Research classified by Journal of Economic Literature (JEL) codes

2013

• 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
  [Stock crack detection using multifractal analysis (local and pointwise Hölder ex," MPRA Paper, University Library of Munich, Germany, number 47699, Jan, revised 19 May 2013.
• 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 – Bucy filters for Gaussian linear investment returns d," 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.
• 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.