Research classified by Journal of Economic Literature (JEL) codes

2012

• Alexandr Shcherba, 2012, "Market risk valuation modeling for the European countries at the financial crisis of 2008," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 27, issue 3, pages 20-35.
• Vladimir Habrov, 2012, "Optimization of portfolio management based on vector autoregression models and multivariate volatility models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 28, issue 4, pages 35-62.
• Istemi Berk & Berna Aydogan, 2012, "Crude Oil Price Shocks and Stock Returns: Evidence from Turkish Stock Market under Global Liquidity Conditions," EWI Working Papers, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI), number 2012-15, Oct.
• Theologos Dergiades & Reinhard Madlener & Georgia Christofidou, 2012, "The Nexus between Natural Gas Spot and Futures Prices at NYMEX: Do Weather Shocks and Non-Linear Causality in Low Frequencies Matter?," FCN Working Papers, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN), number 17/2012, Dec.
• Ozcan Ceylan, 2012, "Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model," GIAM Working Papers, Galatasaray University Economic Research Center, number 12-4, Sep.
• Imad Moosa, 2012, "The Failure of Financial Econometrics: “Stir-Fry” Regressions as an Illustration," Journal of Financial Transformation, Capco Institute, volume 34, pages 43-50.
• Matei, Marius, 2012, "Perspectives on risk measurement: a critical assessment of PC-GARCH against the main volatility forecasting models," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 95-115, March.
• Todea, Alexandru & Platon, Diana, 2012, "Sudden Changes In Volatility In Central And Eastern Europe Foreign Exchange Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 38-51, June.
• V. I. Tinyakova, 2012, "The new approaches in econometric research of financial markets. Distributed volatility," Review of Applied Socio-Economic Research, Pro Global Science Association, volume 4, issue 2, pages 247-255, Decembre.
• Alessia Naccarato & Andrea Pierini, 2012, "Multivariate statistical analysis for portfolio selection of italian stock market," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0166, Oct.
• Coronado Ramírez, Semei L. & Venegas Martínez, Francisco & Sandoval Mejía, Víctor, 2012, "Dependencia no lineal del índice de Precios y Cotizaciones de la Bolsa Mexicana de Valores / Non-linear Dependency of the Pricing and Trading Index of the Mexican Stock Exchange," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 2, issue 1, pages 65-84, enero-jun.
• Young Kim & Rosella Giacometti & Svetlozar Rachev & Frank Fabozzi & Domenico Mignacca, 2012, "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model," Annals of Operations Research, Springer, volume 201, issue 1, pages 325-343, December, DOI: 10.1007/s10479-012-1229-8.
• Vladimir Vovk, 2012, "Continuous-time trading and the emergence of probability," Finance and Stochastics, Springer, volume 16, issue 4, pages 561-609, October, DOI: 10.1007/s00780-012-0180-5.
• Apostolos Thomadakis, 2012, "Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns," School of Economics Discussion Papers, School of Economics, University of Surrey, number 0612, Feb.
• Malgorzata Sulimierska, 2012, "After Ten Years of the Russian Crisis, How Might IMF Intervention Be Evaluated?," Working Paper Series, Department of Economics, University of Sussex Business School, number 5112, Dec.
• Qian Chen & David E. Giles & Hui Feng, 2012, "The extreme-value dependence between the Chinese and other international stock markets," Applied Financial Economics, Taylor & Francis Journals, volume 22, issue 14, pages 1147-1160, July, DOI: 10.1080/09603107.2011.631890.
• Felicia Ramona BIRAU, 2012, "The implications of chaos theory on Bucharest stock exchange," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, volume 0, pages 36-41, May.
• Siem Jan Koopman & Andre Lucas & Marcel Scharth, 2012, "Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-020/4, Mar.
• Andre Lucas & Bastiaan Verhoef, 2012, "Aggregating Credit and Market Risk: The Impact of Model Specification," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-057/2/DSF36, May.
• Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2012, "Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-059/4, Jun.
• Denitsa Stefanova, 2012, "Stock Market Asymmetries: A Copula Diffusion," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-125/IV/DSF45, Nov.
• Mark J Jensen & John M Maheu, 2012, "Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture," Working Papers, University of Toronto, Department of Economics, number tecipa-453, Apr.
• Mark J Jensen & John M Maheu, 2012, "Bayesian semiparametric multivariate GARCH modeling," Working Papers, University of Toronto, Department of Economics, number tecipa-458, Jun.
• D.E. Allen & Abhay K Singh & R. Powell & Michael McAleer & James Taylor & Lyn Thomas, 2012, "The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-24, Oct.
• Yasmin Briceño Santafé & Giampaolo Orlandoni Merli, 2012, "Determination of bank risk indicators and macroeconomic conditions in Venezuela (1997-2009)," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, volume 37, issue 34, pages 55-88, july-dece.
• Abbas Valadkhani & Sajid Anwar, 2012, "Modelling Australia's Retail Mortgage Rate," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp12-01.
• Corsi, Fulvio & Peluso, Stefano & Audrino, Francesco, 2012, "Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1202, Jan.
• Audrino, Francesco & Meier, Pirmin, 2012, "Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1210, Apr.
• Audrino, Francesco & Knaus, Simon, 2012, "Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1224, Nov.
• Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2012, "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers on Finance, University of St. Gallen, School of Finance, number 1213, Feb.
• Roberto Casarin & Flaminio Squazzoni, 2012, "Financial press and stock markets in times of crisis," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2012_04.
• Monica Billio & Massimiliano Caporin & Michele Costola, 2012, "Backward/forward optimal combination of performance measures for equity screening," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2012_13.
• Piotr Arendarski, 2012, "Tactical allocation in falling stocks: Combining momentum and solvency ratio signals," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2012-01.
• Piotr Arendarski & Łukasz Postek, 2012, "Cointegration Based Trading Strategy For Soft Commodities Market," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2012-02.
• Pierre Chausse & Dinghai Xu, 2012, "GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study," Working Papers, University of Waterloo, Department of Economics, number 1203, May, revised May 2012.
• Dinghai Xu, 2012, "Continuous Empirical Characteristic Function Estimation of GARCH Models," Working Papers, University of Waterloo, Department of Economics, number 1204, May, revised May 2012.
• Vilimir Yordanov, 2012, "The Bulgarian Foreign and Domestic Debt ??? A No-Arbitrage Macrofinancial View," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp1032, Mar.
• Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012, "Multivariate high‐frequency‐based volatility (HEAVY) models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 6, pages 907-933, September.
• Jirô Akahori & Andrea Macrina, 2012, "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 15, issue 01, pages 1-15, DOI: 10.1142/S0219024911006553.
• Matheus R Grasselli & Lane P Hughston (ed.), 2012, "Finance at Fields," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8507, ISBN: ARRAY(0x5364d8a0), March.
• Jirô Akahori & Andrea Macrina, 2012, "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Hamed Amini & Rama Cont & Andreea Minca, 2012, "Stress Testing The Resilience Of Financial Networks," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Attakrit Asvanunt & Mark Broadie & Suresh Sundaresan, 2012, "Managing Corporate Liquidity: Strategies And Pricing Implications," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• T. R. Bielecki & S. Crépey & M. Jeanblanc & B. Zargari, 2012, "Valuation And Hedging Of Cds Counterparty Exposure In A Markov Copula Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Dorje C. Brody & Lane P. Hughston & Andrea Macrina, 2012, "Information-Based Asset Pricing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• René Carmona & Sergey Nadtochiy, 2012, "Tangent Models As A Mathematical Framework For Dynamic Calibration," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Patrick Cheridito & Michael Kupper, 2012, "Composition Of Time-Consistent Dynamic Monetary Risk Measures In Discrete Time," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Giuseppe Di Graziano & Lorenzo Torricelli, 2012, "Target Volatility Option Pricing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Damir Filipović & Lane P. Hughston & Andrea Macrina, 2012, "Conditional Density Models For Asset Pricing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Hans Föllmer & Irina Penner, 2012, "Monetary Valuation Of Cash Flows Under Knightian Uncertainty," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Marco Frittelli & Emanuela Rosazza Gianin, 2012, "On The Penalty Function And On Continuity Properties Of Risk Measures," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Marco Frittelli & Marco Maggis, 2012, "Conditional Certainty Equivalent," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 13, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Pavel V. Gapeev, 2012, "Pricing Of Perpetual American Options In A Model With Partial Information," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 14, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Paul Gassiat & Huyên Pham & Mihai Sîrbu, 2012, "Optimal Investment On Finite Horizon With Random Discrete Order Flow In Illiquid Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 15, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Jim Gatheral & Alexander Schied, 2012, "Optimal Trade Execution Under Geometric Brownian Motion In The Almgren And Chriss Framework," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 16, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Jim Gatheral & Tai-Ho Wang, 2012, "The Heat-Kernel Most-Likely-Path Approximation," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 17, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Paul Glasserman & Qi Wu, 2012, "Forward And Future Implied Volatility," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 18, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Svante Janson & Sokhna M'Baye & Philip Protter, 2012, "Absolutely Continuous Compensators," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 19, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Dilip B. Madan & Wim Schoutens, 2012, "Conic Finance And The Corporate Balance Sheet," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 20, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Michael Monoyios & Andrew Ng, 2012, "Optimal Exercise Of An Executive Stock Option By An Insider," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 21, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• M. Musiela & T. Zariphopoulou, 2012, "Initial Investment Choice And Optimal Future Allocations Under Time-Monotone Performance Criteria," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 22, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Jan Obłój & Frédérik Ulmer, 2012, "Performance Of Robust Hedges For Digital Double Barrier Options," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 23, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Thorsten Schmidt & Jerzy Zabczyk, 2012, "Cdo Term Structure Modelling With Lévy Processes And The Relation To Market Models," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 24, in: Matheus R Grasselli & Lane P Hughston, "Finance at Fields".
• Francesco Bravo & Federico Crudu, 2012, "Efficient bootstrap with weakly dependent processes," Discussion Papers, Department of Economics, University of York, number 12/08, Mar.
• Adam Golinski & Peter Spencer, 2012, "The Meiselman forward interest rate revision regression as an Affine Term Structure Model," Discussion Papers, Department of Economics, University of York, number 12/27, Oct.
• Stein, Michael & Islami, Mevlud & Lindemann, Jens, 2012, "Identifying time variability in stock and interest rate dependence," Discussion Papers, Deutsche Bundesbank, number 24/2012.
• Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2012, "Intra-daily volatility spillovers between the US and German stock markets," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2012-06.
• Gribisch, Bastian, 2012, "Multivariate wishart stochastic volatility and changes in regime," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2012-14.
• Alter, Adrian & Beyer, Andreas, 2012, "The dynamics of spillover effects during the European sovereign debt turmoil," CFS Working Paper Series, Center for Financial Studies (CFS), number 2012/13.
• Lux, Thomas, 2012, "Inference for systems of stochastic differential equations from discretely sampled data: A numerical maximum likelihood approach," Kiel Working Papers, Kiel Institute for the World Economy (IfW Kiel), number 1781.
• Agiakloglou, Christos & Gkouvakis, Michalis, 2012, "Causal interrelations among market fundamentals: Evidence from the Europen telecommunications sector," 23rd European Regional ITS Conference, Vienna 2012, International Telecommunications Society (ITS), number 60387.
• Kim, Young Shin & Giacometti, Rosella & Rachev, Svetlozar T. & Fabozzi, Frank J. & Mignacca, Domenico, 2012, "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 44, DOI: 10.5445/IR/1000029307.
• Krämer, Walter & Messow, Philip, 2012, "Structural Change and Spurious Persistence in Stochastic Volatility," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 310, DOI: 10.4419/86788357.
• Messow, Philip, 2012, "Pricing Synthetic CDOs Using a Three Regime Random-Factor-Loading Model," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 317, DOI: 10.4419/86788366.
• Bodnar, Taras & Hautsch, Nikolaus, 2012, "Copula-based dynamic conditional correlation multiplicative error processes," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-044.
• Matt P. Dziubinski, 2012, "Conditionally-uniform Feasible Grid Search Algorithm," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-03, Jan.
• Charlotte Christiansen, 2012, "Integration of European Bond Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-33, Jul.
• Daniela Osterrieder & Peter C. Schotman, 2012, "The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-35, Aug.
• Rasmus Søndergaard Pedersen & Anders Rahbek, 2012, "Multivariate Variance Targeting in the BEKK-GARCH Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-53, Nov.
• Pierpaolo Benigno & Salvatore Nisticò, 2012, "International Portfolio Allocation under Model Uncertainty," American Economic Journal: Macroeconomics, American Economic Association, volume 4, issue 1, pages 144-189, January.
• Stephen Gilmore & Fumio Hayashi, 2012, "Corrigendum: Emerging Market Currency Excess Returns," American Economic Journal: Macroeconomics, American Economic Association, volume 4, issue 1, pages 283-283, January.
• Yacine Aït-Sahalia & Jean Jacod, 2012, "Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data," Journal of Economic Literature, American Economic Association, volume 50, issue 4, pages 1007-1050, December.
• Schmitz, Jochen & Ledebur, Oliver von, 2012, "The 2007 emerging corn price surge revisited – Was it expected or a large surprise?," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil, International Association of Agricultural Economists, number 123971, DOI: 10.22004/ag.econ.123971.
• Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2012, "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1214, Jun.
• Marcel Aloy & Gilles de Truchis, 2012, "Estimation and Testing for Fractional Cointegration," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1215, Jun.
• Gilles de Truchis, 2012, "Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1220, Jul.
• Marcel Aloy & Gilles Dufrénot & Charles Lai Tong & Anne Péguin-Feissolle, 2012, "A Smooth Transition Long-Memory Model," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1240, Dec, revised Dec 2012.
• Lucian Buse & Silviu-Valentin Carstina, 2012, "Profitability And Risk Analysis In The Metallurgical Industry Leading Companies In Romania," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 3, issue 40, pages 5-16.
• Bauwens, L. & Hafner, C. & Laurent, S., 2012, "Volatility Models," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2012028, Jan.
• Filip Zikes & Jozef Barunik & Nikhil Shenai, 2012, "Modeling and Forecasting Persistent Financial Durations," Papers, arXiv.org, number 1208.3087, Aug, revised Apr 2013.
• Conrad, Christian & Loch, Karin & Rittler, Daniel, 2012, "On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation," Working Papers, University of Heidelberg, Department of Economics, number 0525, Mar.
• Conrad, Christian & Loch, Karin, 2012, "Anticipating Long-Term Stock Market Volatility," Working Papers, University of Heidelberg, Department of Economics, number 0535, Oct.
• Sebastian Missio, 2012, "Government bond market integration and the EMU: Correlation based evidence," Working Papers, Bavarian Graduate Program in Economics (BGPE), number 125, Sep.
• Caio Almeida & Axel Simonsen & José Valentim Vicente, 2012, "Forecasting Bond Yields with Segmented Term Structure Models," Working Papers Series, Central Bank of Brazil, Research Department, number 288, Jul.
• Michele Leonardo Bianchi, 2012, "An empirical comparison of alternative credit default swap pricing models," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 882, Sep.
• Ippei Fujiwara & Koji Takahashi, 2012, "Asian Financial Linkage: Macro‐Finance Dissonance," Pacific Economic Review, Wiley Blackwell, volume 17, issue 1, pages 136-159, February, DOI: j.1468-0106.2011.00575.x.
• Hanousek Jan & Kočenda Evžen & Novotný Jan, 2012, "The identification of price jumps," Monte Carlo Methods and Applications, De Gruyter, volume 18, issue 1, pages 53-77, January, DOI: 10.1515/mcma-2011-0019.
• Alethea Rea & William Rea & Marco Reale & Carl Scarrott, 2012, "A comparison of Spillover Effects before, during and after the 2008 Financial Crisis," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 12/03, Feb.
• Gabriele Fiorentini & Enrique Sentana, 2012, "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers, CEMFI, number wp2012_1211, Oct.
• Carlos Castro & Juan Sebastian Ordonez, 2012, "A Network model of systemic risk: identifying the sources of dependence across institutions," Documentos de Trabajo, Universidad del Rosario, number 9651, Jun.
• Claudia Sepúlveda Rivillas & Walter Reina Guti�rrez & Juan Carlos Guti�rrez Betancur, 2012, "Estimación del riesgo de crédito en empresas del sector real en Colombia," Estudios Gerenciales, Universidad Icesi.
• Jorge Mario Uribe Gil & Inés Maria Ulloa Villegas, 2012, "La medición del riesgo en eventos extremos. Una revisión metodológica en contexto," Revista Lecturas de Economía, Universidad de Antioquia, CIE.
• BAUWENS, Luc & STORTI, Giuseppe, 2012, "Computationally efficient inference procedures for vast dimensional realized covariance models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2012028, Jul.
• DUFAYS, Arnaud, 2012, "Infinite-state Markov-switching for dynamic volatility and correlation models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2012043, Nov.
• BAUWENS, Luc & STORTI, Giuseppe & VIOLANTE, Francesco, 2012, "Dynamic conditional correlation models for realized covariance matrices," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2012060, Dec.
• Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2012, "Sources of Risk in Currency Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8745, Jan.
• Gonzalo, Jesús & Taamouti, Abderrahim, 2012, "The reaction of stock market returns to anticipated unemployment," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1237, Jul.
• Deschamps, Philippe J., 2012, "Bayesian estimation of generalized hyperbolic skewed student GARCH models," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 11, pages 3035-3054, DOI: 10.1016/j.csda.2011.10.021.
• Bravo, Francesco & Crudu, Federico, 2012, "Efficient bootstrap with weakly dependent processes," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 11, pages 3444-3458, DOI: 10.1016/j.csda.2010.07.021.
• Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012, "Futures basis, inventory and commodity price volatility: An empirical analysis," Economic Modelling, Elsevier, volume 29, issue 6, pages 2651-2663, DOI: 10.1016/j.econmod.2012.07.016.
• van Oordt, Maarten R.C. & Zhou, Chen, 2012, "The simple econometrics of tail dependence," Economics Letters, Elsevier, volume 116, issue 3, pages 371-373, DOI: 10.1016/j.econlet.2012.04.016.
• Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2012, "The conditional autoregressive Wishart model for multivariate stock market volatility," Journal of Econometrics, Elsevier, volume 167, issue 1, pages 211-223, DOI: 10.1016/j.jeconom.2011.11.004.
• West, Kenneth D., 2012, "Econometric analysis of present value models when the discount factor is near one," Journal of Econometrics, Elsevier, volume 171, issue 1, pages 86-97, DOI: 10.1016/j.jeconom.2012.07.002.
• Hoogerheide, Lennart & Opschoor, Anne & van Dijk, Herman K., 2012, "A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation," Journal of Econometrics, Elsevier, volume 171, issue 2, pages 101-120, DOI: 10.1016/j.jeconom.2012.06.011.
• Maneesoonthorn, Worapree & Martin, Gael M. & Forbes, Catherine S. & Grose, Simone D., 2012, "Probabilistic forecasts of volatility and its risk premia," Journal of Econometrics, Elsevier, volume 171, issue 2, pages 217-236, DOI: 10.1016/j.jeconom.2012.06.006.
• Mun, Melissa & Brooks, Robert, 2012, "The roles of news and volatility in stock market correlations during the global financial crisis," Emerging Markets Review, Elsevier, volume 13, issue 1, pages 1-7, DOI: 10.1016/j.ememar.2011.09.001.
• Mendes, Beatriz Vaz de Melo & Marques, Daniel S., 2012, "Choosing an optimal investment strategy: The role of robust pair-copulas based portfolios," Emerging Markets Review, Elsevier, volume 13, issue 4, pages 449-464, DOI: 10.1016/j.ememar.2012.07.005.
• Wen, Xiaoqian & Wei, Yu & Huang, Dengshi, 2012, "Measuring contagion between energy market and stock market during financial crisis: A copula approach," Energy Economics, Elsevier, volume 34, issue 5, pages 1435-1446, DOI: 10.1016/j.eneco.2012.06.021.
• Hellström, Jörgen & Lundgren, Jens & Yu, Haishan, 2012, "Why do electricity prices jump? Empirical evidence from the Nordic electricity market," Energy Economics, Elsevier, volume 34, issue 6, pages 1774-1781, DOI: 10.1016/j.eneco.2012.07.006.
• Molnár, Peter, 2012, "Properties of range-based volatility estimators," International Review of Financial Analysis, Elsevier, volume 23, issue C, pages 20-29, DOI: 10.1016/j.irfa.2011.06.012.
• Simonato, Jean-Guy, 2012, "GARCH processes with skewed and leptokurtic innovations: Revisiting the Johnson Su case," Finance Research Letters, Elsevier, volume 9, issue 4, pages 213-219, DOI: 10.1016/j.frl.2012.06.002.
• Arbenz, Philipp & Hummel, Christoph & Mainik, Georg, 2012, "Copula based hierarchical risk aggregation through sample reordering," Insurance: Mathematics and Economics, Elsevier, volume 51, issue 1, pages 122-133, DOI: 10.1016/j.insmatheco.2012.03.009.
• Del Brio, Esther B. & Perote, Javier, 2012, "Gram–Charlier densities: Maximum likelihood versus the method of moments," Insurance: Mathematics and Economics, Elsevier, volume 51, issue 3, pages 531-537, DOI: 10.1016/j.insmatheco.2012.07.005.
• Chkili, Walid & Aloui, Chaker & Nguyen, Duc Khuong, 2012, "Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 4, pages 738-757, DOI: 10.1016/j.intfin.2012.04.009.
• Alter, Adrian & Schüler, Yves S., 2012, "Credit spread interdependencies of European states and banks during the financial crisis," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3444-3468, DOI: 10.1016/j.jbankfin.2012.08.002.
• Shynkevich, Andrei, 2012, "Performance of technical analysis in growth and small cap segments of the US equity market," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 193-208, DOI: 10.1016/j.jbankfin.2011.07.001.
• Klößner, Stefan & Becker, Martin & Friedmann, Ralph, 2012, "Modeling and measuring intraday overreaction of stock prices," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 1152-1163, DOI: 10.1016/j.jbankfin.2011.11.005.
• León, Ángel & Sebestyén, Szabolcs, 2012, "New measures of monetary policy surprises and jumps in interest rates," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2323-2343, DOI: 10.1016/j.jbankfin.2012.04.014.
• Chernov, Mikhail & Mueller, Philippe, 2012, "The term structure of inflation expectations," Journal of Financial Economics, Elsevier, volume 106, issue 2, pages 367-394, DOI: 10.1016/j.jfineco.2012.06.004.
• Fernández-Macho, Javier, 2012, "Wavelet multiple correlation and cross-correlation: A multiscale analysis of Eurozone stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 391, issue 4, pages 1097-1104, DOI: 10.1016/j.physa.2011.11.002.
• Kao, Lie-Jane & Wu, Po-Cheng & Lee, Cheng-Few, 2012, "Time-changed GARCH versus the GARJI model for prediction of extreme news events: An empirical study," International Review of Economics & Finance, Elsevier, volume 21, issue 1, pages 115-129, DOI: 10.1016/j.iref.2011.05.001.
• Kanaya, Shin & Otsu, Taisuke, 2012, "Large deviations of realized volatility," Stochastic Processes and their Applications, Elsevier, volume 122, issue 2, pages 546-581, DOI: 10.1016/j.spa.2011.09.002.
• Leo Krippner, 2012, "A theoretical foundation for the Nelson and Siegel class of yield curve models," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-11, Mar.
• Stephanie Rendón de la Torre, 2012, "Estimación del coeficiente de Hurst con wavelets de índices accionarios de Turquía, Indonesia, México y Corea del Sur," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 6, issue 2, pages 27-50.
• Nuray GUNERI TOSUNOGLU & Yasemin KESKIN BENLI, 2012, "Morgan Stanley Capital International Turkiye Endeksinin Yapay Sinir Aglari ile Ongorusu," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 12, issue 4, pages 541-547.
• Ling‐Yun He & Wen‐Si Xie, 2012, "Who has the final say?," China Agricultural Economic Review, Emerald Group Publishing Limited, volume 4, issue 3, pages 379-390, August, DOI: 10.1108/17561371211263383.
• J. Alexander Nuetah & Yitian Xiao & Pei Guo, 2012, "Is China entering a high food price era?," China Agricultural Economic Review, Emerald Group Publishing Limited, volume 4, issue 3, pages 391-399, August, DOI: 10.1108/17561371211263392.
• Carlos A. Reyes, 2012, "Modelo de dos factores con dinámica DCC en la evaluación del riesgo de crédito," Serie documentos de trabajo del Centro de Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, number 2012-06, Feb.
• Arturo Lorenzo-Valdés & Antonio Ruiz-Porras, 2012, "Los rendimientos cambiarios latinoamericanos y la (a)simetría de los shocks informacionales: un análisis econométrico," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, volume 0, issue 2, pages 87-113, November.
• Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012, "Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," Economics Working Papers, European University Institute, number ECO2012/28.
• Petr Gapko & Martin Smid, 2012, "Dynamic Multi-Factor Credit Risk Model with Fat-Tailed Factors," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 62, issue 2, pages 125-140, May.
• Piotr Fiszeder & Witold Orzeszko, 2012, "Nonparametric Verification of GARCH-Class Models for Selected Polish Exchange Rates and Stock Indices," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 62, issue 5, pages 430-449, November.
• Ludovico Alcorta & Morgan Bazilian & Giuseppe De Simone & Ascha Pedersen, 2012, "Return on Investment from Industrial Energy Efficiency: Evidence from Developing Countries," Working Papers, Fondazione Eni Enrico Mattei, number 2012.35, May.
• Mark J. Jensen & John M. Maheu, 2012, "Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2012-06.
• Mark J. Jensen & John M. Maheu, 2012, "Bayesian semiparametric multivariate GARCH modeling," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2012-09.
• Marco Cipriani & Antonio Guarino, 2012, "Estimating a structural model of herd behavior in financial markets," Staff Reports, Federal Reserve Bank of New York, number 561.
• Robert Engle & Michael J. Fleming & Eric Ghysels & Giang Nguyen, 2012, "Liquidity and volatility in the U.S. treasury market," Staff Reports, Federal Reserve Bank of New York, number 590, Dec.
• Giampiero M. Gallo & Edoardo Otranto, 2012, "Realized Volatility and Change of Regimes," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2012_02, Jul, revised Jul 2012.
• Giampiero M. Gallo & Edoardo Otranto, 2012, "Volatility Swings in the US Financial Markets," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2012_03, Jul, revised Jul 2012.
• Rossen Trendafilov & Erick W Rengifo, 2012, "Regime Identification in Limit Order Books," Fordham Economics Discussion Paper Series, Fordham University, Department of Economics, number dp2012_04.
• Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2012, "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," JRFM, MDPI, volume 5, issue 1, pages 1-37, December.

2011

• Rasmus Tangsgaard Varneskov, 2011, "Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-31, Sep.
• Rasmus Tangsgaard Varneskov, 2011, "Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-35, Sep.
• Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011, "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-37, Nov.
• Luc Luc & Arnaud Dufays & Jeroen V.K. Rombouts, 2011, "Marginal Likelihood for Markov-switching and Change-point Garch Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-41, Nov.
• Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez, 2011, "Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-49, Nov.
• Torben G. Andersen & Oleg Bondarenko, 2011, "VPIN and the Flash Crash," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-50, Oct.
• Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2011, "US International Equity Investment and Past and Prospective Returns," American Economic Review, American Economic Association, volume 101, issue 7, pages 3440-3455, December.
• Stephen Gilmore & Fumio Hayashi, 2011, "Emerging Market Currency Excess Returns," American Economic Journal: Macroeconomics, American Economic Association, volume 3, issue 4, pages 85-111, October.
• Julián Andrada-Félix & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2011, "Historical financial analogies of the current crisis," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 11-08, Nov.
• Serra, Teresa, , "Volatility Spillovers between Food and Energy Markets, A Semiparametric Approach," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland, European Association of Agricultural Economists, number 115997, DOI: 10.22004/ag.econ.115997.
• Bauwens, L. & Hafner, C. & Pierret, D., 2011, "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2011013, Jan.
• Bauwens, L. & Hafner C. & Laurent, S., 2011, "Volatility Models," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2011044, Jan.
• Luca RICCETTI, 2011, "A Copula-GARCH Model for Macro Asset Allocation of a Portfolio with Commodities: an Out-of-Sample Analysis," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 355, Jan.
• Toni Gravelle & Fuchun Li, 2011, "Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach," Staff Working Papers, Bank of Canada, number 11-19, DOI: 10.34989/swp-2011-19.
• Vladimir Simovic & Vojkan Vaskovic & Marko Rankovic & Slobodan Malinic, 2011, "The impact of the functional characteristics of a credit bureau on the level of indebtedness per capita: Evidence from East European countries," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, volume 11, issue 2, pages 101-130, December.
• Ippei Fujiwara & Koji Takahashi, 2011, "Asian Financial Linkage: Macro-Finance Dissonance," Bank of Japan Working Paper Series, Bank of Japan, number 11-E-6, Aug.
• Pierre Perron & Sungju Chun & Cosme Vodounou, 2011, "Sampling Interval and Estimated Betas: Implications for the Presence of Transitory Components in Stock Prices," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2011-055, Jan.
• Boris Solier & Pierre-André Jouvet, 2011, "An overview of CO2 cost pass-through to electricity prices in Europe," Working Papers, Chaire Economie du climat, number 1108, Jun.
• Jan Hanousek & Evzen Kocenda & Jan Novotny, 2011, "The Identification of Price Jumps," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp434, Mar.
• Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2011, "How Prediction Markets can Save Event Studies," CESifo Working Paper Series, CESifo, number 3434.
• Luc Bauwens & Arnaud Dufays & Jeroen Rombouts, 2011, "Marginal Likelihood for Markov-Switching and Change-Point Garch Models," CIRANO Working Papers, CIRANO, number 2011s-72, Nov.
• Luis García-Álvarez & Richard Luger, 2011, "Dynamic Correlations, Estimation Risk, and Porfolio Management During the Financial Crisis," Working Papers, CEMFI, number wp2011_1103, Apr, revised Sep 2011.
• Carlos Castro & Stijn Ferrari, 2011, "Measuring and testing for the systemically important financial institutions," Documentos de Trabajo, Universidad del Rosario, number 8779, Jun.
• Jorge Mario Uribe Gil & Inés María Ulloa Villegas, 2011, "Revisando la hipótesis de los mercados eficientes: nuevos datos, nuevas crisis y nuevas estimaciones," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• BOUEZMARNI, Taoufik & VAN BELLEGEM, Sébastien, 2011, "Nonparametric Beta kernel estimator for long memory time series," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2011004, Jan.
• BAUWENS, Luc & HAFNER, Christian & pierret, Diane, 2011, "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2011011, Feb.
• BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V.K., 2011, "Marginal likelihood for Markov-switching and change-point GARCH models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2011013, Dec.
• VAN BELLEGEM, Sébastien, 2011, "Locally stationary volatility modelling," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2011041, Oct.
• BAUWENS, Luc & DUFAYS, Arnaud & DE BACKER, Bruno, 2011, "Estimating and forecasting structural breaks in financial time series," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2011055, Nov.
• BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011, "Volatility models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2011058, Dec.
• Wolfers, Justin & Zitzewitz, Eric & Snowberg, Erik, 2011, "How Prediction Markets Can Save Event Studies," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8351, Apr.
• Alain Monfort & Olivier Féron, 2011, "Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options," Working Papers, Center for Research in Economics and Statistics, number 2011-12, Mar.
• Gonzalo, Jesús & Taamouti, Abderrahim, 2011, "The reaction of stock market returns to anticipated unemployment," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1145, Jul.
• Shin Kanaya & Taisuke Otsu, 2011, "Large Deviations of Realized Volatility," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1798, May.