Research classified by Journal of Economic Literature (JEL) codes

2014

• 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.

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 Staff Working Paper series, 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.
• Bauwens & E. Otranto, 2013, "Modeling the Dependence of Conditional Correlations on Volatility," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 201304.
• 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, Centre for Economic Policy Research, 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.
• 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.