, 2014, "The conditional dependence structure between precious metals: a copula-GARCH approach," MPRA Paper, University Library of Munich, Germany, number 56664, Jun.
• Kakorina, Ekaterina, 2014, "Forecasting conditional volatility on the RIN market using MS GARCH model," MPRA Paper, University Library of Munich, Germany, number 56704, Jul.
• Karapanagiotidis, Paul, 2014, "Dynamic modeling of commodity futures prices," MPRA Paper, University Library of Munich, Germany, number 56805, Jun.
• Karapanagiotidis, Paul, 2014, "Dynamic State-Space Models," MPRA Paper, University Library of Munich, Germany, number 56807, Jun.
• Dewandaru, Ginanjar & Alaoui, AbdelKader & Bacha, Obiyathulla & Masih, Mansur, 2014, "Stock Market Co-movement and Shock Transmission: Islamic versus Conventional Equity Indices," MPRA Paper, University Library of Munich, Germany, number 56888, Jun.
• Saiti, Buerhan & Bacha, Obiyathulla & Masih, Mansur, 2014, "Testing the Conventional and Islamic Financial Market Contagion: Evidence from Wavelet Analysis," MPRA Paper, University Library of Munich, Germany, number 56907, Jun.
• Abdullah, Ahmad Monir & Saiti, Buerhan & Masih, Abul Mansur M., 2014, "The Impact of Crude Oil Price on Islamic Stock Indices of South East Asian (SEA) Countries: A Comparative Analysis," MPRA Paper, University Library of Munich, Germany, number 56957, Jun.
• Abdul Wahab, Hishamuddin & Rosly, Saiful Azhar & Masih, Abul Mansur M., 2014, "Risk Taking Behavior and Capital Adequacy in a Mixed Banking System: New Evidence from Malaysia using Dynamic OLS and Two-step Dynamic System GMM Estimators," MPRA Paper, University Library of Munich, Germany, number 56975, Jun.
• Abdullah, Ahmad Monir & Masih, Abul Mansur M., 2014, "The Impact of Crude Oil Price on Macroeconomic Variables: New Evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 56976, Jun.
• Abdullah, Ahmad Monir & Saiti, Buerhan & Masih, Abul Mansur M., 2014, "Causality between Stock Market Index and Macroeconomic Variables: A Case Study for Malaysia," MPRA Paper, University Library of Munich, Germany, number 56987, Jun.
• Abdullah, Ahmad Monir & Saiti, Buerhan & Masih, Abul Mansur M., 2014, "Diversification in Crude Oil and Other Commodities: A Comparative Analysis," MPRA Paper, University Library of Munich, Germany, number 56988, Jun.
• Rithuan, Syahidah Hanis Meor & Abdullah, Ahmad Monir & Masih, Abul Mansur M., 2014, "The Impact of Crude Oil Price on Islamic Stock Indices of Gulf Cooperation Council (GCC) Countries: A Comparative Analysis," MPRA Paper, University Library of Munich, Germany, number 56989, Jun.
• Saiti, Buerhan & Masih, Mansur, 2014, "The Co-movement of Selective Conventional and Islamic Stock Markets in East Asia: Is there any Impact on Shariah Compliant Equity Investment in China?," MPRA Paper, University Library of Munich, Germany, number 56992, Jun.
• Rizvi, Aun & Masih, Mansur, 2014, "Oil price shocks and GCC capital markets: who drives whom?," MPRA Paper, University Library of Munich, Germany, number 56993, Jun.
• Kabir, Sarkar Humayun & Masih, Mansur, 2014, "Dynamic Integration of Domestic Equity Price, Foreign Equity Price and Macroeconomic Indicators: Evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 57007, Jun.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014, "On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper, University Library of Munich, Germany, number 57084, Jul.
• Forson, Joseph Ato & Janrattanagul, Jakkaphong, 2014, "Selected Macroeconomic Variables and Stock Market Movements: Empirical evidence from Thailand," MPRA Paper, University Library of Munich, Germany, number 57582, Jun.
• el Alaoui, AbdelKader & Masih, Mansur & Bacha, Obiyathulla & Asutay, Mehmet, 2014, "Leverage versus volatility: Evidence from the Capital Structure of European Firms," MPRA Paper, University Library of Munich, Germany, number 57682, Jun.
• el Alaoui, AbdelKader & Masih, Mansur & Bacha, Obiyathulla & Asutay, Mehmet, 2014, "Leverage, Sensitivity to Market Risk and Contagion: A Multi-Country Analysis for Shari’ah(Islamic) Stock Screening," MPRA Paper, University Library of Munich, Germany, number 57685, Jun.
• Ilhan, Bilal & Masih, Mansur, 2014, "Do Portfolio Diversification Opportunities exist across the Euro Zone Islamic Equity Markets? MGARCH-DCC and Wavelet Correlation Analysis," MPRA Paper, University Library of Munich, Germany, number 57688, Jul.
• Hussan, Subithabhanu & Masih, Mansur, 2014, "Are The Profit Rates of the Islamic Investment Deposit Accounts Truly Performance Based? A Case Study of Malaysia," MPRA Paper, University Library of Munich, Germany, number 57689, Jul.
• Wanat, Stanisław & Papież, Monika & Śmiech, Sławomir, 2014, "Causality in distribution between European stock markets and commodity prices: Using independence test based on the empirical copula," MPRA Paper, University Library of Munich, Germany, number 57706, Aug.
• Rafi, Umar & Masih, Mansur, 2014, "Are Islamic Banks Truly Shariah Compliant? An Application of Time Series Multivariate Forecasting Techniques to Islamic Bank Financing," MPRA Paper, University Library of Munich, Germany, number 57711, Jul.
• el Alaoui, AbdelKader & Masih, Mansur & Bacha, Obiyathulla & Asutay, Mehmet, 2014, "Leverage, return, volatility and contagion: Evidence from the portfolio framework," MPRA Paper, University Library of Munich, Germany, number 57726, Jul.
• Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2014, "Multi-jumps," MPRA Paper, University Library of Munich, Germany, number 58175, Aug.
• Masih, Mansur & AbdulKarim, Fatima, 2014, "Dynamic causal chain of money, output, interest rate, exchange rate and prices: Nigeria as a case study," MPRA Paper, University Library of Munich, Germany, number 58240, Aug.
• Yildirim, Ramazan & Masih, A. Mansur M., 2014, "The Effect of Recent Financial Crisis over Global Portfolio Diversification Opportunities – Empirical Evidence A Comparative Multivariate GARCH-DCC, MODWT and Wavelet Correlation Analysis," MPRA Paper, University Library of Munich, Germany, number 58269, Aug.
• Chang, Chia-Lin & Hu, Shing-Yang & Yu, Shih-Ti, 2014, "Recent Developments in Quantitative Finance: An Overview," MPRA Paper, University Library of Munich, Germany, number 58307, Sep.
• Hiremath, Gourishankar S & Kumari, Jyoti, 2014, "Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India," MPRA Paper, University Library of Munich, Germany, number 58378.
• Golinski, Adam & Madeira, Joao & Rambaccussing, Dooruj, 2014, "Fractional Integration of the Price-Dividend Ratio in a Present-Value Model," MPRA Paper, University Library of Munich, Germany, number 58554, Sep.
• Golmohammadpoor Azar, Kamran, 2014, "Estimation of Fractal Parameters of Tehran Stock Market Groups Time Series Using Discrete Wavelet Transform," MPRA Paper, University Library of Munich, Germany, number 58597, Jun.
• Naseri, Marjan & Masih, Mansur, 2014, "Integration and Comovement of Developed and Emerging Islamic Stock Markets: A Case Study of Malaysia," MPRA Paper, University Library of Munich, Germany, number 58799, Aug.
• Karkowska, Renata, 2014, "Is the Central and Eastern European banking systems stable? Evidence from the recent financial crisis," MPRA Paper, University Library of Munich, Germany, number 58803, Jan.
• Ali, Mohsin & Masih, Mansur, 2014, "Does Indian Stock Market Provide Diversification Benefits Against Oil Price Shocks? A Sectoral Analysis," MPRA Paper, University Library of Munich, Germany, number 58828, Aug.
• Rahim, Adam Mohamed & Masih, Mansur, 2014, "Effects of Political Turmoil (Arab Spring) on Portfolio Diversification Benefits: Perspectives of the Moroccan Islamic Stock investors," MPRA Paper, University Library of Munich, Germany, number 58832, Aug.
• Omer, Gamal Salih & Masih, Mansur, 2014, "Estimating and Forecasting Conditional Volatility and Correlations of the Dow Jones Islamic Stock Market Index Using Multivariate GARCH-DCC," MPRA Paper, University Library of Munich, Germany, number 58862, Aug.
• Al Shugaa, Ameen & Masih, Mansur, 2014, "Uncertainty and Volatility in MENA Stock Markets During the Arab Spring," MPRA Paper, University Library of Munich, Germany, number 58867, Aug.
• Farouk, Faizal & Masih, Mansur, 2014, "Are There Profit (Returns) in Shariah-Compliant Exchange Traded Funds? The Multiscale Propensity," MPRA Paper, University Library of Munich, Germany, number 58869, Aug.
• Yusoff, Yuzlizawati & Masih, Mansur, 2014, "Comovement of East and West Stock Market Indexes," MPRA Paper, University Library of Munich, Germany, number 58872, Aug.
• Rahim, Adam Mohamed & Masih, Mansur, 2014, "Portfolio Diversification Benefits of Islamic Stocks and Malaysia’s Major Trading Partners:MGARCH-DCC and Wavelet Correlation Approaches," MPRA Paper, University Library of Munich, Germany, number 58903, Sep.
• Hakim, Idwan & Masih, Mansur, 2014, "Portfolio diversification strategy for Malaysia: International and sectoral perspectives," MPRA Paper, University Library of Munich, Germany, number 58909, Sep.
• Byrne, Joseph P & Korobilis, Dimitris & Ribeiro, Pinho J, 2014, "On the Sources of Uncertainty in Exchange Rate Predictability," MPRA Paper, University Library of Munich, Germany, number 58956, Sep.
• Estrada, Fernando, 2014, "Rescue costs and financial risk," MPRA Paper, University Library of Munich, Germany, number 59066.
• Akcay, Belgin & Yucel, Eray, 2014, "Unveiling the House Price Movements and Financial Development," MPRA Paper, University Library of Munich, Germany, number 59377, Aug, revised 19 Oct 2014.
• Dewandaru, Ginanjar & Rizvi, Syed Aun & Sarkar, Kabir & Bacha, Obiyathulla & Masih, Mansur, 2014, "How do Macroeconomic Changes Impact Islamic and Conventional Equity Prices? Evidence from Developed and Emerging Countries," MPRA Paper, University Library of Munich, Germany, number 59587, May.
• el Alaoui, AbdelKader & Diwandaru, Ginanjar & Rosly, Saiful Azhar & Masih, Mansur, 2014, "What Drives Profitability of Banks: Do Interest rate, and Fee and Commissions impact the profitability of Banks? Evidence from the European Countries," MPRA Paper, University Library of Munich, Germany, number 59606, Oct.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014, "On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper, University Library of Munich, Germany, number 59770, Jul.
• Mehta, Anirudh & Kanishka, Kunal, 2014, "Modeling and Forecasting Volatility – How Reliable are modern day approaches?," MPRA Paper, University Library of Munich, Germany, number 59788, Nov.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014, "On the fundamentals of winning virtuous strategies creation toward leveraged buyout transactions implementation during private equity investment in conditions of resonant absorption of discrete information in diffusion - type financial system with in," MPRA Paper, University Library of Munich, Germany, number 60055, Nov.
• Jin, Xin & Maheu, John M, 2014, "Bayesian Semiparametric Modeling of Realized Covariance Matrices," MPRA Paper, University Library of Munich, Germany, number 60102, Nov.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014, "On the fundamentals of winning virtuous strategies creation toward leveraged buyout transactions implementation during private equity investment in conditions of resonant absorption of discrete information in diffusion - type financial system with in," MPRA Paper, University Library of Munich, Germany, number 60106, Nov.
• Valli, Mohammed & Masih, Mansur, 2014, "Is there any causality between inflation and FDI in an ‘inflation targeting’ regime? Evidence from South Africa," MPRA Paper, University Library of Munich, Germany, number 60246, Aug.
• Kamaruzdin, Thaqif & Masih, Mansur, 2014, "An inquiry into the stability of Islamic Financial Services Institutions in terms of volatility, risk and correlations: A case study of Malaysia employing M-GARCH t-DCC and MODWT Wavelet approaches," MPRA Paper, University Library of Munich, Germany, number 60248, Jul.
• Yaremenko, Nataliia, 2014, "Bank investment attractiveness and the methodology for its assessment at mergers and acquisitions," MPRA Paper, University Library of Munich, Germany, number 60635.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014, "On the fundamentals of winning virtuous strategies creation toward leveraged buyout transactions implementation during private equity investment in conditions of resonant absorption of discrete information in diffusion - type financial system with in," MPRA Paper, University Library of Munich, Germany, number 61805, Nov.
• Mobin, Mohammad Ashraful & Masih, Mansur, 2014, "Do the macroeconomic variables have any impact on the Islamic bank deposits?An application of ARDL approach to the Malaysian market," MPRA Paper, University Library of Munich, Germany, number 62342, Aug.
• Jaffar, Yusuf & Masih, Mansur, 2014, "Exploring portfolio diversification opportunities through venture capital financing," MPRA Paper, University Library of Munich, Germany, number 62351, Aug.
• Rahman, Sharezan & Masih, Mansur, 2014, "Increasing household debts and its relation to GDP, interest rate and house price: Malaysia’s perspective," MPRA Paper, University Library of Munich, Germany, number 62365, Aug.
• Hashim, Khairul & Masih, Mansur, 2014, "What causes economic growth in Malaysia: exports or imports ?," MPRA Paper, University Library of Munich, Germany, number 62366, Aug.
• Abdi, Zeinab & Masih, Mansur, 2014, "Which type of government revenue leads government expenditure?," MPRA Paper, University Library of Munich, Germany, number 62367, Aug.
• Mukhoti, Sujay, 2014, "Non-Stationary Stochastic Volatility Model for Dynamic Feedback and Skewness," MPRA Paper, University Library of Munich, Germany, number 62532, Jun.
• Pönkä, Harri, 2014, "Predicting the direction of US stock markets using industry returns," MPRA Paper, University Library of Munich, Germany, number 62942, Feb.
• Alaaabed, Alaa & Masih, Mansur, 2014, "Finance-growth nexus: insights from an application of threshold regression model to Malaysia’s dual financial system," MPRA Paper, University Library of Munich, Germany, number 62990, Jun.
• Alaabed, Alaa & Masih, Mansur, 2014, "Size and Volatility: new evidence from an application of wavelet approach to the emerging Islamic mutual funds’ industry," MPRA Paper, University Library of Munich, Germany, number 62991, Jun.
• Othman, Arshad Nuval & Masih, Mansur, 2014, "The different impact of conventional interest rates on Islamic stock market, Islamic banking and Islamic insurance: evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 63285, Jul.
• Muteba Mwamba, John & Thabo, Lethaba & Uwilingiye, Josine, 2014, "Modelling the short-term interest rate with stochastic differential equation in continuous time: linear and nonlinear models," MPRA Paper, University Library of Munich, Germany, number 64386, Aug.
• Tang, Bo, 2014, "Exchange Rate Exposure of Chinese Firms at the Industry and Firm level," MPRA Paper, University Library of Munich, Germany, number 66008, Dec, revised Apr 2015.
• Zou, Tao & Chen, Song Xi, 2014, "Enhancing Estimation for Interest Rate Diffusion Models with Bond Prices," MPRA Paper, University Library of Munich, Germany, number 67073, Jan, revised Apr 2015.
• Youssef, Ahmed H. & El-Sheikh, Ahmed A. & Abonazel, Mohamed R., 2014, "New GMM Estimators for Dynamic Panel Data Models," MPRA Paper, University Library of Munich, Germany, number 68676, Oct.
• Izatov, Asset, 2014, "Testing the Effect of the Conflict in Georgia in 2008 on Energy Market," MPRA Paper, University Library of Munich, Germany, number 70787, Apr.
• Muteba Mwamba, John Weirstrass & Webb, Daniel, 2014, "The predictability of asset returns in the BRICS countries: a nonparametric approach," MPRA Paper, University Library of Munich, Germany, number 72880, Jul, revised 15 Nov 2014.
• BEKHALED, Aicha & DADENE, Abdelghani & CHIKHI, Mohamed, 2014, "اختبار القدرة على التنبؤ بعوائد مؤشر سوق الدار البيضاء المالي من 2007 إلى 2011
  [Testing the Predictability of Casablanca Stock Exchange Returns (2007-2011)]," MPRA Paper, University Library of Munich, Germany, number 76629, revised 2014.
• Ben Naceur, Hassen, 2014, "Stock Market Indexes: A random walk test with ARCH (q) disturbances," MPRA Paper, University Library of Munich, Germany, number 78978, Sep.
• 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.
• Daniel King & Ferdi Botha, 2014, "Modelling Stock Return Volatility Dynamics in Selected African Markets," ERSA Working Paper Series, Economic Research Southern Africa, number 410, Jan.
• 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 3, 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(0x74ea4580), September.
• Zhaodong Wang & Weian Zheng, 2014, "High-Frequency Trading and Probability Theory," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9233, ISBN: ARRAY(0x74f347f8), September.
• 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.