Research classified by Journal of Economic Literature (JEL) codes

2012

• 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, 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.

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.
• Riana Iren RADU, 2011, "Econometric Model – A Tool in Financial Management," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 49-54.
• Malik, Sheheryar & Pitt, Michael K., 2011, "Particle filters for continuous likelihood evaluation and maximisation," Journal of Econometrics, Elsevier, volume 165, issue 2, pages 190-209, DOI: 10.1016/j.jeconom.2011.07.006.
• van der Laan, Gerard & Talman, Dolf & Yang, Zaifu, 2011, "Solving discrete systems of nonlinear equations," European Journal of Operational Research, Elsevier, volume 214, issue 3, pages 493-500, November.
• Serra, Teresa, 2011, "Volatility spillovers between food and energy markets: A semiparametric approach," Energy Economics, Elsevier, volume 33, issue 6, pages 1155-1164, DOI: 10.1016/j.eneco.2011.04.003.
• Sabbaghi, Omid, 2011, "Asymmetric volatility and trading volume: The G5 evidence," Global Finance Journal, Elsevier, volume 22, issue 2, pages 169-181, DOI: 10.1016/j.gfj.2011.10.006.
• Huse, Cristian, 2011, "Term structure modelling with observable state variables," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3240-3252, DOI: 10.1016/j.jbankfin.2011.05.004.
• Chow, Gregory C. & Liu, Changjiang & Niu, Linlin, 2011, "Co-movements of Shanghai and New York stock prices by time-varying regressions," Journal of Comparative Economics, Elsevier, volume 39, issue 4, pages 577-583, DOI: 10.1016/j.jce.2011.06.001.
• Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2011, "How Prediction Markets can Save Event Studies," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2011-07, Apr.
• Fernández Macho, Francisco Javier, 2011, "Wavelet multiple correlation and cross-correlation: A multiscale analysis of euro zone stock markets," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984, Jun.
• Diep Duong & Norman R. Swanson, 2011, "Volatility in Discrete and Continuous-Time Models: A Survey with New Evidence on Large and Small Jumps," Advances in Econometrics, Emerald Group Publishing Limited, "Missing Data Methods: Time-Series Methods and Applications", DOI: 10.1108/S0731-9053(2011)000027B006.
• Milan Rippel & Ivo Jánský, 2011, "Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2011/27, Jul, revised Jul 2011.
• Ippei Fujiwara & Koji Takahashi, 2011, "Asian financial linkage: macro-finance dissonance," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 92.
• Sirio Aramonte & Marius del Giudice Rodriguez & Jason J. Wu, 2011, "Dynamic factor value-at-risk for large, heteroskedastic portfolios," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2011-19.
• Tobias Adrian & Richard K. Crump & Emanuel Moench, 2011, "Regression-based estimation of dynamic asset pricing models," Staff Reports, Federal Reserve Bank of New York, number 493.
• Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo, 2011, "Multiplicative Error Models," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2011_03, Feb, revised Apr 2011.
• Rebiasz, B., 2011, "Arithmetic Operations On Interactive Fuzzy Numbers In Financial Analysis," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 1, pages 39-65, May.
• Peter Martey Addo & Monica Billio & Dominique Guegan, 2011, "A test for a new modelling : The Univariate MT-STAR Model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00659158, Nov.
• Peter Martey Addo & Monica Billio & Dominique Guegan, 2011, "A test for a new modelling : The Univariate MT-STAR Model," Post-Print, HAL, number halshs-00659158, Nov.
• Eiji Kurozumi & Kohei Aono, 2011, "Estimation and Inference in Predictive Regressions," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd11-192, May.
• Shih Yung Wei & Jack J. W. Yang, 2011, "The Impact Of Short Sale Restrictions On Stock Volatility: Evidence From Taiwan," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 4, pages 89-98.
• Wolfgang Rinnergschwentner & Gottfried Tappeiner & Janette Walde, 2011, "Multivariate Stochastic Volatility via Wishart Processes - A Continuation," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2011-19, Aug.
• Cândida Ferreira, 2011, "European integration and banking efficiency: a panel cost frontier approach," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2011/04, Feb.
• Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric, 2011, "How Prediction Markets Can Save Event Studies," IZA Discussion Papers, IZA Network @ LISER, number 5640, Apr.
• Dasheng Ji & B. Brorsen, 2011, "A recombining lattice option pricing model that relaxes the assumption of lognormality," Review of Derivatives Research, Springer, volume 14, issue 3, pages 349-367, October, DOI: 10.1007/s11147-010-9060-3.
• Adrian Alter & Yves Stephan Schüler, 2011, "Credit Spead Interdependencies of European States and Banks during the Financial Crisis," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2011-24, Jan.
• Lestano, 2011, "Measuring Financial Markets Integration : Indonesia and East Asia," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, volume 59, pages 19-46, April.
• Stéphane GOUTTE & Benteng Zou, 2011, "Foreign exchange rates under Markov Regime switching model," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 11-16.
• Luc Bauwens & Arnaud Dufays & Jeroen V.K. Rombouts, 2011, "Marginal Likelihood for Markov-Switching and Change-Point GARCH Models," Cahiers de recherche, CIRPEE, number 1138.
• Peter Martey Addo & Monica Billio & Dominique Guegan, 2011, "A test for a new modelling: The Univariate MT-STAR Model," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11083, Dec.
• Peter Martey Addo & Monica Billio & Dominique Guegan, 2011, "A New Modelling Test: The Univariate MT-STAR Model," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11083r, Dec, revised Aug 2013.
• Solntsev, O. & Mamonov, M. & Pestova, A. & Magomedova, Z., 2011, "Experience in Developing Early Warning System for Financial Crises and the Forecast of Russian Banking Sector Dynamic in 2012," Journal of the New Economic Association, New Economic Association, issue 12, pages 41-76.
• Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011, "Multivariate High-Frequency-Based Volatility (HEAVY) Models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2011-W01, Feb.
• Anis Cecilia-Nicoleta & Roth Anne-Marie & Apolzan (Angyal) Carmen-Maria, 2011, "Value At Risk - Corporate Risk Measurement," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 387-392, December.
• Burcã Ana-Maria & Bãtrînca Ghiorghe, 2011, "Application of Actuarial Modelling in Insurance Industry," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 157-161, May.
• Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011, "Multivariate High-Frequency-Based Volatility (HEAVY) Models," Economics Series Working Papers, University of Oxford, Department of Economics, number 533, Feb.
• Massimiliano Caporin & Gabriel G. Velo, 2011, "Modeling and forecasting realized range volatility," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0128, Feb.
• Gian Piero Aielli & Massimiliano Caporin, 2011, "Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0133, May.
• Massimiliano Caporin & Angelo Ranaldo & Paolo Santucci de Magistris, 2011, "On the Predictability of Stock Prices: A Case for High and Low Prices," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0136, Jun.
• Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2011, "Conditional jumps in volatility and their economic determinants," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0138, Sep.
• Malgorzata Madrak-Grochowska & Miroslawa Zurek, 2011, "Testing For Causality In Variance For World Stock Exchange Indexes," Oeconomia Copernicana, Institute of Economic Research, volume 2, issue 4, pages 5-27, December, DOI: 10.12775/OeC.2011.015.
• Jonas Teitge & Andreas Nastansky, 2011, "Interdependenzen in den Renditen DAX-notierter Unternehmen nach Branchen," Statistische Diskussionsbeiträge, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät, number 47, Apr.
• Benjamin Kauper & Karl-Kuno Kunze, 2011, "Modellierung von Aktienkursen im Lichte der Komplexitätsforschung," Statistische Diskussionsbeiträge, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät, number 49, Apr.
• Jiranyakul, Komain, 2011, "On the Risk-Return Tradeoff in the Stock Exchange of Thailand: New Evidence," MPRA Paper, University Library of Munich, Germany, number 45583, Jul.
• Zaytsev, Alexander, 2011, "Эконометрический Анализ Динамики Российских Паевых Инвестиционных Фондов В Кризисный И Посткризисный Периоды
  [Econometric analysis of Russian mutual funds in crisis and postcrisis periods]," MPRA Paper, University Library of Munich, Germany, number 46437, Sep.
• P., Srinivasan, 2011, "Price Discovery and Volatility Spillovers in Indian Spot-Futures Commodity Market," MPRA Paper, University Library of Munich, Germany, number 47412, May.
• Krishnankutty, Raveesh & Tiwari, Aviral Kumar, 2011, "Are the Bombay stock Exchange Sectoral indices of Indian stock market cointegrated? Evidence using fractional cointegration test," MPRA Paper, University Library of Munich, Germany, number 48590, Sep, revised 20 Dec 2011.
• CHIKHI, Mohamed, 2011, "Analyse du choc informationnel et de l’hétéroscédasticité conditionnelle dans les flux de trésorerie
  [Analysis of informational shock and conditional heteroscedasticity in cash flows]," MPRA Paper, University Library of Munich, Germany, number 77269, Apr, revised Jun 2011.
• Adam Borovička, 2011, "Comparison of Volatility Models of PX Index and FTSE 100 Index
  [Srovnání volatility akciových indexů PX a FTSE 100]," Acta Oeconomica Pragensia, Prague University of Economics and Business, volume 2011, issue 2, pages 66-88, DOI: 10.18267/j.aop.331.
• Zdeněk Štolc, 2011, "Application of FIGARCH and EWMA Models on Stock Indices PX and BUX
  [Aplikace FIGARCH a EWMA modelů na burzovní indexy PX a BUX]," Acta Oeconomica Pragensia, Prague University of Economics and Business, volume 2011, issue 4, pages 25-38, DOI: 10.18267/j.aop.338.
• Alexey Balaev, 2011, "Modeling multivariate parametric densities of financial returns (in Russian)," Quantile, Quantile, issue 9, pages 39-60, July.
• Rohit Vishal Kumar & Dhekra Azouzi, 2011, "Tunisian and Indian Forex Markets: A Comparision on Forward Rate Unbiased Hypothesis," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 14, issue 40, pages 81-98, June.