Research classified by Journal of Economic Literature (JEL) codes

2013

• Swastika, Purti & Dewandaru, Ginanjar & Masih, Mansur, 2013, "The Impact of Debt on Economic Growth: A Case Study of Indonesia," MPRA Paper, University Library of Munich, Germany, number 58837, Aug.
• Nagayev, Ruslan & Masih, Mansur, 2013, "Should Shariah-compliant investors include commodities in their portfolios? New evidence," MPRA Paper, University Library of Munich, Germany, number 58851, Aug.
• Nagayev, Ruslan & Masih, Mansur, 2013, "The Role of Gold as a Hedge and Safe Haven in Shariah-Compliant Portfolios," MPRA Paper, University Library of Munich, Germany, number 58852, Aug.
• Ayub, Aishahton & Masih, Mansur, 2013, "Interest Rate, Exchange Rate, and Stock Prices of Islamic Banks: A Panel Data Analysis," MPRA Paper, University Library of Munich, Germany, number 58871, Aug.
• Masih, Mansur & Majid, Hamdan Abdul, 2013, "The Volatility and Correlations of Stock Returns of Some Crisis-Hit Countries: US, Greece, Thailand and Malaysia: Evidence from MGARCH-DCC applications," MPRA Paper, University Library of Munich, Germany, number 58946, Aug.
• Lof, Matthijs, 2013, "Essays on Expectations and the Econometrics of Asset Pricing," MPRA Paper, University Library of Munich, Germany, number 59064, May.
• Ciuiu, Daniel, 2013, "Qualitative variables and their reduction possibility. Application to time series models," MPRA Paper, University Library of Munich, Germany, number 59284, Jun, revised Aug 2013.
• Ayub, Aishaton & Masih, Mansur, 2013, "The Relationship between Exchange Rates and Islamic Indices in Malaysia FTSE Market: A Wavelet Based Approach," MPRA Paper, University Library of Munich, Germany, number 59618, Aug.
• Naseri, Marjan & Masih, Mansur, 2013, "Causality between Malaysian Islamic Stock Market and Macroeconomic Variables," MPRA Paper, University Library of Munich, Germany, number 60247, Aug.
• T., Vasylieva & A., Lasukova, 2013, "Empirical study on the correlation of corporate social responsibility with the banks efficiency and stability," MPRA Paper, University Library of Munich, Germany, number 60404, revised 2013.
• Mohamad, Sharifah Fairuz Syed & Masih, Mansur, 2013, "Gold price movements in selected currencies: wavelet approach," MPRA Paper, University Library of Munich, Germany, number 62347, Aug.
• Mohamad, Sharifah Fairuz Syed & Masih, Mansur, 2013, "An application of MGARCH-DCC analysis on selected currencies in terms of gold Price," MPRA Paper, University Library of Munich, Germany, number 62349, Aug.
• shafaai, Shafizal & Masih, Mansur, 2013, "Stock market and crude oil relationship: A wavelet analysis," MPRA Paper, University Library of Munich, Germany, number 62363, Aug.
• Shafaai, Shafizal & Masih, Mansur, 2013, "Determinants of cost of equity: The case of Shariah-compliant Malaysian firms," MPRA Paper, University Library of Munich, Germany, number 62364, Aug.
• Hanifa, Mohamed Hisham & Masih, Mansur, 2013, "Housing finance and financial stability: evidence from Malaysia, Thailand and Singapore," MPRA Paper, University Library of Munich, Germany, number 63022, Aug.
• Mokhtar, Maznita & Masih, Mansur, 2013, "Are investments in islamic REITs susceptible to forex uncertainty: wavelet analysis," MPRA Paper, University Library of Munich, Germany, number 63024, Aug.
• Yu, Chao & Fang, Yue & Zhao, Xujie & Zhang, Bo, 2013, "Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise," MPRA Paper, University Library of Munich, Germany, number 63293, Mar, revised 10 Mar 2014.
• Pathan, Rubina & Masih, Mansur, 2013, "Relationship between macroeconomic variables and stock market index: evidence from India," MPRA Paper, University Library of Munich, Germany, number 63302, Jul.
• Muteba Mwamba, John & Mokwena, Paula, 2013, "International diversification and dependence structure of equity portfolios during market crashes: the Archimedean copula approach," MPRA Paper, University Library of Munich, Germany, number 64384, Aug.
• Aknouche, Abdelhakim, 2013, "Periodic autoregressive stochastic volatility," MPRA Paper, University Library of Munich, Germany, number 69571, Jun, revised 2015.
• Urbina, Jilber, 2013, "A component model for Dynamic Conditional Correlations: Disentangling interdependence from contagion," MPRA Paper, University Library of Munich, Germany, number 75579, Sep, revised 13 Dec 2016.
• Urbina, Jilber, 2013, "Financial Spillovers Across Countries: Measuring shock transmissions," MPRA Paper, University Library of Munich, Germany, number 75756, Nov.
• Yildirim, Ramazan & Masih, Mansur, 2013, "Relationship between regional Shariah stock markets: The cointegration and causality," MPRA Paper, University Library of Munich, Germany, number 76281, Dec.
• Trofimov, Ivan D., 2013, "Nonparametric approach to portfolio diversification: the case of Australian equity market," MPRA Paper, University Library of Munich, Germany, number 79562.
• Adenuga, Adeniyi O. & Omotosho, Babatunde S., 2013, "Financial Access, Financial Depth, and Economic Growth in Nigeria," MPRA Paper, University Library of Munich, Germany, number 99349.
• Rangan Gupta & Mampho P. Modise, 2013, "Does the Source of Oil Price Shocks Matter for South African Stock Returns? A Structural VAR Approach," Working Papers, University of Pretoria, Department of Economics, number 201318, Apr.
• Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013, "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers, University of Pretoria, Department of Economics, number 201351, Sep.
• Rangan Gupta & Shawkat Hammoudeh & Beatrice D. Simo-Kengne & Soodabeh Sarafrazi, 2013, "Can the Sharia-Based Islamic Stock Market Returns be Forecasted Using Large Number of Predictors and Models?," Working Papers, University of Pretoria, Department of Economics, number 201381, Dec.
• Saban Nazlioglu & Shawkat Hammoudeh & Rangan Gupta, 2013, "Volatility Transmission between Islamic and Conventional Equity Markets: Evidence from Causality-in-Variance Test," Working Papers, University of Pretoria, Department of Economics, number 201384, Dec.
• Marcos Álvarez-Díaz & Shawkat Hammoudeh & Rangan Gupta, 2013, "Detecting Predictable Non-linear Dynamics in Dow Jones Industrial Average and Dow Jones Islamic Market Indices using Nonparametric Regressions," Working Papers, University of Pretoria, Department of Economics, number 201385, Dec.
• Jozef Barunik, 2013, "Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition?," ACTA VSFS, University of Finance and Administration, volume 7, issue 1, pages 6-30.
• Marika Křepelová & Josef Jablonský, 2013, "Analýza státních dluhopisů jako indikátoru pro akciový trh
  [Analysis of Government Bonds as an Indicator for Stock Market]," Politická ekonomie, Prague University of Economics and Business, volume 2013, issue 5, pages 605-622, DOI: 10.18267/j.polek.919.
• Krzysztof Osiewalski & Jacek Osiewalski, 2013, "A Long-Run Relationship between Daily Prices on Two Markets: The Bayesian VAR(2)–MSF-SBEKK Model," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 5, issue 1, pages 65-83, March.
• Giuseppe Cavaliere & Morten Ø. Nielsen & A.M. Robert Taylor, 2013, "Bootstrap Score Tests For Fractional Integration In Heteroskedastic Arfima Models, With An Application To Price Dynamics In Commodity Spot And Futures Markets," Working Paper, Economics Department, Queen's University, number 1309, Dec.
• Ogonna Nneji, 2013, "Liquidity Shocks and Stock Bubbles," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2013-07, Jul, revised Jan 2014.
• Dongho Song & Amir Yaron & Frank Schorfheide, 2013, "Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach," 2013 Meeting Papers, Society for Economic Dynamics, number 580.
• Stelios D. Bekiros, 2013, "Decoupling and the Spillover Effects of the US Financial Crisis: Evidence from the BRIC Markets," Working Paper series, Rimini Centre for Economic Analysis, number 21_13, Apr.
• Dimitrios D. Thomakos & Fotis Papailias, 2013, "Covariance Averaging for Improved Estimation and Portfolio Allocation," Working Paper series, Rimini Centre for Economic Analysis, number 66_13, Dec.
• Sergei Sidorov & Paresh Date & Vladimir Balash, 2013, "Using news analytics data in GARCH models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 29, issue 1, pages 82-96.
• Mehmet Pekkaya, 2013, "Estimation Fractional Integration Parameter and an Application to Major Turkish Financial Time Series," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 4, issue 2, pages 1-91.
• Ivan D. Trofimov, 2013, "Nonparametric Approach to Portfolio Diversification: The Case of Australian Equity Market - Un approccio non-parametrico alla diversificazione del portafoglio: il caso del mercato azionario australian," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 66, issue 1, pages 87-112.
• Sebastian Nick, 2013, "Price Formation and Intertemporal Arbitrage within a Low-Liquidity Framework: Empirical Evidence from European Natural Gas Markets," EWI Working Papers, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI), number 2013-14, Aug.
• Diep Duong & Norman Swanson, 2013, "Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction," Departmental Working Papers, Rutgers University, Department of Economics, number 201321, Jul.
• Kausik Chaudhuri & Tirthankar Chowdhury, 2012, "Financial Performance Evaluation," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 11, issue 1, pages 1-36, April, DOI: 10.1177/097265271101100101.
• M.V. Lakshman & Sankarshan Basu & R. Vaidyanathan, 2013, "Market-wide Herding and the Impact of Institutional Investors in the Indian Capital Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 12, issue 2, pages 197-237, August, DOI: 10.1177/0972652713494046.
• Dilip Kumar & S. Maheswaran, 2013, "Return, Volatility and Risk Spillover from Oil Prices and the US Dollar Exchange Rate to the Indian Industrial Sectors," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, volume 7, issue 1, pages 61-91, February, DOI: 10.1177/0973801012466103.
• Niccolò Battistini & Marco Pagano & Saverio Simonelli, 2013, "Systemic Risk, Sovereign Yields and Bank Exposures in the Euro Crisis," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 345, Oct.
• De la Cruz Mejía Téllez, Juan, 2013, "Aplicación del modelo Weibull en el análisis de eventos críticos en precios bursátiles / Weibull Model Application for the Analysis of Critical Events in Stock Prices," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 3, issue 1, pages 73-88, enero-jun.
• Luca Riccetti, 2013, "A copula–GARCH model for macro asset allocation of a portfolio with commodities," Empirical Economics, Springer, volume 44, issue 3, pages 1315-1336, June, DOI: 10.1007/s00181-012-0577-1.
• Shlomo Yitzhaki & Peter Lambert, 2013, "The relationship between the absolute deviation from a quantile and Gini’s mean difference," METRON, Springer;Sapienza Università di Roma, volume 71, issue 2, pages 97-104, September, DOI: 10.1007/s40300-013-0015-y.
• Małgorzata Doman & Ryszard Doman, 2013, "Dynamic linkages between stock markets: the effects of crises and globalization," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 12, issue 2, pages 87-112, August, DOI: 10.1007/s10258-013-0091-1.
• Nico Katzke, 2013, "South African Sector Return Correlations: using DCC and ADCC Multivariate GARCH techniques to uncover the underlying dynamics," Working Papers, Stellenbosch University, Department of Economics, number 17/2013.
• Julien Chevallier & Florian Ielpo, 2013, "Cross-market linkages between commodities, stocks and bonds," Applied Economics Letters, Taylor & Francis Journals, volume 20, issue 10, pages 1008-1018, July, DOI: 10.1080/13504851.2013.772286.
• Julien Chevallier & Florian Ielpo, 2013, "Volatility spillovers in commodity markets," Applied Economics Letters, Taylor & Francis Journals, volume 20, issue 13, pages 1211-1227, September, DOI: 10.1080/13504851.2013.799748.
• Julien Chevallier & Mathieu Gatumel & Florian Ielpo, 2013, "Understanding momentum in commodity markets," Applied Economics Letters, Taylor & Francis Journals, volume 20, issue 15, pages 1383-1402, October, DOI: 10.1080/13504851.2013.815300.
• Arif Oduncu & Yasin Akcelik & Ergun Ermisoglu, 2013, "Reserve Options Mechanism : A New Macroprudential Tool to Limit the Adverse Effects of Capital Flow Volatility on Exchange Rates," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 13, issue 3, pages 45-60.
• Irem Talasli, 2013, "Systemic Risk Analysis of Turkish Financial Institutions with Systemic Expected Shortfall," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 13, issue Special I, pages 25-40.
• Mahir Binici & Bulent Koksal & Cuneyt Orman, 2013, "Stock Return Co-movement and Systemic Risk in the Turkish Banking System," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 13, issue Special I, pages 41-63.
• Mahir Binici & Bulent Koksal & Cuneyt Orman, 2013, "Stock Return Comovement and Systemic Risk in the Turkish Banking System," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1302.
• Arif Oduncu & Yasin Akcelik & Ergun Ermisoglu, 2013, "Reserve Options Mechanism and FX Volatility," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1303.
• Irem Talasli, 2013, "Systemic Risk Analysis of Turkish Financial Institutions with Systemic Expected Shortfall," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1311.
• Doruk Kucuksarac & Ozgur Ozel, 2013, "Gecelik Kur Takasi Faizleri ve BIST Gecelik Repo Faizleri," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1320.
• David E. Allen & Abhay K. Singh & Robert J. Powell & Michael McAleer & James Taylor & Lyn Thomas, 2013, "Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-020/III, Jan.
• Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013, "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-024/III, Jan.
• David Ardia & Lennart Hoogerheide, 2013, "GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-047/III, Mar.
• Massimiliano Caporin & Michael McAleer, 2013, "Ten Things you should know about DCC," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-048/III, Mar.
• Lukasz Gatarek & Lennart Hoogerheide & Koen Hooning & Herman K. van Dijk, 2013, "Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-060/III, Apr, revised 06 Mar 2014.
• Massimiliano Caporin & Michael McAleer, 2013, "Ten Things you should know about the Dynamic Conditional Correlation Representation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-078/III, Jun.
• Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral, 2013, "Risk Modelling and Management: An Overview," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-085/III, Jun, revised 08 Jul 2013.
• David E. Allen & Michael McAleer & Marcel Scharth, 2013, "Realized Volatility Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-092/III, Jul.
• Francisco Blasques & Andre Lucas & Erkki Silde, 2013, "Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-097/IV/DSF59, Jul.
• Robert F. Engle & Eric Ghysels & Bumjean Sohn, 2013, "Stock Market Volatility and Macroeconomic Fundamentals," The Review of Economics and Statistics, MIT Press, volume 95, issue 3, pages 776-797, July.
• Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013, "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2013-06, revised Jan 2013.
• Massimiliano Caporin & Michael McAleer, 2013, "Ten Things You Should Know About DCC," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2013-12, Mar.
• Massimiliano Caporin & Michael McAleer, 2013, "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2013-21, Jun.
• Chia-Lin Chang & David E. Allen & Michael McAleer & Ju-Ting Tang & Teodosio Pérez Amaral, 2013, "Risk Modelling and Management: An Overview," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2013-22.
• David E. Allen & Michael McAleer & Marcel Scharth, 2013, "Realized volatility risk," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2013-26.
• Massimiliano Caporin & Juan Ángel Jiménez Martín & Lydia González-Serrano, 2013, "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2013-36, Jun.
• Stefano Grassi & Paolo Santucci de Magistris, 2013, "It's all about volatility of volatility: evidence from a two-factor stochastic volatility model," Studies in Economics, School of Economics, University of Kent, number 1404, Nov.
• Audrino, Francesco & Fengler, Matthias, 2013, "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1311, Mar.
• Fengler, Matthias R. & Mammen, Enno & Vogt, Michael, 2013, "Additive modeling of realized variance: tests for parametric specifications and structural breaks," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1332, Nov.
• Trojan, Sebastian, 2013, "Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1341, Dec, revised Aug 2014.
• Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2013, "Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals," Working Papers on Finance, University of St. Gallen, School of Finance, number 1318, May.
• Monica Billio & Maddalena Cavicchioli, 2013, "�Markov Switching Models for Volatility: Filtering, Approximation and Duality�," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2013:24.
• Andrea Berardi, 2013, "Inflation Risk Premia, Yield Volatility and Macro Factors," Working Papers, University of Verona, Department of Economics, number 27/2013, Dec.
• David E. Giles & Yanan Li, 2013, "Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets," Econometrics Working Papers, Department of Economics, University of Victoria, number 1301, Oct.
• Yasemin Keskin Benli & Suleyman Degirmen, 2013, "The Application of Data Envelopment Analysis Based Malmquist Total Factor Productivity Index: Empirical Evidence in Turkish Banking Sector," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 60, issue 2, pages 139-159.
• Nikola Gradojević & Eldin Dobardžić, 2013, "Causality between Regional Stock Markets: A Frequency Domain Approach," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 60, issue 5, pages 633-647.
• Jan Novotn?? & Jan Hanousek & Ev??en Ko??enda, 2013, "Price Jump Indicators: Stock Market Empirics During the Crisis," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp1050, Jun.
• Jan Hanousek & Ev??en Ko??enda & Jan Novotn??, 2013, "Price Jumps on European Stock Markets," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp1059, Sep.
• Luc Bauwens & Christian M. Hafner & Diane Pierret, 2013, "Multivariate Volatility Modeling Of Electricity Futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 28, issue 5, pages 743-761, August.
• Stelios D. Bekiros, 2013, "Irrational fads, short‐term memory emulation, and asset predictability," Review of Financial Economics, John Wiley & Sons, volume 22, issue 4, pages 213-219, November, DOI: 10.1016/j.rfe.2013.05.005.
• Stefan Collignon & Piero Esposito & Hanna Lierse, 2013, "European Sovereign Bailouts, Political Risk And The Economic Consequences Of Mrs. Merkel," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., volume 4, issue 02, pages 1-25, DOI: 10.1142/S1793993313500105.
• Gregory C Chow & Changjiang Liu & Linlin Niu, 2013, "Co-movements of Shanghai and New York Stock Prices by Time-varying Regressions," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2013-10-14, Oct.
• Ming Lin & Changjiang Liu & Linlin Niu, 2013, "Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2013-10-14, Oct.
• Peter Spencer, 2013, "The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models," Discussion Papers, Department of Economics, University of York, number 13/22, Aug.
• Korhonen, Iikka & Peresetsky, Anatoly, 2013, "Extracting global stochastic trend from non-synchronous data," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 15/2013.
• Gündüz, Yalin & Kaya, Orcun, 2013, "Sovereign default swap market efficiency and country risk in the eurozone," Discussion Papers, Deutsche Bundesbank, number 08/2013.
• Eder, Armin & Keiler, Sebastian & Pichl, Hannes, 2013, "Interest rate risk and the Swiss solvency test," Discussion Papers, Deutsche Bundesbank, number 41/2013.
• Bodnar, Taras & Hautsch, Nikolaus, 2013, "Copula-based dynamic conditional correlation multiplicative error processes," CFS Working Paper Series, Center for Financial Studies (CFS), number 2013/19.
• Lux, Thomas, 2013, "Exact solutions for the transient densities of continuous-time Markov switching models: With an application to the poisson multifractal model," Kiel Working Papers, Kiel Institute for the World Economy (IfW Kiel), number 1871.
• Bibinger, Markus & Mykland, Per A., 2013, "Inference for multi-dimensional high-frequency data: Equivalence of methods, central limit theorems, and an application to conditional independence testing," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-006.
• Hautsch, Nikolaus & Kyj, Lada. M. & Malec, Peter, 2013, "Do high-frequency data improve high-dimensional portfolio allocations?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-014.
• Winkelmann, Lars, 2013, "Quantitative forward guidance and the predictability of monetary policy: A wavelet based jump detection approach," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-016.
• Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus, 2013, "Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-017.
• Härdle, Wolfgang Karl & López-Cabrera, Brenda & Teng, Huei-wen, 2013, "State Price Densities implied from weather derivatives," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-026.
• Härdle, Wolfgang Karl & Huang, Li-shan, 2013, "Analysis of deviance in generalized partial linear models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-028.
• Winkelmann, Lars & Bibinger, Markus & Linzert, Tobias, 2013, "ECB monetary policy surprises: Identification through cojumps in interest rates," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-038.
• Winkelmann, Lars & Bibinger, Markus & Linzert, Tobias, 2013, "ECB monetary policy surprises: identification through cojumps in interest rates," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 79721.
• Gribisch, Bastian, 2013, "A latent dynamic factor approach to forecasting multivariate stock market volatility," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 79823.
• Strohsal, Till & Weber, Enzo, 2013, "Identifying Volatility Signals from Time-Varying Simultaneous Stock Market Interaction," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 79903.
• Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar, 2013, "Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 13-001.
• Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar, 2013, "Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 13-001 [rev.].

2012

• Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012, "Une evaluation economique du risque de modele pour les investisseurs de long terme. (An Economic Evaluation of the Model Risk for Long-Term Investors. With English summary.)," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-01380667.
• Dominique Guegan & Xin Zhao, 2012, "Alternative Modeling for Long Term Risk," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00694449, Apr.
• Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012, "Une evaluation economique du risque de modele pour les investisseurs de long terme. (An Economic Evaluation of the Model Risk for Long-Term Investors. With English summary.)," Post-Print, HAL, number hal-01380667.
• Renaud Coulomb & Marc Sangnier, 2012, "Impacts of Political Majorities on French Firms: Electoral Promises or Friendship Connections?," PSE Working Papers, HAL, number halshs-00671405, Feb.
• Stéphane Goutte, 2012, "Conditional Markov regime switching model applied to economic modelling," Working Papers, HAL, number hal-00747479, Oct.
• Renaud Coulomb & Marc Sangnier, 2012, "Impacts of Political Majorities on French Firms: Electoral Promises or Friendship Connections?," Working Papers, HAL, number halshs-00671405, Feb.
• Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2012, "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Working Papers, HAL, number halshs-00793203, Jun.
• Marcel Aloy & Gilles de Truchis, 2012, "Estimation and Testing for Fractional Cointegration," Working Papers, HAL, number halshs-00793206, Jun.
• Gilles de Truchis, 2012, "Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue," Working Papers, HAL, number halshs-00793220, Sep.
• Marcel Aloy & Gilles Dufrenot & Charles Lai-Tong & Anne Peguin-Feissolle, 2012, "A Smooth Transition Long-Memory Model," Working Papers, HAL, number halshs-00793680, Dec.
• Lönnbark, Carl, 2012, "On the role of the estimation error in prediction of expected shortfall," Umeå Economic Studies, Umeå University, Department of Economics, number 844, Aug.
• Lönnbark, Carl, 2012, "Occurrence of long and short term asymmetry in stock market volatilities," Umeå Economic Studies, Umeå University, Department of Economics, number 848, Oct.
• Lönnbark, Carl, 2012, "Asymmetry with respect to the memory in stock market volatilities," Umeå Economic Studies, Umeå University, Department of Economics, number 849, Oct.
• Takamizawa, Hideyuki & 髙見澤, 秀幸, 2012, "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series, Hitotsubashi University Center for Financial Research, number G-1-3, Feb.
• Matthias Bauer & Martin Zenker, 2012, "Minor Nuisance Around Foreign Exchange Markets - Lessons from the Stability and Growth Pact Debate," Global Financial Markets Working Paper Series, Friedrich-Schiller-University Jena, number 2012-32.
• Matthias Bauer & Martin Zenker, 2012, "Market Discipline Under A Politicised Multilateral Fiscal Rule - Lessons from the Stability and Growth Pact Debate," Global Financial Markets Working Paper Series, Friedrich-Schiller-University Jena, number 2012-35.
• Makoto Takahashi & Yasuhiro Omori & Toshiaki Watanabe, 2012, "News Impact Curve for Stochastic Volatility Models," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-242, Sep.
• Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012, "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-269, Dec.
• Terrance Jalbert & James E. Briley & Mercedes Jalbert, 2012, "Forecasting Financial Statements Using Risk Management Associates Industry Data," Business Education and Accreditation, The Institute for Business and Finance Research, volume 4, issue 1, pages 123-134.
• Krishna M. Kasibhatla, 2012, "Integration of Key Worldwide Money Market Interest Rates and the Federal Funds Rate: An Empirical Investigation," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 4, pages 125-138.
• Nidhi Aggarwal & Manish Singh & Susan Thomas, 2012, "Do changes in distance-to-default anticipate changes in the credit rating?," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2012-010, Mar.
• Diego Chamorro, 2012, "Algunas herramientas matemáticas para la economía y las finanzas: el movimiento Browniano y la integral de Wiener," Analítika, Analítika - Revista de Análisis Estadístico/Journal of Statistical Analysis, volume 3, issue 1, pages 7-19, Junio.
• Yue Peng & Wing Ng, 2012, "Analysing financial contagion and asymmetric market dependence with volatility indices via copulas," Annals of Finance, Springer, volume 8, issue 1, pages 49-74, February, DOI: 10.1007/s10436-011-0181-y.
• Giovanna Menardi & Francesco Lisi, 2012, "Are performance measures equally stable?," Annals of Finance, Springer, volume 8, issue 4, pages 553-570, November, DOI: 10.1007/s10436-012-0189-y.
• Alain Monfort & Olivier Féron, 2012, "Joint econometric modeling of spot electricity prices, forwards and options," Review of Derivatives Research, Springer, volume 15, issue 3, pages 217-256, October, DOI: 10.1007/s11147-012-9075-z.
• Clothilde Lesplingart & Christophe Majois & Mikael Petitjean, 2012, "Liquidity and CDS premiums on European companies around the Subprime crisis," Review of Derivatives Research, Springer, volume 15, issue 3, pages 257-281, October, DOI: 10.1007/s11147-012-9076-y.
• Markku Lanne & Mika Meitz & Pentti Saikkonen, 2012, "Testing for Predictability in a Noninvertible ARMA Model," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1225, Sep.
• Rasmus Søndergaard Pedersen & Anders Rahbek, 2012, "Multivariate Variance Targeting in the BEKK-GARCH Model," Discussion Papers, University of Copenhagen. Department of Economics, number 12-23, Nov.
• David E Allen & Abhay K Singh & Robert J Powell & Michael McAleer & James Taylor & Lyn Thomas, 2012, "The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions," KIER Working Papers, Kyoto University, Institute of Economic Research, number 831, Nov.
• Jorge Uribe & Inés Ulloa, 2012, "Risk measurement under extreme events. An in-context methodological review," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 76, pages 87-117.
• Gregory Connor & Anita Suurlaht, 2012, "Dynamic Stock Market Covariances in the Eurozone," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n222-12.pdf.
• M. Fatih Oztek & Nadir Ocal, 2012, "Integration of China Stock Markets with International Stock Markets: An application of Smooth Transition Conditional Correlation with Double Transition Functions," ERC Working Papers, ERC - Economic Research Center, Middle East Technical University, number 1209, Dec, revised Dec 2012.
• Dominique Guegan & Xin Zhao, 2012, "Alternative Modeling for Long Term Risk," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 12025, Mar.
• Carlos Castro & Stijn Ferrari, 2012, "Measuring and testing for the systemically important financial institutions," Working Paper Research, National Bank of Belgium, number 228, Oct.
• Blazej Mazur & Mateusz Pipien, 2012, "On the empirical importance of periodicity in the volatility of financial time series," NBP Working Papers, Narodowy Bank Polski, number 124.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2012, "Parametric Inference and Dynamic State Recovery from Option Panels," NBER Working Papers, National Bureau of Economic Research, Inc, number 18046, May.
• John H. Cochrane, 2012, "Continuous-Time Linear Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 18181, Jun.
• Kenneth D. West, 2012, "Econometric Analysis of Present Value Models When the Discount Factor Is near One," NBER Working Papers, National Bureau of Economic Research, Inc, number 18247, Jul.
• Charles Engel & Nelson C. Mark & Kenneth D. West, 2012, "Factor Model Forecasts of Exchange Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 18382, Sep.
• Strebulaev, Ilya A. & Whited, Toni M., 2012, "Dynamic Models and Structural Estimation in Corporate Finance," Foundations and Trends(R) in Finance, now publishers, volume 6, issue 1–2, pages 1-163, November, DOI: 10.1561/0500000035.
• Cochrane, John H., 2012, "Continuous-Time Linear Models," Foundations and Trends(R) in Finance, now publishers, volume 6, issue 3, pages 165-219, November, DOI: 10.1561/0500000037.
• Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012, "Multivariate Rotated ARCH Models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2012-W01, Feb.
• Neil Shephard & Dacheng Xiu, 2012, "Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2012-W04, Apr.
• Arnaud Doucet & Neil Shephard, 2012, "Robust inference on parameters via particle filters and sandwich covariance matrices," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2012-W05, Jun.
• Mereuţă Cezar, 2012, "Dinamica structurii economiei. Pe ce structuri ne bazăm?," Revista OEconomica, Romanian Society for Economic Science, Revista OEconomica, issue 01, March.
• Olteanu Dan, 2012, "Evidenţe empirice privind cauzele declinului exportului european," Revista OEconomica, Romanian Society for Economic Science, Revista OEconomica, issue 03, September.
• Robert Ferstl & David Seres, 2012, "Clustering Austrian Banks’ Business Models and Peer Groups in the European Banking Sector," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 24, pages 79-95.
• Dragu Ioana-Maria & Tiron-Tudor Adriana, 2012, "The Impact Of The Business And Organizational Size Of A Company Along With Gri And Csr Adoption On Integrating Sustainability Reporting Practices," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 916-920, July.
• Lala - Popa Ion & Buglea Alexandru & Anis Cecilia & Cican Simona, 2012, "Sectoral Risk And Return For Companies In Romania," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 343-348, December.
• Ciumas Cristina & Chis Diana-Maria & Botos Horia Mircea, 2012, "Global Financial Crisis And Unit-Linked Insurance Markets Efficiency: Empirical Evidence From Central And Eastern European Countries," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 443-448, December.
• Siem Jan Koopman & Marcel Scharth, 2012, "The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures," Journal of Financial Econometrics, Oxford University Press, volume 11, issue 1, pages 76-115, December.
• Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012, "Multivariate Rotated ARCH models," Economics Series Working Papers, University of Oxford, Department of Economics, number 594, Feb.
• Neil Shephard & Dacheng Xiu, 2012, "Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices," Economics Series Working Papers, University of Oxford, Department of Economics, number 604, Apr.
• Neil Shephard & Arnaud Doucet, 2012, "Robust inference on parameters via particle filters and sandwich covariance matrices," Economics Series Working Papers, University of Oxford, Department of Economics, number 606, Jun.
• Eduardo Rossi & Dean Fantazzini, 2012, "Long memory and Periodicity in Intraday Volatility," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 015, Nov.
• Eduardo Rossi & Paolo Santucci de Magistris, 2012, "Estimation of long memory in integrated variance," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 017, Nov.
• Gheorghe Matei & Olivia Manole, 2012, "Imbalances in Financial Autonomy at Different Level of Local Government in Romania," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, volume 12, issue 4, pages 137-146.
• Roncalli, Thierry & Weisang, Guillaume, 2012, "Risk Parity Portfolios with Risk Factors," MPRA Paper, University Library of Munich, Germany, number 44017, Sep.
• Oral, Ece, 2012, "Day of the Week Effect on Turkish Foreign Exchange Market Volatility During the Global Financial Crisis," MPRA Paper, University Library of Munich, Germany, number 44116, Sep.
• Malhotra, Karan, 2012, "Multiperiod Black Litterman Asset Allocation Model," MPRA Paper, University Library of Munich, Germany, number 44806, Dec.
• Bławat, Bogusław, 2012, "The Optimal Order Execution Problem within the Framework of a High-Frequency Trading - Sample Model," MPRA Paper, University Library of Munich, Germany, number 49081.
• Ezzat, Hassan, 2012, "The Application of GARCH Methods in Modeling Volatility Using Sector Indices from the Egyptian Exchange," MPRA Paper, University Library of Munich, Germany, number 51584, Dec.
• Bhattacharyya, Malay & Madhav R, Siddarth, 2012, "A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns," MPRA Paper, University Library of Munich, Germany, number 54189.
• Ghassan, Hassan B. & Alhajhoj, Hassan R., 2012, "أثر تحرير سوق رأس المال على التذبذب في سوق الأسهم السعودي
  [Effect of Capital Market Liberalization on Volatility of TASI]," MPRA Paper, University Library of Munich, Germany, number 54470, revised 2012.
• Erten, Irem & Tuncel, Murat B. & Okay, Nesrin, 2012, "Volatility Spillovers in Emerging Markets During the Global Financial Crisis: Diagonal BEKK Approach," MPRA Paper, University Library of Munich, Germany, number 56190, May.
• Marin, J. Miguel & Sucarrat, Genaro, 2012, "Financial Density Selection," MPRA Paper, University Library of Munich, Germany, number 66839, Aug, revised 13 Jun 2012.
• Salles, Andre Assis de, 2012, "The Relationship between Crude Oil Prices and Exchange Rates," MPRA Paper, University Library of Munich, Germany, number 98515, revised 2019.
• Marcin Fałdziński & Magdalena Osińska & Tomasz Zdanowicz, 2012, "Detecting Risk Transfer in Financial Markets using Different Risk Measures," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 4, issue 1, pages 45-64, March.
• Błażej Mazur & Mateusz Pipień, 2012, "On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 4, issue 2, pages 95-116, June.
• Krzysztof Osiewalski & Jacek Osiewalski, 2012, "Missing observations in daily returns - Bayesian inference within the MSF-SBEKK model," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 4, issue 3, pages 169-197, September.
• Maximiano Pinheiro, 2012, "Market perception of fiscal sustainability: An application to the largest euro area economies," Working Papers, Banco de Portugal, Economics and Research Department, number w201209.
• Andrey Rafalson, 2012, "Bootstrap inference about integrated volatility (in Russian)," Quantile, Quantile, issue 10, pages 91-108, December.
• Mark J. Jensen & John M. Maheu, 2012, "Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture," Working Paper series, Rimini Centre for Economic Analysis, number 45_12, Jun.
• John M. Maheu & Thomas H. McCurdy & Xiaofei Zhao, 2012, "Do Jumps Contribute to the Dynamics of the Equity Premium?," Working Paper series, Rimini Centre for Economic Analysis, number 47_12, Jun.
• Mark J. Jensen & John M. Maheu, 2012, "Bayesian Semiparametric Multivariate GARCH Modeling," Working Paper series, Rimini Centre for Economic Analysis, number 48_12, Jun.
• Ruslan Grigoryev & Shabbar Jaffry & German Marchenko, 2012, "Investigation of the consequences of ignoring daily data non-synchronism in cross-market linkages: BRIC and developed countries," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 26, issue 2, pages 92-112.
• Ruslan Grigoryev & Shabbar Jaffry & German Marchenko, 2012, "The role of the timeline in Granger causality test in the presence of daily data non-synchronism," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 27, issue 3, pages 3-19.