Research classified by Journal of Economic Literature (JEL) codes

2013

• Riadh Aloui & Mohamed Safouane Ben Aissa & Duc Khuong Nguyen, 2013, "A wavelet-based copula approach for modeling market risk in agricultural commodity markets," Working Papers, Development and Policies Research Center (DEPOCEN), Vietnam, number 154.
• Henri Audigé, 2013, "A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2013-2.
• Sessi Tokpavi, 2013, "Testing for the Systemically Important Financial Institutions: a Conditional Approach," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2013-27.
• Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2013, "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2013-36.
• Jia Li & Andrew J. Patton, 2013, "Asymptotic Inference about Predictive Accuracy Using High Frequency Data," Working Papers, Duke University, Department of Economics, number 13-27.
• Irving Arturo De Lira Salvatierra & Andrew J. Patton, 2013, "Dynamic Copula Models and High Frequency Data," Working Papers, Duke University, Department of Economics, number 13-28.
• Dong Hwan Oh & Andrew J. Patton, 2013, "Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads," Working Papers, Duke University, Department of Economics, number 13-30.
• Benlagha, N., 2013, "Co-movement of Index linked bonds and conventional bonds in France: Subprime crisis and Structural Break, 2003-01, 2012-04," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 13, issue 1, pages 55-66.
• Banerjee, Anurag N. & Chevillon, Guillaume & Kratz, Marie, 2013, "Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1314, Sep.
• Calvet , Laurent & Czellar, Veronika, 2013, "Through the Looking Glass: Indirect Inference via Simple Equilibria," HEC Research Papers Series, HEC Paris, number 1048, Nov.
• di Mauro, Filippo & Fornari, Fabio & Mannucci, Dario, 2011, "Stock market firm-level information and real economic activity," Working Paper Series, European Central Bank, number 1366, Aug.
• Macchiarelli, Corrado, 2011, "A VAR analysis for the uncovered interest parity and the ex-ante purchasing power parity: the role of macroeconomic and financial information," Working Paper Series, European Central Bank, number 1404, Dec.
• Macchiarelli, Corrado, 2011, "Bond market co-movements, expected inflation and the equilibrium real exchange rate," Working Paper Series, European Central Bank, number 1405, Dec.
• Beyer, Andreas & Alter, Adrian, 2013, "The dynamics of spillover effects during the European sovereign debt crisis," Working Paper Series, European Central Bank, number 1558, Jun.
• Esref Savas BASCI & S leyman Serdar KARACA, 2013, "The Determinants of Stock Market Index: VAR Approach to Turkish Stock Market," International Journal of Economics and Financial Issues, Econjournals, volume 3, issue 1, pages 163-171.
• Zouheir Mighri & Faysal Mansouri, 2013, "Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises," International Journal of Economics and Financial Issues, Econjournals, volume 3, issue 3, pages 637-661.
• Bentes, Sonia R. & Menezes, Rui, 2013, "On the predictability of realized volatility using feasible GLS," Journal of Asian Economics, Elsevier, volume 28, issue C, pages 58-66, DOI: 10.1016/j.asieco.2013.08.002.
• Zhang, Wei & Shen, Dehua & Zhang, Yongjie & Xiong, Xiong, 2013, "Open source information, investor attention, and asset pricing," Economic Modelling, Elsevier, volume 33, issue C, pages 613-619, DOI: 10.1016/j.econmod.2013.03.018.
• Maheswaran, S. & Kumar, Dilip, 2013, "An automatic bias correction procedure for volatility estimation using extreme values of asset prices," Economic Modelling, Elsevier, volume 33, issue C, pages 701-712, DOI: 10.1016/j.econmod.2013.05.019.
• Girardin, Eric & Joyeux, Roselyne, 2013, "Macro fundamentals as a source of stock market volatility in China: A GARCH-MIDAS approach," Economic Modelling, Elsevier, volume 34, issue C, pages 59-68, DOI: 10.1016/j.econmod.2012.12.001.
• de Truchis, Gilles, 2013, "Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue," Economic Modelling, Elsevier, volume 34, issue C, pages 98-105, DOI: 10.1016/j.econmod.2012.12.011.
• Melvin, Michael & Prins, John & Shand, Duncan, 2013, "Forecasting Exchange Rates: an Investor Perspective," Handbook of Economic Forecasting, Elsevier, chapter 0, in: G. Elliott & C. Granger & A. Timmermann, "Handbook of Economic Forecasting", DOI: 10.1016/B978-0-444-62731-5.00013-0.
• Chuang, Wen-I & Huang, Teng-Ching & Lin, Bing-Huei, 2013, "Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options," The North American Journal of Economics and Finance, Elsevier, volume 25, issue C, pages 168-187, DOI: 10.1016/j.najef.2012.06.007.
• Caporin, Massimiliano, 2013, "Equity and CDS sector indices: Dynamic models and risk hedging," The North American Journal of Economics and Finance, Elsevier, volume 25, issue C, pages 261-275, DOI: 10.1016/j.najef.2012.06.004.
• Divino, Jose Angelo & Rocha, Líneke Clementino Sleegers, 2013, "Probability of default in collateralized credit operations," The North American Journal of Economics and Finance, Elsevier, volume 25, issue C, pages 276-292, DOI: 10.1016/j.najef.2012.06.015.
• Chang, Chia-Lin & Della Chang, Jui-Chuan & Huang, Yi-Wei, 2013, "Dynamic price integration in the global gold market," The North American Journal of Economics and Finance, Elsevier, volume 26, issue C, pages 227-235, DOI: 10.1016/j.najef.2013.02.002.
• Caporin, Massimiliano & Lisi, Francesco, 2013, "A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management," The North American Journal of Economics and Finance, Elsevier, volume 26, issue C, pages 236-249, DOI: 10.1016/j.najef.2013.02.003.
• Bannouh, Karim & Martens, Martin & van Dijk, Dick, 2013, "Forecasting volatility with the realized range in the presence of noise and non-trading," The North American Journal of Economics and Finance, Elsevier, volume 26, issue C, pages 535-551, DOI: 10.1016/j.najef.2013.02.020.
• Zheng, Tingguo & Zuo, Haomiao, 2013, "Reexamining the time-varying volatility spillover effects: A Markov switching causality approach," The North American Journal of Economics and Finance, Elsevier, volume 26, issue C, pages 643-662, DOI: 10.1016/j.najef.2013.05.001.
• Lin, Carl, 2013, "Decomposing abnormal returns in stochastic linear models," Economics Letters, Elsevier, volume 118, issue 1, pages 143-147, DOI: 10.1016/j.econlet.2012.09.035.
• Takahashi, Makoto & Omori, Yasuhiro & Watanabe, Toshiaki, 2013, "News impact curve for stochastic volatility models," Economics Letters, Elsevier, volume 120, issue 1, pages 130-134, DOI: 10.1016/j.econlet.2013.03.001.
• Bao, Yong & Ullah, Aman & Zinde-Walsh, Victoria, 2013, "On existence of moment of mean reversion estimator in linear diffusion models," Economics Letters, Elsevier, volume 120, issue 2, pages 146-148, DOI: 10.1016/j.econlet.2013.04.024.
• Atak, Alev & Kapetanios, George, 2013, "A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors," Economics Letters, Elsevier, volume 120, issue 2, pages 224-228, DOI: 10.1016/j.econlet.2013.03.051.
• Messow, Philip & Krämer, Walter, 2013, "Spurious persistence in stochastic volatility," Economics Letters, Elsevier, volume 121, issue 2, pages 221-223, DOI: 10.1016/j.econlet.2013.08.008.
• Guharay, Samar K. & Thakur, Gaurav S. & Goodman, Fred J. & Rosen, Scott L. & Houser, Daniel, 2013, "Analysis of non-stationary dynamics in the financial system," Economics Letters, Elsevier, volume 121, issue 3, pages 454-457, DOI: 10.1016/j.econlet.2013.09.026.
• Bikbov, Ruslan & Chernov, Mikhail, 2013, "Monetary policy regimes and the term structure of interest rates," Journal of Econometrics, Elsevier, volume 174, issue 1, pages 27-43, DOI: 10.1016/j.jeconom.2013.01.002.
• Jensen, Mark J. & Maheu, John M., 2013, "Bayesian semiparametric multivariate GARCH modeling," Journal of Econometrics, Elsevier, volume 176, issue 1, pages 3-17, DOI: 10.1016/j.jeconom.2013.03.009.
• Favero, Carlo A., 2013, "Modelling and forecasting government bond spreads in the euro area: A GVAR model," Journal of Econometrics, Elsevier, volume 177, issue 2, pages 343-356, DOI: 10.1016/j.jeconom.2013.04.004.
• Perron, Pierre & Chun, Sungju & Vodounou, Cosme, 2013, "Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices," Journal of Empirical Finance, Elsevier, volume 20, issue C, pages 42-62, DOI: 10.1016/j.jempfin.2012.10.002.
• Becker, Christoph & Schmidt, Wolfgang M., 2013, "Stressing correlations and volatilities — A consistent modeling approach," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 174-194, DOI: 10.1016/j.jempfin.2012.12.009.
• Orth, Walter, 2013, "Multi-period credit default prediction with time-varying covariates," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 214-222, DOI: 10.1016/j.jempfin.2013.01.006.
• Akay, Ozgur (Ozzy) & Senyuz, Zeynep & Yoldas, Emre, 2013, "Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 16-29, DOI: 10.1016/j.jempfin.2013.02.005.
• Herrera, Rodrigo & Schipp, Bernhard, 2013, "Value at risk forecasts by extreme value models in a conditional duration framework," Journal of Empirical Finance, Elsevier, volume 23, issue C, pages 33-47, DOI: 10.1016/j.jempfin.2013.05.002.
• Romano, Joseph P. & Wolf, Michael, 2013, "Testing for monotonicity in expected asset returns," Journal of Empirical Finance, Elsevier, volume 23, issue C, pages 93-116, DOI: 10.1016/j.jempfin.2013.05.001.
• Koop, Gary & Tole, Lise, 2013, "Modeling the relationship between European carbon permits and certified emission reductions," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 166-181, DOI: 10.1016/j.jempfin.2013.10.005.
• Gourieroux, C. & Monfort, A., 2013, "Linear-price term structure models," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 24-41, DOI: 10.1016/j.jempfin.2013.07.004.
• Reboredo, Juan C., 2013, "Modeling EU allowances and oil market interdependence. Implications for portfolio management," Energy Economics, Elsevier, volume 36, issue C, pages 471-480, DOI: 10.1016/j.eneco.2012.10.004.
• Arora, Vipin & Tanner, Matthew, 2013, "Do oil prices respond to real interest rates?," Energy Economics, Elsevier, volume 36, issue C, pages 546-555, DOI: 10.1016/j.eneco.2012.11.001.
• Nazlioglu, Saban & Erdem, Cumhur & Soytas, Ugur, 2013, "Volatility spillover between oil and agricultural commodity markets," Energy Economics, Elsevier, volume 36, issue C, pages 658-665, DOI: 10.1016/j.eneco.2012.11.009.
• Aloui, Riadh & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2013, "A time-varying copula approach to oil and stock market dependence: The case of transition economies," Energy Economics, Elsevier, volume 39, issue C, pages 208-221, DOI: 10.1016/j.eneco.2013.04.012.
• Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar, 2013, "Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals," Energy Economics, Elsevier, volume 40, issue C, pages 222-232, DOI: 10.1016/j.eneco.2013.05.022.
• Gupta, Rangan & Modise, Mampho P., 2013, "Does the source of oil price shocks matter for South African stock returns? A structural VAR approach," Energy Economics, Elsevier, volume 40, issue C, pages 825-831, DOI: 10.1016/j.eneco.2013.10.005.
• Jouvet, Pierre-André & Solier, Boris, 2013, "An overview of CO2 cost pass-through to electricity prices in Europe," Energy Policy, Elsevier, volume 61, issue C, pages 1370-1376, DOI: 10.1016/j.enpol.2013.05.090.
• Auer, Benjamin R. & Schuhmacher, Frank, 2013, "Performance hypothesis testing with the Sharpe ratio: The case of hedge funds," Finance Research Letters, Elsevier, volume 10, issue 4, pages 196-208, DOI: 10.1016/j.frl.2013.08.001.
• Kalaitzoglou, Iordanis & Ibrahim, Boulis M., 2013, "Does order flow in the European Carbon Futures Market reveal information?," Journal of Financial Markets, Elsevier, volume 16, issue 3, pages 604-635, DOI: 10.1016/j.finmar.2012.11.002.
• Borkowski, Bolesław & Krawiec, Monika & Shachmurove, Yochanan, 2013, "Impact of volatility estimation method on theoretical option values," Global Finance Journal, Elsevier, volume 24, issue 2, pages 119-128, DOI: 10.1016/j.gfj.2013.07.004.
• Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W., 2013, "Pricing inflation products with stochastic volatility and stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, volume 52, issue 2, pages 286-299, DOI: 10.1016/j.insmatheco.2013.01.003.
• Aramonte, Sirio & Giudice Rodriguez, Marius del & Wu, Jason, 2013, "Dynamic factor Value-at-Risk for large heteroskedastic portfolios," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4299-4309, DOI: 10.1016/j.jbankfin.2013.07.038.
• Birge, John R. & Júdice, Pedro, 2013, "Long-term bank balance sheet management: Estimation and simulation of risk-factors," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 4711-4720, DOI: 10.1016/j.jbankfin.2013.07.040.
• Dunis, Christian & Kellard, Neil M. & Snaith, Stuart, 2013, "Forecasting EUR–USD implied volatility: The case of intraday data," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 4943-4957, DOI: 10.1016/j.jbankfin.2013.08.028.
• Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2013, "On the predictability of stock prices: A case for high and low prices," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 5132-5146, DOI: 10.1016/j.jbankfin.2013.05.024.
• DiTraglia, Francis J. & Gerlach, Jeffrey R., 2013, "Portfolio selection: An extreme value approach," Journal of Banking & Finance, Elsevier, volume 37, issue 2, pages 305-323, DOI: 10.1016/j.jbankfin.2012.08.022.
• Bücker, Michael & van Kampen, Maarten & Krämer, Walter, 2013, "Reject inference in consumer credit scoring with nonignorable missing data," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 1040-1045, DOI: 10.1016/j.jbankfin.2012.11.002.
• Lönnbark, Carl, 2013, "On the role of the estimation error in prediction of expected shortfall," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 847-853, DOI: 10.1016/j.jbankfin.2012.10.013.
• Reboredo, Juan C., 2013, "Is gold a safe haven or a hedge for the US dollar? Implications for risk management," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 2665-2676, DOI: 10.1016/j.jbankfin.2013.03.020.
• Chang, Charles & Fuh, Cheng-Der & Lin, Shih-Kuei, 2013, "A tale of two regimes: Theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 3204-3217, DOI: 10.1016/j.jbankfin.2013.03.009.
• Weiß, Gregor N.F. & Supper, Hendrik, 2013, "Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3334-3350, DOI: 10.1016/j.jbankfin.2013.05.013.
• Gębka, Bartosz & Karoglou, Michail, 2013, "Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3639-3653, DOI: 10.1016/j.jbankfin.2013.04.035.
• Dreyer, Johannes K. & Schneider, Johannes & Smith, William T., 2013, "Saving-based asset-pricing," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3704-3715, DOI: 10.1016/j.jbankfin.2013.04.034.
• de Araújo, André da Silva & Garcia, Maria Teresa Medeiros, 2013, "Risk contagion in the north-western and southern European stock markets," Journal of Economics and Business, Elsevier, volume 69, issue C, pages 1-34, DOI: 10.1016/j.jeconbus.2013.04.005.
• Shynkevich, Andrei, 2013, "Time-series momentum as an intra- and inter-industry effect: Implications for market efficiency," Journal of Economics and Business, Elsevier, volume 69, issue C, pages 64-85, DOI: 10.1016/j.jeconbus.2013.05.004.
• Joslin, Scott & Le, Anh & Singleton, Kenneth J., 2013, "Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs," Journal of Financial Economics, Elsevier, volume 109, issue 3, pages 604-622, DOI: 10.1016/j.jfineco.2013.04.004.
• Aloui, Riadh & Ben Aïssa, Mohamed Safouane & Nguyen, Duc Khuong, 2013, "Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach," Journal of International Money and Finance, Elsevier, volume 32, issue C, pages 719-738, DOI: 10.1016/j.jimonfin.2012.06.006.
• Connor, Gregory & Suurlaht, Anita, 2013, "Dynamic stock market covariances in the Eurozone," Journal of International Money and Finance, Elsevier, volume 37, issue C, pages 353-370, DOI: 10.1016/j.jimonfin.2013.06.008.
• Reboredo, Juan C., 2013, "Is gold a hedge or safe haven against oil price movements?," Resources Policy, Elsevier, volume 38, issue 2, pages 130-137, DOI: 10.1016/j.resourpol.2013.02.003.
• Sensoy, Ahmet, 2013, "Dynamic relationship between precious metals," Resources Policy, Elsevier, volume 38, issue 4, pages 504-511, DOI: 10.1016/j.resourpol.2013.08.004.
• Aielli, Gian Piero & Caporin, Massimiliano, 2013, "Fast clustering of GARCH processes via Gaussian mixture models," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 94, issue C, pages 205-222, DOI: 10.1016/j.matcom.2012.09.015.
• Naifar, Nader & Al Dohaiman, Mohammed Saleh, 2013, "Nonlinear analysis among crude oil prices, stock markets' return and macroeconomic variables," International Review of Economics & Finance, Elsevier, volume 27, issue C, pages 416-431, DOI: 10.1016/j.iref.2013.01.001.
• Bekiros, Stelios D., 2013, "Irrational fads, short-term memory emulation, and asset predictability," Review of Financial Economics, Elsevier, volume 22, issue 4, pages 213-219, DOI: 10.1016/j.rfe.2013.05.005.
• Joshua C C Chan & Cody Y L Hsiao, 2013, "Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2013-74, Nov.
• Chang, C-L. & Chen, C-C. & McAleer, M.J. & Chen, P-Y., 2013, "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2013-04, Jan.
• Caporin, M. & McAleer, M.J., 2013, "Ten Things You Should Know About DCC," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2013-13, Mar.
• Afsin Sahin, 2013, "Estimating Money Demand Function by a Smooth Transition Regression Model: An Evidence for Turkey," Working Papers, Economic Research Forum, number 791, Nov, revised Nov 2013.
• Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2013, "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Erudite Working Paper, Erudite, number 2013-05.
• Niccolò Battistini & Marco Pagano & Saverio Simonelli, 2013, "Systemic Risk and Home Bias in the Euro Area," European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 494, Apr.
• Radovan Parrák, 2013, "The Economic Valuation of Variance Forecasts: An Artificial Option Market Approach," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2013/09, Aug, revised Aug 2013.
• Frank Schorfheide & Dongho Song & Amir Yaron, 2013, "Identifying long-run risks: a bayesian mixed-frequency approach," Working Papers, Federal Reserve Bank of Philadelphia, number 13-39.
• Gianluca Stefani & Marco Tiberti, 2013, "Textbook Estimators of Multiperiod Optimal Hedging Ratios: Methodological Aspects and Application to the European Wheat Market," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2013_29.rdf.
• Massimiliano Caporin & Michael McAleer, 2013, "Ten Things You Should Know about the Dynamic Conditional Correlation Representation," Econometrics, MDPI, volume 1, issue 1, pages 1-12, June.
• Mathieu Gatumel & Florian Ielpo, 2013, "Understanding momentum in commodity markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00947001.
• Dominique Guegan & Bertrand Hassani & Xin Zhao, 2013, "Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institutions Investment Decisions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00820839, Mar.
• Pierre-André Jouvet & Boris Solier, 2013, "An overview of CO2 cost pass-through to electricity prices in Europe," Post-Print, HAL, number hal-01385884, DOI: 10.1016/j.enpol.2013.05.090.
• Gilles De Truchis, 2013, "Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue," Post-Print, HAL, number hal-01498262, DOI: 10.1016/j.econmod.2012.12.011.
• Marcel Aloy & Gilles Dufrénot & Charles Lai-Tong & Anne Peguin-Feissolle, 2013, "A smooth transition long-memory model," Post-Print, HAL, number hal-01498270, May, DOI: 10.1515/snde-2012-0042.
• Eric Girardin & Roselyne Joyeux, 2013, "Macro fundamentals as a source of stock market volatility in China: A GARCH-MIDAS approach," Post-Print, HAL, number hal-01499615, DOI: 10.1016/j.econmod.2012.12.001.
• Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2013, "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Post-Print, HAL, number hal-01499630, DOI: 10.1007/s10614-012-9328-9.
• Anurag Narayan Banerjee & Guillaume Chevillon & Marie Kratz, 2013, "Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model," Working Papers, HAL, number hal-00870795, Sep.
• Brännäs, Kurt, 2013, "The Number of Traded Shares: A Time Series Modelling Approach," Umeå Economic Studies, Umeå University, Department of Economics, number 860, May.
• Kurozumi, Eiji & Aono, Kohei, 2013, "Estimation And Inference In Predictive Regressions," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 54, issue 2, pages 231-250, December, DOI: 10.15057/26018.
• Matthias Bauer, 2013, "Political Aversion To a Multilateral Fiscal Rule: The Dynamic Commitment Problem in European Fiscal Governance," Global Financial Markets Working Paper Series, Friedrich-Schiller-University Jena, number 44-2013, Aug.
• Chun An Li & Jia Chi Wang, 2013, "The Influences of Greed And Fear on Fund Performance," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 7, issue 5, pages 47-57.
• Monica Giulietti & Luigi Grossi, 2013, "Revenues from storage in a competitive electricity market: Empirical evidence from Great Britain," Working Papers, Institut d'Economia de Barcelona (IEB), number 2013/37.
• Nikola Gradojevic, 2013, "Foreign exchange customers and dealers: Who’s driving whom?," Working Papers, IESEG School of Management, number 2013-FIN-03, Nov.
• Sylvie Lecarpentier Moyal & Georges Prat & Patricia Renou Maissant & Remzi Uctum, 2013, "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Working Papers, Department of Research, Ipag Business School, number 2013-27, Jan.
• Emiliano Magrini & Ayca Donmez, 2013, "Agricultural Commodity Price Volatility and Its Macroeconomic Determinants: A GARCH-MIDAS Approach," JRC Research Reports, Joint Research Centre, number JRC84138, Oct.
• Viorica Chirila, 2013, "Analysis Of The Returns And Volatility Of The Environmental Stock Leaders," CES Working Papers, Centre for European Studies, Alexandru Ioan Cuza University, volume 5, issue 3, pages 359-377, September.
• Peter H. Sullivan, 2013, "Finding a Connection Between Exchange Rates and Fundamentals, How Should We Model Revisions to Forecasting Strategies?," 2013 Papers, Job Market Papers, number psu387, Nov.
• Thomas Lux, 2013, "Inference for systems of stochastic differential equations from discretely sampled data: a numerical maximum likelihood approach," Annals of Finance, Springer, volume 9, issue 2, pages 217-248, May, DOI: 10.1007/s10436-012-0219-9.
• Juan Carranza & Dairo Estrada, 2013, "Identifying the determinants of mortgage default in Colombia between 1997 and 2004," Annals of Finance, Springer, volume 9, issue 3, pages 501-518, August, DOI: 10.1007/s10436-012-0196-z.
• Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2013, "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Computational Economics, Springer;Society for Computational Economics, volume 41, issue 2, pages 249-265, February, DOI: 10.1007/s10614-012-9328-9.
• Chiuling Lu & Yiuman Tse & Michael Williams, 2013, "Returns transmission, value at risk, and diversification benefits in international REITs: evidence from the financial crisis," Review of Quantitative Finance and Accounting, Springer, volume 40, issue 2, pages 293-318, February, DOI: 10.1007/s11156-012-0274-3.
• Fady Barsoum, 2013, "The Effects of Monetary Policy Shocks on a Panel of Stock Market Volatilities: A Factor-Augmented Bayesian VAR Approach," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2013-15, Feb.
• Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013, "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," KIER Working Papers, Kyoto University, Institute of Economic Research, number 844, Jan.
• Massimiliano Caporin & Michael McAleer, 2013, "Ten Things You Should Know About DCC," KIER Working Papers, Kyoto University, Institute of Economic Research, number 854, Mar.
• Massimiliano Caporin & Michael McAleer, 2013, "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," KIER Working Papers, Kyoto University, Institute of Economic Research, number 870, Jun.
• Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral, 2013, "Risk Modelling and Management: An Overview," KIER Working Papers, Kyoto University, Institute of Economic Research, number 872, Jul.
• Michael McAleer & Kim Radalj, 2013, "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Journal of Reviews on Global Economics, Lifescience Global, volume 2, pages 307-329.
• M.Fatih Oztek & Nadir Ocal, 2013, "Financial Crises, Financialization of Commodity Markets and Correlation of Agricultural Commodity Index with Precious Metal Index and S&P500," ERC Working Papers, ERC - Economic Research Center, Middle East Technical University, number 1302, Feb, revised Feb 2013.
• Lucia BALDI & Massimo PERI & Daniela VANDONE, 2013, "Clean Energy Industries and Rare Earth Materials: Economic and Financial Issues," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2013-07, Mar.
• Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli, 2013, "A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0038, Jul.
• Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli, 2013, "Volatility co-movements: a time scale decomposition analysis," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0044, Nov.
• Dominique Guegan & Bertrand K. Hassani & Xin Zhao, 2013, "Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institution Investment Decisions," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 13034, Mar.
• Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2013, "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 28/13.
• Coronado Ramírez Semei Leopoldo & Porras Serrano Jesús & Sandoval Bravo Salvador, 2013, "Aplicación de bicorrelación cruzada al rendimiento diario del precio del café," Contaduría y Administración, Accounting and Management, volume 58, issue 1, pages 117-129, enero-mar.
• Michał Adam & Piotr Bańbuła & Michał Markun, 2013, "Dependence and contagion between asset prices in Poland and abroad. A copula approach," NBP Working Papers, Narodowy Bank Polski, number 169.
• Robert E. Hall, 2013, "Fiscal Stability of High-Debt Nations under Volatile Economic Conditions," NBER Working Papers, National Bureau of Economic Research, Inc, number 18797, Feb.
• Robin L. Lumsdaine & Rogier J.D. Potter van Loon, 2013, "Wall Street vs. Main Street: An Evaluation of Probabilities," NBER Working Papers, National Bureau of Economic Research, Inc, number 19103, Jun.
• Efstathios Avdis & Jessica A. Wachter, 2013, "Maximum likelihood estimation of the equity premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 19684, Nov.
• Tatiana MANOLE & Sofia SCUTARI (ANGHEL), 2013, "Use Of The Macroeconomic Models In The Analysis Of The Balance Value," ECONOMY AND SOCIOLOGY: Theoretical and Scientifical Journal, Socionet;Complexul Editorial "INCE", issue 2, pages 21-33.
• Neil Shephard, 2013, "Martingale unobserved component models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2013-W01, Feb.
• Ozgur (Ozzy) Akay & Zeynep Senyuz & Emre Yoldas, 2013, "Hedge Fund Contagion and Risk-adjusted Returns: A Markov-switching Dynamic Factor Approach," Working Papers, Office of Financial Research, US Department of the Treasury, number 13-03, Mar.
• Paul Glasserman & H. Peyton Young, 2013, "How Likely is Contagion in Financial Networks?," Working Papers, Office of Financial Research, US Department of the Treasury, number 13-06, Jun, revised 12 Apr 2017.
• Pece Andreea Maria & Ludusan (Corovei) Emilia Anuta & Mutu Simona, 2013, "Testing The Long Range-Dependence For The Central Eastern European And The Balkans Stock Markets," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 1113-1124, July.
• Baciu Olivia & Parpucea Ilie, 2013, "A Model To Minimize Multicollinearity Effects," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 699-706, July.
• Rainer Dahlhaus & Jan C. Neddermeyer, 2013, "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, December.
• Ionescu Alexandra & Horga Maria-Gabriela & Nancu Dorinela, 2013, "Firm Financial Performance: An Empirical Investigation on Romanian SMEs," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 1299-1303, May.
• Neil Shephard, 2013, "Martingale unobserved component models," Economics Series Working Papers, University of Oxford, Department of Economics, number 644, Feb.
• Kevin Sheppard & Lily Liu & Andrew J. Patton, 2013, "Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes," Economics Series Working Papers, University of Oxford, Department of Economics, number 645, Feb.
• James Wolter, 2013, "Separating the impact of macroeconomic variables and global frailty in event data," Economics Series Working Papers, University of Oxford, Department of Economics, number 667, Jul.
• Boleslaw Borkowski & Monika Krawiec & Yochanan Shachmurove, 2013, "Modeling and Estimating Volatility of Options on Standard & Poor’s 500 Index," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 13-015, Feb.
• Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2013, "Risks of large portfolios," MPRA Paper, University Library of Munich, Germany, number 44206, Feb.
• Komijani, Akbar & Naderi, Esmaeil & Gandali Alikhani, Nadiya, 2013, "A Hybrid Approach for Forecasting of Oil Prices Volatility," MPRA Paper, University Library of Munich, Germany, number 44654, Jan.
• Nazarian, Rafik & Naderi, Esmaeil & Gandali Alikhani, Nadiya & Amiri, Ashkan, 2013, "Long Memory Analysis: An Empirical Investigation," MPRA Paper, University Library of Munich, Germany, number 45605, Jan.
• Delavari, Majid & Gandali Alikhani, Nadiya & Naderi, Esmaeil, 2013, "Does long memory matter in forecasting oil price volatility?," MPRA Paper, University Library of Munich, Germany, number 46356, Apr.
• Ermişoğlu, Ergun & Akçelik, Yasin & Oduncu, Arif & Taşkın, Temel, 2013, "The Effects of Additional Monetary Tightening on Exchange Rates," MPRA Paper, University Library of Munich, Germany, number 46615, Feb.
• Sahin, Afsin, 2013, "Estimating Money Demand Function by a Smooth Transition Regression Model: An Evidence for Turkey," MPRA Paper, University Library of Munich, Germany, number 46851, Apr.
• Fry, John, 2013, "Bubbles, shocks and elementary technical trading strategies," MPRA Paper, University Library of Munich, Germany, number 47052, May.
• Dumitriu, Ramona & Stefanescu, Razvan, 2013, "DOW effects in returns and in volatility of stock markets during quiet and turbulent times," MPRA Paper, University Library of Munich, Germany, number 47218, Feb, revised 02 Apr 2013.
• Rendón, Stephanie, 2013, "Detección de caídas en mercados financieros mediante análisis multifractal (exponentes locales y puntuales de Hölder): Índice accionario IPC y tipo de cambio USD/MXN
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• nnamdi, Kelechi & ifionu, Ebele, 2013, "Exchange rate volatility and exchange rate uncertainty in Nigeria: a financial econometric analysis (1970- 2012)," MPRA Paper, University Library of Munich, Germany, number 48316, revised 2013.
• Fulli-Lemaire, Nicolas, 2013, "A Tale of Two Eurozones: Banks’s Funding, Sovereign Risk & Unconventional Monetary Policies," MPRA Paper, University Library of Munich, Germany, number 49072, Aug.
• Fulli-Lemaire, Nicolas & Palidda, Ernesto, 2013, "Cross-Hedging of Inflation Derivatives on Commodities: The Informational Content of Futures Markets," MPRA Paper, University Library of Munich, Germany, number 49687, Jun.
• De Luca, Giovanni & Zuccolotto, Paola, 2013, "A Conditional Value-at-Risk Based Portfolio Selection With Dynamic Tail Dependence Clustering," MPRA Paper, University Library of Munich, Germany, number 50129, Aug.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013, "On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks," MPRA Paper, University Library of Munich, Germany, number 50235, Sep.
• Sucarrat, Genaro & Escribano, Alvaro, 2013, "Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns," MPRA Paper, University Library of Munich, Germany, number 50699, Sep.
• Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2013, "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," MPRA Paper, University Library of Munich, Germany, number 50940, Oct, revised 23 Oct 2013.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013, "On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratanovich – Kalman – Buc," MPRA Paper, University Library of Munich, Germany, number 51046, Oct.
• El Ghourabi, Mohamed & Francq, Christian & Telmoudi, Fedya, 2013, "Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified," MPRA Paper, University Library of Munich, Germany, number 51150, Oct.
• Pinelis, Iosif, 2013, "An optimal three-way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality," MPRA Paper, University Library of Munich, Germany, number 51361, Oct.
• Ezzat, Hassan, 2013, "Long Memory Processes and Structural Breaks in Stock Returns and Volatility: Evidence from the Egyptian Exchange," MPRA Paper, University Library of Munich, Germany, number 51465, Aug.
• Nath, Golaka, 2013, "Liquidity Issues in Indian Sovereign Bond Market," MPRA Paper, University Library of Munich, Germany, number 51633, May.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013, "Venture capital optimal investment portfolio strategies selection in diffusion - type financial systems in global capital markets with nonlinearities," MPRA Paper, University Library of Munich, Germany, number 51741, Nov.
• Francq, Christian & Sucarrat, Genaro, 2013, "An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation," MPRA Paper, University Library of Munich, Germany, number 51783, Oct.
• Zhu, Ke & Li, Wai Keung, 2013, "A new Pearson-type QMLE for conditionally heteroskedastic models," MPRA Paper, University Library of Munich, Germany, number 52344, Dec.
• Schröder, Anna Louise & Fryzlewicz, Piotr, 2013, "Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery," MPRA Paper, University Library of Munich, Germany, number 52379.
• Liu, Xiaochun, 2013, "Markov-Switching Quantile Autoregression," MPRA Paper, University Library of Munich, Germany, number 55800, Oct.
• Karapanagiotidis, Paul, 2013, "Empirical evidence for nonlinearity and irreversibility of commodity futures prices," MPRA Paper, University Library of Munich, Germany, number 56801, Aug.
• Dewandaru, Ginanjar & Alaoui, Abdelkader & Masih, A. Mansur M. & Alhabshi, Syed Othman, 2013, "Comovement and resiliency of Islamic equity market: Evidence from GCC Islamic equity index based on wavelet analysis," MPRA Paper, University Library of Munich, Germany, number 56980, Jun.
• Rizvi, Syed Aun & Masih, Mansur, 2013, "Do Shariah (Islamic) Indices Provide a Safer Avenue in Crisis? Empirical Evidence from Dow Jones Indices using Multivariate GARCH-DCC," MPRA Paper, University Library of Munich, Germany, number 57701, May.
• Masih, Mansur & Majid, Hamdan Abdul, 2013, "Stock Price and Industrial Production in Developing Countries: A Dynamic Heterogeneous Panel Analysis," MPRA Paper, University Library of Munich, Germany, number 58308, Nov.
• Masih, Mansur & Majid, Hamdan Abdul, 2013, "Comovement of Selected International Stock Market Indices:A Continuous Wavelet Transformation and Cross Wavelet Transformation Analysis," MPRA Paper, University Library of Munich, Germany, number 58313, Dec.
• Karkowska, Renata, 2013, "The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility," MPRA Paper, University Library of Munich, Germany, number 58802, Oct.
• Swastika, Putri & Dewandaru, Ginanjar & Masih, Mansur, 2013, "Does Restricted Short Selling Bring Benefit to Stocks Listed in Islamic Capital Market? New Evidence from Malaysia based on Dynamic Panel Heterogeneous Techniques," MPRA Paper, University Library of Munich, Germany, number 58833, Aug.