Research classified by Journal of Economic Literature (JEL) codes

2025

• Zhouyu Shen & Dacheng Xiu, 2025, "Can Machines Learn Weak Signals?," NBER Working Papers, National Bureau of Economic Research, Inc, number 33421, Jan.
• Junting Duan & Markus Pelger, 2025, "Imputation-Powered Inference for Missing Covariates," NBER Working Papers, National Bureau of Economic Research, Inc, number 34535, Dec.
• Emine Karacayir & Muge Saglam Bezgin, 2025, "Volatility Spillovers between the Global Economy Policy Uncertainty Index and Equity Markets: Evidence from Developed and Emerging Economies," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 4, pages 1060-1073, Desember.
• Dirin Mchirgui & Bashar Yaser Almansour, 2025, "Maritime Resilience in Crisis: Unraveling the Interconnectedness Dynamics of Oil and Gas Volatility Across Sectors," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 4, pages 1231-1256, Desember.
• Ibrahim Salah Ali Alkhadrawi & Dirin Mchirgui & Younes Boujelbene, 2025, "On the Connectedness Between Bitcoin, Gold, Gold-Backed Cryptocurrencies and the G7 Banking Sector Stock Indices During Crises: Evidence from Quantile Vector Autoregression and Temporal Frequency Connectivity approach," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 4, pages 990-1025, Desember.
• Xuzhu ZHENG & Masato UBUKATA & Kosuke OYA, 2025, "Examining Volatility Roughness in the Japanese Stock Market," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 25-17, Nov.
• M Angeles Carnero & Angel León & Trino-Manuel Ñíguez, 2025, "Analytic Moments of TGARCH(1,1) Models with Polynomially Adjusted Densities," Journal of Financial Econometrics, Oxford University Press, volume 23, issue 2, pages 1194-1209.
• Geul Lee & Doojin Ryu & Li Yang, 2025, "Domain Stabilization for Model-Free Option Implied Moment Estimation," Journal of Financial Econometrics, Oxford University Press, volume 23, issue 2, pages 1335-1386.
• Anne Opschoor & André Lucas & Luca Rossini, 2025, "The Conditional Autoregressive F-Riesz Model for Realized Covariance Matrices," Journal of Financial Econometrics, Oxford University Press, volume 23, issue 2, pages 177-190.
• Chao Zhang & Xingyue Pu & Mihai Cucuringu & Xiaowen Dong, 2025, "Graph-Based Methods for Forecasting Realized Covariances," Journal of Financial Econometrics, Oxford University Press, volume 23, issue 2, pages 1977-2016.
• Giuseppe Buccheri & Piero Mazzarisi, 2025, "Realized Random Graphs, with an Application to the Interbank Network," Journal of Financial Econometrics, Oxford University Press, volume 23, issue 2, pages 1981-2014.
• Simon T Bodilsen, 2025, "Large-Dimensional Portfolio Selection with a High-Frequency-Based Dynamic Factor Model," Journal of Financial Econometrics, Oxford University Press, volume 23, issue 2, pages 384-399.
• Matthias R Fengler & Jeannine Polivka, 2025, "Structural Volatility Impulse Response Analysis," Journal of Financial Econometrics, Oxford University Press, volume 23, issue 2, pages 951-971.
• Ovidijus Stauskas & Genaro Sucarrat, 2025, "Testing the Zero-Process of Intraday Financial Returns for Non-Stationary Periodicity," Journal of Financial Econometrics, Oxford University Press, volume 23, issue 3, pages 142-153.
• Michele Costola & Matteo Iacopini & Casper Wichers, 2025, "Bayesian SAR Model with Stochastic Volatility and Multiple Time-Varying Weights," Journal of Financial Econometrics, Oxford University Press, volume 23, issue 3, pages 273-335.
• Colin Bowers & Chris Heaton, 2025, "Empirical Evaluation of Competing High-Frequency Estimators of Quadratic Variation," Journal of Financial Econometrics, Oxford University Press, volume 23, issue 3, pages 351-416.
• Pelin Akçagün-Narin & Süleyman Taşpınar & Osman Doğan, 2025, "A spatial analysis of contagion in sovereign credit default swaps," Journal of Financial Econometrics, Oxford University Press, volume 23, issue 3, pages 564-608.
• Paolo Giordani, 2025, "SMARTboost Learning for Tabular Data," Journal of Financial Econometrics, Oxford University Press, volume 23, issue 3, pages 929-985.
• Nabil Bouamara & Sébastien Laurent & Shuping Shi, 2025, "A Stepwise Cauchy Combination Test for Multiple Testing Problems with Financial Applications," Journal of Financial Econometrics, Oxford University Press, volume 23, issue 5, pages 1-020..
• Yacine Aït-Sahalia & Jean Jacod & Dacheng Xiu, 2025, "Continuous-Time Fama-MacBeth Regressions," The Review of Financial Studies, Society for Financial Studies, volume 38, issue 12, pages 3542-3579.
• Richard K Crump & Nikolay Gospodinov, 2025, "Deconstructing the Yield Curve," The Review of Financial Studies, Society for Financial Studies, volume 38, issue 2, pages 381-421.
• Eugene F Fama & Kenneth R French, 2025, "House Prices and Rents," The Review of Financial Studies, Society for Financial Studies, volume 38, issue 2, pages 547-563.
• Saketh Aleti & Tim Bollerslev, 2025, "News and Asset Pricing: A High-Frequency Anatomy of the SDF," The Review of Financial Studies, Society for Financial Studies, volume 38, issue 3, pages 712-759.
• Joachim Freyberger & Bjoern Hoeppner & Andreas Neuhierl & Michael Weber, 2025, "Missing Data in Asset Pricing Panels," The Review of Financial Studies, Society for Financial Studies, volume 38, issue 3, pages 760-802.
• Hassan Zada & Mirzat Ullah & Kazi Sohag, 2025, "Examining the role of jumps on the returns and integrated volatility of emerging Asian stock markets during global financial crises and Covid-19: an application of the swap variance jump approach," Journal of Asset Management, Palgrave Macmillan, volume 26, issue 1, pages 30-43, February, DOI: 10.1057/s41260-025-00395-2.
• Maneesh Gupta & Vipul Kumar Singh & Pawan Kumar, 2025, "Resilience of green bonds in portfolio diversification: evidence from crisis periods," Journal of Asset Management, Palgrave Macmillan, volume 26, issue 3, pages 298-315, May, DOI: 10.1057/s41260-024-00393-w.
• László Bokor, 2025, "Investigating the nexus between sovereign green and vanilla bonds in the secondary market," Journal of Asset Management, Palgrave Macmillan, volume 26, issue 7, pages 753-767, December, DOI: 10.1057/s41260-025-00402-6.
• Janusz Brzeszczyński & Jerzy Gajdka & Piotr Pietraszewski & Tomasz Schabek, 2025, "A Refinement to the Treynor Ratio," Journal of Asset Management, Palgrave Macmillan, volume 26, issue 7, pages 711-724, December, DOI: 10.1057/s41260-025-00417-z.
• Elena Nebolsina, 2025, "Weathering storms: a study of the U.S. insurance market resilience against the global financial crisis and Covid-19," Risk Management, Palgrave Macmillan, volume 27, issue 4, pages 1-31, December, DOI: 10.1057/s41283-025-00180-w.
• Tamás Kristóf & Miklós Virág, 2025, "Corporate failure prediction in crisis periods: the case of Visegrad Four large corporates," Risk Management, Palgrave Macmillan, volume 27, issue 4, pages 1-19, December, DOI: 10.1057/s41283-025-00181-9.
• Gabriel Rodriguez & Mauricio Alvarado, 2025, "The Inflation Uncertainty-Inflation Relationship: Time Variation Across Latin America and the G7," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2025-544, DOI: 10.18800/2079-8474.0544.
• Annika Mauer & Andreas Nastansky, 2025, "Empirische Analyse des Zusammenhangs zwischen Rendite und impliziter Volatilität am deutschen Aktienmarkt," Statistische Diskussionsbeiträge, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät, number 58, Jan, DOI: 10.25932/publishup-66946.
• Nico Knuth & Andreas Nastansky, 2025, "Anwendung von Deep Learning in der Prognose der Volatilität des DAX: Ein Vergleich der Prognosegüte von GARCH und LSTM," Statistische Diskussionsbeiträge, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät, number 59, Mar, DOI: 10.25932/publishup-67486.
• Li, Chenxing & Yang, Qiao, 2025, "An Infinite Hidden Markov Model with GARCH for Short-Term Interest Rates," MPRA Paper, University Library of Munich, Germany, number 123200, Jan.
• Magomedov, Said & Fantazzini, Dean, 2025, "Modeling and Forecasting the Probability of Crypto-Exchange Closures: A Forecast Combination Approach," MPRA Paper, University Library of Munich, Germany, number 123416.
• Francq, Christian & Trapani, Lorenzo & Zakoian, Jean-Michel, 2025, "Inference on breaks in weak location time series models with quasi-Fisher scores," MPRA Paper, University Library of Munich, Germany, number 123741.
• Bahaa Aly, Tarek, 2025, "Deep Impulse Response Functions for Macroeconomic Dynamics: A Hybrid LSTM-Wavelet Approach Compared to an ANN-Wavelet and VECM Models," MPRA Paper, University Library of Munich, Germany, number 124905, May.
• Aslanidis, Nektarios & Bariviera, Aurelio & Kapetanios, George & Sarafidis, Vasilis, 2025, "Heterogeneous Exposures to Systematic and Idiosyncratic Risk across Crypto Assets: A Divide-and-Conquer Approach," MPRA Paper, University Library of Munich, Germany, number 125124, Jun.
• Mir, Zulfiqar Ali, 2025, "Penalized regression methods for exchange rate forecasting: evidence from the U.S. dollar index," MPRA Paper, University Library of Munich, Germany, number 125996, Sep.
• Boughabi, Houssam, 2025, "A Theoretical Framework for Crude Oil Price Evolution: Insights from the Financial Crisis and Beyond," MPRA Paper, University Library of Munich, Germany, number 126287, Jul.
• Boughabi, Houssam, 2025, "Theoretical Modeling of Macroeconomic Stability under Austerity: The Roles of FDI, Consumption Volatility, and Wage Financing," MPRA Paper, University Library of Munich, Germany, number 126296, May.
• Rubenstein, Elias, 2025, "Safe-Haven Currency and Sequence Risk: A State-Dependent Swiss Franc Overlay for Global Portfolios," MPRA Paper, University Library of Munich, Germany, number 126680, Nov.
• Fantazzini, Dean, 2025, "Detecting Stablecoin Failure with Simple Thresholds and Panel Binary Models: The Pivotal Role of Lagged Market Capitalization and Volatility," MPRA Paper, University Library of Munich, Germany, number 126906, Nov.
• Ahmadian- Yazdi, Farzaneh & Roudari, Soheil & Mensi, Walid, 2025, "Assessing the safe haven characteristic of Sukuk in Iran's financial market: Fresh evidence for portfolio management," MPRA Paper, University Library of Munich, Germany, number 126962, Mar.
• boughabi, houssam, 2025, "Designing Optimal Fiscal Intervention in the CAC 40: A Fractional Memory Approach to Tax-Rate Volatility," MPRA Paper, University Library of Munich, Germany, number 129470, Oct.
• Vasilios Plakandaras & Rangan Gupta & Qiang Ji, 2025, "Unraveling Financial Fragility of Global Markets Using Machine Learning," Working Papers, University of Pretoria, Department of Economics, number 202511, Mar.
• Elie Bouri & Oguzhan Cepni & Rangan Gupta & Sibanjan Mishra & Muhammed Enes Olgun, 2025, "Dynamic Return Connectedness Among Crypto-Mining Technology Firms and Major Cryptocurrencies: The Role of Sentiment Indices," Working Papers, University of Pretoria, Department of Economics, number 202533, Sep.
• Martina Sobková, 2025, "Comparison of the performance of Czech actively managed funds with ETFs
  [Porovnání výkonnosti českých aktivně spravovaných fondů s ETF]," Český finanční a účetní časopis, Prague University of Economics and Business, volume 2025, issue 1, pages 44-65, DOI: 10.18267/j.cfuc.608.
• Süreyya Yilmaz Ozekenci & Cansu Unver Erbas & Suzan Dsouza, 2025, "ESG Resilience Amid Financial Distress: the Role of Board Gender Diversity in EU Firms," Prague Economic Papers, Prague University of Economics and Business, volume 2025, issue 4, pages 470-494, DOI: 10.18267/j.pep.902.
• Tuğba Güz & Coşkun Parim & Erhan Çene, 2025, "Examining the Impacts of GDP, Trade Openness, Freedom Index and the Internet on FDI: Comparison of Countries with Panel ARDL," Politická ekonomie, Prague University of Economics and Business, volume 2025, issue 1, pages 88-124, DOI: 10.18267/j.polek.1445.
• Paulo M.M. Rodrigues & Vivien Less & Philipp Sibbertsen, 2025, "Testing for Multiple Structural Breaks in Multivariate Long Memory Regression Models," Working Papers, Banco de Portugal, Economics and Research Department, number w202503.
• Stelios Arvanitis, 2025, "Sparse spanning portfolios and under-diversification with second-order stochastic dominance," Working Paper, Economics Department, Queen's University, number 1532, Feb.
• Stelios Arvanitis, 2025, "Norm Constrained Empirical Portfolio Optimization with Stochastic Dominance: Robust Optimization Non-Asymptotics," Working Paper, Economics Department, Queen's University, number 1533, Feb.
• Dean Fantazzini & Elena Korobova, 2025, "Stablecoins and credit risk: when do they stop being stable?," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 77, pages 46-73.
• Maksim Teterin & Anatoly Peresetsky, 2025, "Can Ethereum predict Bitcoin’s volatility?," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 77, pages 74-90.
• Frank Heinz & Reinhard Madlener, 2025, "Long-Term Simulation of the Day-Ahead Electricity Market Towards a Fully Decarbonized Economy," FCN Working Papers, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN), number No. 4/2025, Apr.
• Spyros Papathanasiou & Dimitrios Vasiliou & Anastasios Magoutas & Drosos Koutsokostas, 2025, "The dynamic connectedness between private equities and other high-demand financial assets: A portfolio hedging strategy during COVID-19," Australian Journal of Management, Australian School of Business, volume 50, issue 1, pages 200-219, February, DOI: 10.1177/03128962231184658.
• Jaemin Son & Doojin Ryu, 2025, "Energy price shocks and stock market volatility in an energy-importing country," Energy & Environment, , volume 36, issue 8, pages 3737-3769, December, DOI: 10.1177/0958305X241228514.
• Carlos Moreno-Pérez & Marco Minozzo, 2025, "Natural language processing and financial markets: semi-supervised modelling of coronavirus and economic news," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), volume 19, issue 3, pages 769-793, September, DOI: 10.1007/s11634-024-00596-4.
• Luisa Bisaglia & Massimiliano Caporin & Matteo Grigoletto, 2025, "Forecasting time series by long-memory models for count data with an application to price jumps," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 109, issue 3, pages 417-441, September, DOI: 10.1007/s10182-025-00538-1.
• Md. Bokhtiar Hasan & Md. Naiem Hossain & Juha Junttila & Gazi Salah Uddin & Mustafa Raza Rabbani, 2025, "Do commodity assets hedge uncertainties? What we learn from the recent turbulence period?," Annals of Operations Research, Springer, volume 345, issue 2, pages 1387-1420, February, DOI: 10.1007/s10479-022-04876-0.
• Konstantinos N. Konstantakis & Panayotis G. Michaelides & Panos Xidonas & Stavroula Yfanti, 2025, "Carbon emissions and sustainability in Covid-19’s waves: evidence from a two-state dynamic Markov-switching regression (MSR) model," Annals of Operations Research, Springer, volume 347, issue 1, pages 217-239, April, DOI: 10.1007/s10479-023-05184-x.
• Bo Yu & Dayong Zhang & Qiang Ji, 2025, "Forecasting portfolio variance: a new decomposition approach," Annals of Operations Research, Springer, volume 348, issue 1, pages 543-578, May, DOI: 10.1007/s10479-023-05546-5.
• Xiafei Li & Chao Liang & Feng Ma, 2025, "Forecasting stock market volatility with a large number of predictors: New evidence from the MS-MIDAS-LASSO model," Annals of Operations Research, Springer, volume 352, issue 3, pages 613-652, September, DOI: 10.1007/s10479-022-04716-1.
• Zaghum Umar & Mariya Gubareva & Tamara Teplova & Wafa Alwahedi, 2025, "Oil price shocks and the term structure of the US yield curve: a time–frequency analysis of spillovers and risk transmission," Annals of Operations Research, Springer, volume 352, issue 3, pages 363-387, September, DOI: 10.1007/s10479-022-04786-1.
• Theodoros Daglis & Konstantinos N. Konstantakis & Panos Xidonas & Panayotis G. Michaelides & Constantin Zopounidis, 2025, "Solar events and the US energy sector: a novel sectoral spillover GVAR approach introducing indirect GIRFs (IGIRF)," Annals of Operations Research, Springer, volume 355, issue 1, pages 693-719, December, DOI: 10.1007/s10479-023-05471-7.
• MeiChi Huang, 2025, "Revisiting housing asset pricing: uncertainty and business-cycle factors in US state-level housing markets," The Annals of Regional Science, Springer;Western Regional Science Association, volume 74, issue 1, pages 1-25, March, DOI: 10.1007/s00168-025-01366-6.
• Riccardo Riccobello & Giovanni Bonaccolto & Philipp J. Kremer & Piotr Sobczyk & Małgorzata Bogdan & Sandra Paterlini, 2025, "Sparse graphical modelling for global minimum variance portfolio," Computational Management Science, Springer, volume 22, issue 2, pages 1-32, December, DOI: 10.1007/s10287-025-00535-4.
• Erindi Allaj & Maria Elvira Mancino & Simona Sanfelici, 2025, "Identifying the number of latent factors of stochastic volatility models," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 48, issue 1, pages 571-602, June, DOI: 10.1007/s10203-024-00479-5.
• Gian Piero Aielli & Davide Pirino, 2025, "Funding liquidity and stocks’ market liquidity: structural estimation from high-frequency data," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 48, issue 2, pages 2061-2097, December, DOI: 10.1007/s10203-025-00521-0.
• Lukas Krain & Xiaorui ZUO & Wolfgang Karl Härdle, 2025, "Cryptos have rough volatility and correlated jumps," Digital Finance, Springer, volume 7, issue 2, pages 275-294, June, DOI: 10.1007/s42521-025-00125-8.
• Danial Saef & Odett Nagy & Sergej Sizov & Wolfgang Karl Härdle, 2025, "Correction: Understanding temporal dynamics of jumps in cryptocurrency markets: evidence from tick-by-tick data," Digital Finance, Springer, volume 7, issue 2, pages 297-297, June, DOI: 10.1007/s42521-025-00131-w.
• Chiara Colamartino & Marco Barone, 2025, "Can cooperative banks maintain local engagement amidst digital transformation? Evidence from Italy," Digital Finance, Springer, volume 7, issue 3, pages 347-371, September, DOI: 10.1007/s42521-025-00140-9.
• Gour Gobinda Goswami & Muhammad Yahya & Mahnaz Aftabi Atique & Gazi Salah Uddin, 2025, "Impact of financial and energy market uncertainties on ASEAN-5 markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 15, issue 4, pages 1261-1283, December, DOI: 10.1007/s40822-025-00327-w.
• Suleiman Dahir Mohamed & Mohd Tahir Ismail & Majid Khan Bin Majahar Ali, 2025, "Improving and evaluating GARCH-type models for Bitcoin volatility prediction," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 15, issue 4, pages 1219-1260, December, DOI: 10.1007/s40822-025-00328-9.
• Botond Benedek & Bálint Zsolt Nagy, 2025, "Asymmetries in factors influencing non-fungible tokens’ (NFTs) returns," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 11, issue 1, pages 1-20, December, DOI: 10.1186/s40854-024-00672-w.
• Fahad Ali & Muhammad Usman Khurram & Ahmet Sensoy, 2025, "Safe havens for Bitcoin and Ethereum: evidence from high-frequency data," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 11, issue 1, pages 1-34, December, DOI: 10.1186/s40854-024-00686-4.
• Pawan Kumar & Vipul Kumar Singh, 2025, "Quadrant categorization of spillover determinants of sovereign risk of BRICIT nations: a Bayesian approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 11, issue 1, pages 1-22, December, DOI: 10.1186/s40854-024-00699-z.
• Cengiz Karatas & Sukriye Tuysuz & Kazim Berk Kucuklerli & Veysel Ulusoy, 2025, "Investigation of the relationship between number of tweets and USDTRY exchange rate with wavelet coherence and transfer entropy analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 11, issue 1, pages 1-20, December, DOI: 10.1186/s40854-024-00710-7.
• Elham Kamal & Elie Bouri, 2025, "Green bond, stock, cryptocurrency, and commodity markets: a multiscale analysis and portfolio implications," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 11, issue 1, pages 1-33, December, DOI: 10.1186/s40854-024-00749-6.
• Jan Sila & Michael Mark & Ladislav Kristoufek & Thomas A. Weber, 2025, "Crypto market betas: the limits of predictability and hedging," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 11, issue 1, pages 1-28, December, DOI: 10.1186/s40854-025-00777-w.
• Chenyu Zhao & Misha Beek & Peter Spreij & Makhtar Ba, 2025, "Polynomial approximation of discounted moments," Finance and Stochastics, Springer, volume 29, issue 1, pages 63-95, January, DOI: 10.1007/s00780-024-00550-4.
• Vladimir Lucic, 2025, "A general moment formula," Finance and Stochastics, Springer, volume 29, issue 4, pages 1233-1252, October, DOI: 10.1007/s00780-025-00572-6.
• Waheed Ullah Shah & Ibtissem Missaoui & Ijaz Younis & Xiyu Liu, 2025, "Climate risk co-movements effect on South Asia’s emerging stock market for financial inclusion," Future Business Journal, Springer, volume 11, issue 1, pages 1-20, December, DOI: 10.1186/s43093-025-00525-7.
• Olufemi Samuel Adegboyo & Kiran Sarwar, 2025, "Modelling and forecasting of Nigeria stock market volatility," Future Business Journal, Springer, volume 11, issue 1, pages 1-13, December, DOI: 10.1186/s43093-025-00536-4.
• Çağlar SÖZEN, 2025, "Volatility dynamics of cryptocurrencies: a comparative analysis using GARCH-family models," Future Business Journal, Springer, volume 11, issue 1, pages 1-12, December, DOI: 10.1186/s43093-025-00568-w.
• Gian Maria Tomat, 2025, "Bayesian Inference in a Structural Model of Family Home Prices," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), volume 11, issue 1, pages 403-429, March, DOI: 10.1007/s40797-023-00259-x.
• Rabeb Mahjoub & Ali Trabelsi Karoui & Aida Kammoun, 2025, "Analyzing yield curve term structure and connectedness in the Eurozone and G7: A TVP-VAR approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 49, issue 3, pages 795-821, September, DOI: 10.1007/s12197-025-09726-w.
• Lumengo Bonga-Bonga, 2025, "Exploring the sensitivity of BRICS stock markets to oil price shocks: a quantile-on-quantile perspective," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 49, issue 4, pages 1058-1077, December, DOI: 10.1007/s12197-025-09733-x.
• Theo Berger, 2025, "On the information content of explainable artificial intelligence for quantitative approaches in finance," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., volume 47, issue 1, pages 177-203, March, DOI: 10.1007/s00291-024-00769-9.
• Giuseppe Pernagallo, 2025, "Random walks, Hurst exponent, and market efficiency," Quality & Quantity: International Journal of Methodology, Springer, volume 59, issue 2, pages 1097-1119, April, DOI: 10.1007/s11135-025-02052-7.
• Paula Ortega Perals & Salvador Cruz Rambaud & Javier Sánchez García, 2025, "How macroeconomic factors and educational level impact on the quality of healthcare status: some dynamic panel data evidence from Europe," Quality & Quantity: International Journal of Methodology, Springer, volume 59, issue 3, pages 2053-2067, June, DOI: 10.1007/s11135-024-02017-2.
• Burak Korkusuz, 2025, "Beyond the S&P 500: examining the role of external volatilities in market forecasting," Review of Economic Design, Springer;Society for Economic Design, volume 29, issue 4, pages 767-794, December, DOI: 10.1007/s10058-024-00373-x.
• Baah Aye Kusi & Joseph Atta Junior Darkwa & Peter Kobati Ayiakwo & Joseph Ato Forson & Michael Awuku & Moses Nanyun Nankpan, 2025, "IMF programme duration and fiscal policy: a path to debt sustainability in Africa," SN Business & Economics, Springer, volume 5, issue 5, pages 1-23, May, DOI: 10.1007/s43546-025-00818-7.
• Khaled Mokni & Ghassen El Montasser & Ahdi Noomen Ajmi & Elie Bouri, 2025, "On the Efficiency and Its Drivers in the Cryptocurrency Market: The Case of Bitcoin and Ethereum," Springer Books, Springer, in: Gang Kou & Yongqiang Li & Zongyi Zhang & J. Leon Zhao & Zhi Zhuo, "Blockchain, Crypto Assets, and Financial Innovation", DOI: 10.1007/978-981-96-6839-7_6.
• Muhammad Ali Nasir & Toan Luu Duc Huynh & Sang Phu Nguyen & Duy Duong, 2025, "Forecasting Returns & Volume of Cryptocurrencies by Using Search Engines," Springer Books, Springer, in: Gang Kou & Yongqiang Li & Zongyi Zhang & J. Leon Zhao & Zhi Zhuo, "Blockchain, Crypto Assets, and Financial Innovation", DOI: 10.1007/978-981-96-6839-7_8.
• H. Peter Boswijk & Jeroen Dalderop & Roger J. A. Laeven & Niels Marijnen, 2025, "Semiparametric Estimation of Probability Weighting Functions Implicit in Option Prices," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-022/III, Mar.
• Yicong Lin & André Lucas, 2025, "Functional Location-Scale Models with Robust Observation-Driven Dynamics," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-027/III, Apr.
• Karim Moussa & Siem Jan Koopman, 2025, "Simulation Smoothing for Nonlinear non-Gaussian State Space Models using Machine Learning Methods," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-034/III, May, revised 10 Mar 2026.
• Yonas Khanna & André Lucas & Norman Seeger, 2025, "Measuring and Explaining the CDS-Bond Basis Term-Structure Shape and Dynamics," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-037/III, May.
• Daan Schoemaker & André Lucas & Anne Opschoor, 2025, "Conditional Fat Tails and Scale Dynamics for Intraday Discrete Price Changes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-039/III, Jun.
• Yicong Lin & André Lucas & Shiqi Ye, 2025, "Matrix-Valued Spatial Autoregressions with Dynamic and Robust Heterogeneous Spillovers," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-042/III, Jul.
• Etienne Wijler & Andre Lucas, 2025, "An Impartial Look at Asset Correlation Stability and Market Structure," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 25-051/III, Sep.
• Abbas, Yasser & Daouia, Abdelaati & Nemouchi, Boutheina & Stupfler, Gilles, 2025, "Tail expectile-VaR estimation in the semiparametric Generalized Pareto model," TSE Working Papers, Toulouse School of Economics (TSE), number 25-1607, Jan.
• Delfina Ricordi & Martín Sola & Fabio Spagnolo & Nicola Spagnolo, 2025, "Do Periods of Extreme Asset Price Volatility Signal the Beginning of a Recession? An International Comparison," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2025_03, Apr.
• Litvinenko Alexey & Samuli Saarinen & Litvinenko Anna, 2025, "The Technological Bridge: R Programming’s Utility in Converting Social Media Data for Quantitative Financial Analysis," Economics and Culture, Sciendo, volume 22, issue 1, pages 70-80, DOI: 10.2478/jec-2025-0006.
• Vy Phan Dien & Tam Phan Thanh, 2025, "Policy Recommendations for Enhancing the Competitiveness and Business Performance of Digital Banks in Vietnam," Economics, Sciendo, volume 13, issue 4, pages 363-379, DOI: 10.2478/eoik-2025-0091.
• Tanıl Eyüp & Kalabak Ali Yasin & Aksoy Mine & Karakaş Mehmet, 2025, "The effect of the Israel-Hamas conflict on carbon markets: Evidence from the European Union Emissions Trading System," Journal of Economics and Management, Sciendo, volume 47, issue 1, pages 662-687, DOI: 10.22367/jem.2025.47.24.
• Jędrzej Maskiewicz & Paweł Sakowski, 2025, "Can Artificial Intelligence Trade the Stock Market?," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2025-14.
• Yufei Sun, 2025, "A survey of statistical arbitrage pairs trading strategies with non-machine learning methods, 2016-2023," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2025-19.
• Yufei Sun, 2025, "Performance of Pairs Trading Strategies Based on Principal Component Analysis Methods," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2025-21.
• Yufei Sun, 2025, "Does Pair Trading Still Work During Extreme Events? A Comprehensive Empirical Evidence from Chinese Stock Market," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2025-23.
• Zofia Bracha & Jakub Michańków & Paweł Sakowski, 2025, "Application of Deep Reinforcement Learning to At-the-Money S&P 500 Options Hedging," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2025-25.
• Simon Tranberg Bodilsen & Asger Lunde, 2025, "Exploiting News Analytics for Volatility Forecasting," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 40, issue 1, pages 18-36, January, DOI: 10.1002/jae.3095.
• Christian Conrad & Robert F. Engle, 2025, "Modelling Volatility Cycles: The MF2‐GARCH Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 40, issue 4, pages 438-454, June, DOI: 10.1002/jae.3118.
• Ebru ÇaÄŸlayan-Akay & Kadriye Hilal Topal & Åžaban Kızılarslan & HoÅŸeng Bülbül, 2025, "A Comparison Study of Single and Hybrid ARIMA, RF, SVR and ANN Models: The Turkish Residential Property Price Index," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 20, issue 03, pages 1-28, September, DOI: 10.1142/S2010495225500034.
• Wing-Keung Wong & Minh Tam Pham, 2025, "Could the Correlation of A Stationary Series With A Non-Stationary Series Obtain Meaningful Outcomes?," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 20, issue 03, pages 1-32, September, DOI: 10.1142/S2010495225500150.
• Hassan Zada & Niroshani Parahara & Madurika Nanayakkara & Syed Muhammad Usman Masood & Wing-Keung Wong, 2025, "Connectedness between Industrial and Rare Earth Metals: Implications for Portfolio Diversification During the COVID-19 Pandemic and the Russia–Ukraine Conflict," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 20, issue 04, pages 1-40, December, DOI: 10.1142/S2010495225500216.
• Dongfeng Chang & Tong Fu & Weiping Zhang, 2025, "Cross-industry contagion of systemic financial risks from the perspective of dynamic tail risk network: Evidence from China," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., volume 12, issue 01, pages 1-33, March, DOI: 10.1142/S2424786324500051.
• Xiaochun Liu, 2025, "Unfolded Skewness and Kurtosis Timings in Out-of-Sample Density Forecasts of Financial Returns," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 15, issue 03, pages 1-34, September, DOI: 10.1142/S2010139225500089.
• Rajibur Reza & Gurudeo Anand Tularam & Bin Li, 2025, "Are Water Indices Cointegrated with the World Water Markets? Evidence Based on an ARDL Bounds Testing Approach," Water Economics and Policy (WEP), World Scientific Publishing Co. Pte. Ltd., volume 11, issue 02, pages 1-44, June, DOI: 10.1142/S2382624X24500152.
• Carlo A Favero & Claudio Tebaldi, 2025, "Lectures on the Theory and Application of Modern Finance with R and ChatGPT," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 14268, ISBN: ARRAY(0x7850ec00), September.
• Wolski, Marcin, 2025, "Access to finance and corporate emissions: A distributional perspective," EIB Working Papers, European Investment Bank (EIB), number 2025/03, DOI: 10.2867/4644705.
• Dror, David Mark, 2025, "A Mathematical Framework for Trust Dynamics in Small-Scale Risk-Sharing Communities," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 316140.
• Wegener, Christoph & Basse, Tobias & Maiani, Stefano & Nguyen, Tam Huu, 2025, "Predictive power of oil prices on CDS spread dynamics of oil-producing countries," Accountancy, Economics, and Finance Working Papers, Heriot-Watt University, Department of Accountancy, Economics, and Finance, number 2025-02.
• Carbone, Sante & Giuzio, Margherita & Kapadia, Sujit & Krämer, Johannes Sebastian & Nyholm, Ken & Vozian, Katia, 2025, "The low-carbon transition, climate commitments and firm credit risk," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 442, DOI: 10.2139/ssrn.5125405.
• Gianluca De Nard & Damjan Kostovic, 2025, "Learning the shrinkage intensity: a data-driven approach for risk-optimized portfolios," ECON - Working Papers, Department of Economics - University of Zurich, number 470, May, revised Nov 2025.

2024

• Aleksandra Jandric & Adam Gersl, 2024, "Exploring Institutional Determinants of Private Equity and Venture Capital Activity in Europe," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2024/30, Sep, revised Sep 2024.
• Lukas Petrasek & Jiri Kukacka, 2024, "US Equity Announcement Risk Premia," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2024/38, Oct, revised Oct 2024.
• Tomohiro Ando & Jushan Bai & Lina Lu & Cindy M. Vojtech, 2024, "Scenario-based Quantile Connectedness of the U.S. Interbank Liquidity Risk Network," Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston, number SRA 24-02, Apr.
• Siddhartha Chib & Simon C. Smith, 2024, "Factor Selection and Structural Breaks," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2024-037, May, DOI: 10.17016/FEDS.2024.037.
• Celso Brunetti & Matthew Carl & Jacob Gerszten & Chiara Scotti & Chaehee Shin, 2024, "Interconnectedness in the Corporate Bond Market," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2024-066, Aug, DOI: 10.17016/FEDS.2024.066.
• Matteo Barigozzi & Matteo Luciani, 2024, "Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2024-086, Oct, DOI: 10.17016/FEDS.2024.086.
• Nabil Bouamara & Kris Boudt & Sébastien Laurent & Christopher J. Neely, 2024, "Sluggish news reactions: A combinatorial approach for synchronizing stock jumps," Working Papers, Federal Reserve Bank of St. Louis, number 2024-006, Mar, revised 06 Jul 2026, DOI: 10.20955/wp.2024.006.
• Masatoshi Miyake, 2024, "Estimating Asset Parameters Using Levy’s Moment Matching Method," JRFM, MDPI, volume 17, issue 4, pages 1-17, April.
• Dean Fantazzini, 2024, "Adaptive Conformal Inference for Computing Market Risk Measures: An Analysis with Four Thousand Crypto-Assets," JRFM, MDPI, volume 17, issue 6, pages 1-44, June.
• Weni Susanti, 2024, "Insights into Herding Behavior in Indonesian Islamic Banks ," GATR Journals, Global Academy of Training and Research (GATR) Enterprise, number jfbr222, Jun, DOI: https://doi.org/10.35609/jfbr.2024..
• Virginie Terraza & Aslı Boru İpek & Mohammad Mahdi Rounaghi, 2024, "The nexus between the volatility of Bitcoin, gold, and American stock markets during the COVID-19 pandemic: evidence from VAR-DCC-EGARCH and ANN models," Post-Print, HAL, number hal-04395168, Jan, DOI: 10.1186/s40854-023-00520-3.
• Abdelaati Daouia & Simone A. Padoan & Gilles Stupfler, 2024, "Extreme expectile estimation for short-tailed data," Post-Print, HAL, number hal-04672516, DOI: 10.1016/j.jeconom.2024.105770.
• F. Blasques & Christian Francq & Sébastien Laurent, 2024, "Autoregressive conditional betas," Post-Print, HAL, number hal-04676069, DOI: 10.1016/j.jeconom.2023.105630.
• Chetouane Hania & Boniface Ngah & Sonia Chetouane, 2024, "EXPLORING THE LINK BETWEEN FINANCIAL INCLUSION AND FOOD SECURITY IN ALGERIA A VECM Approach1," Post-Print, HAL, number hal-04678454, Jun.
• Rafael Branco & Alexandre Rubesam & Mauricio Zevallos, 2024, "Forecasting realized volatility: Does anything beat linear models?," Post-Print, HAL, number hal-04835657, Sep, DOI: 10.1016/j.jempfin.2024.101524.
• F. Blasques & Christian Francq & Sébastien Laurent, 2024, "Autoregressive conditional betas," Post-Print, HAL, number hal-05417169, Jan, DOI: 10.1016/j.jeconom.2023.105630.
• Yakup Arı & Hakan Kurt & Harun Uçak, 2024, "Volatility connectedness across global e-commerce stocks," Ekonomski pregled, Hrvatsko društvo ekonomista (Croatian Society of Economists), volume 75, issue 4, pages 295-310, DOI: 10.32910/ep.75.4.1.
• William M. Doerner & Michael J. Seiler & Vivian Wong, 2024, "Banking on Buffers: Balance Sheet Responses to Household Demand, Macroeconomic Conditions, and Monetary Policy," FHFA Staff Working Papers, Federal Housing Finance Agency, number 24-08, Nov.
• Gulliksson, Mårten & Mazur, Stepan & Oleynik, Anna, 2024, "Minimum VaR and minimum CVaR optimal portfolios: The case of singular covariance matrix," Working Papers, Örebro University, School of Business, number 2024:9, Oct.
• Rasim Özcan & Asad ul Islam KHAN & Sundas Iftikhar, 2024, "Whether The Cr Whether The Crypto Market Is Efficient? E et Is Efficient? Evidence F vidence From Testing The Validity Of The Efficient Market Hypothesis," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 27, issue 1, pages 113-132, March, DOI: https://doi.org/10.59091/2460-9196..
• Fotios Kalantzis & Salma Khalid & Alexandra Solovyeva & Marcin Wolski, 2024, "Firms’ Response to Climate Regulations-Empirical Investigations Based on the European Emissions Trading System," IMF Working Papers, International Monetary Fund, number 2024/135, Jun.
• Fernando José Mariné Osorio & José Carlos González Núñez, 2024, "Miedo e incertidumbre en las principales acciones del S&P500," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 19, issue 4, pages 1-23, Octubre -.
• Stelian STANCU & Ion-Florin RADUCU & Andreea PERNICI, 2024, "Estimation of default rates using the regression model and forward-looking modeling," Romanian Journal of Economics, Institute of National Economy, volume 58, issue 1(67), pages 109-116, June.
• Jaeho Kim & Scott C. Linn & Sora Chon, 2024, "Price Discovery via Long-run Forecast," Inha University IBER Working Paper Series, Inha University, Institute of Business and Economic Research, number 2024-2, Aug.
• Stelios Arvanitis & Olivier Scaillet & Nikolas Topaloglou, 2024, "Spanning Analysis of Stock Market Anomalies Under Prospect Stochastic Dominance," Management Science, INFORMS, volume 70, issue 9, pages 6002-6025, September, DOI: 10.1287/mnsc.2023.4953.
• Sukanta Chakraborty, 2024, "An ARDL Approach to Investigate the Effectiveness of Fiscal and Monetary Policies in Making Bangladesh, A Role Model of Development," Journal of Developing Areas, Tennessee State University, College of Business, volume 58, issue 4, pages 29-41, October–D.
• Albert Wijeweera & Ravindra Stephen Goonetilleke & Namwoon Kim, 2024, "The Dissimilar Market Volatility in Neighboring Financial Markets: An Empirical Study Using A Multivariate GARCH Model," Journal of Developing Areas, Tennessee State University, College of Business, volume 58, issue 4, pages 61-76, October–D.
• Zongwu Cai & Ying Fang & Dingshi Tian, 2024, "CAViaR Model Selection Via Adaptive Lasso," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202403, Jan, revised Jan 2024.
• Zongwu Cai & Pixiong Chen, 2024, "Online Investor Sentiment via Machine Learning," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202411, Sep, revised Sep 2024.
• Karim Belcaid & Sara El Aoufi & Mamdouh Abdulaziz Saleh Al-Faryan, 2024, "Dynamics of Contagion Risk Among World Markets in Times of Crises: A Financial Network Perspective," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 31, issue 4, pages 1007-1033, December, DOI: 10.1007/s10690-023-09439-2.
• Rama K. Malladi, 2024, "Application of Supervised Machine Learning Techniques to Forecast the COVID-19 U.S. Recession and Stock Market Crash," Computational Economics, Springer;Society for Computational Economics, volume 63, issue 3, pages 1021-1045, March, DOI: 10.1007/s10614-022-10333-8.
• Noorshanaaz Khodabaccus & Aslam A. E. F. Saib, 2024, "volatilityforecastingpackage: A Financial Volatility Package in Mathematica," Computational Economics, Springer;Society for Computational Economics, volume 63, issue 6, pages 2307-2324, June, DOI: 10.1007/s10614-023-10406-2.
• Mehmet Sahiner, 2024, "Volatility Spillovers and Contagion During Major Crises: An Early Warning Approach Based on a Deep Learning Model," Computational Economics, Springer;Society for Computational Economics, volume 63, issue 6, pages 2435-2499, June, DOI: 10.1007/s10614-023-10412-4.
• Rama K. Malladi, 2024, "Benchmark Analysis of Machine Learning Methods to Forecast the U.S. Annual Inflation Rate During a High-Decile Inflation Period," Computational Economics, Springer;Society for Computational Economics, volume 64, issue 1, pages 335-375, July, DOI: 10.1007/s10614-023-10436-w.
• Ján Klacso, 2024, "How Micro Data Improve the Estimation of Household Credit Risk Within the Macro Stress Testing Framework," Computational Economics, Springer;Society for Computational Economics, volume 64, issue 2, pages 707-733, August, DOI: 10.1007/s10614-023-10453-9.
• Carlos A. Abanto-Valle & Gabriel Rodríguez & Luis M. Castro Cepero & Hernán B. Garrafa-Aragón, 2024, "Approximate Bayesian Estimation of Stochastic Volatility in Mean Models Using Hidden Markov Models: Empirical Evidence from Emerging and Developed Markets," Computational Economics, Springer;Society for Computational Economics, volume 64, issue 3, pages 1775-1801, September, DOI: 10.1007/s10614-023-10490-4.
• MBelen Salas & Prosper Lamothe & Enrique Delgado & Angel L. Fernández-Miguélez & Lucia Valcarce, 2024, "Determinants of Nonperforming Loans: A Global Data Analysis," Computational Economics, Springer;Society for Computational Economics, volume 64, issue 5, pages 2695-2716, November, DOI: 10.1007/s10614-023-10543-8.
• Guglielmo Maria Caporale & José Javier de Dios Mazariegos & Luis A. Gil-Alana, 2024, "Long-Run Linkages Between us Stock Prices and Cryptocurrencies: A Fractional Cointegration Analysis," Computational Economics, Springer;Society for Computational Economics, volume 64, issue 6, pages 3543-3553, December, DOI: 10.1007/s10614-023-10510-3.
• Walid Mensi & Xuan Vinh Vo & Sang Hoon Kang, 2024, "Upward and Downward Multifractality and Efficiency of Chinese and Hong Kong Stock Markets," Computational Economics, Springer;Society for Computational Economics, volume 64, issue 6, pages 3207-3242, December, DOI: 10.1007/s10614-023-10526-9.
• Foued Hamouda & Imran Yousaf & Muhammad Abubakr Naeem, 2024, "Exploring the Dynamics of Equity and Cryptocurrency Markets: Fresh Evidence from the Russia–Ukraine War," Computational Economics, Springer;Society for Computational Economics, volume 64, issue 6, pages 3555-3576, December, DOI: 10.1007/s10614-024-10573-w.
• Yushi Xu & Baifan Chen & Jionghao Huang & Qingsha Hu & Shuning Kong, 2024, "Time–frequency connectedness between heterogeneous oil price shocks and inflation: a comparative analysis of developed and emerging economies," Economic Change and Restructuring, Springer, volume 57, issue 6, pages 1-42, December, DOI: 10.1007/s10644-024-09836-1.
• Goodness C. Aye & Christina Christou & Rangan Gupta & Christis Hassapis, 2024, "High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests," The Journal of Real Estate Finance and Economics, Springer, volume 69, issue 2, pages 253-276, August, DOI: 10.1007/s11146-022-09919-8.
• Theodoros Daglis & Konstantinos N. Konstantakis & Panos Xidonas & Panayotis G. Michaelides & Areistidis Samitas, 2024, "Solar Weather Dynamics and the US Economy: A Comprehensive GVAR Perspective," Review of Quantitative Finance and Accounting, Springer, volume 63, issue 3, pages 955-977, October, DOI: 10.1007/s11156-024-01282-4.
• Yi-Chiuan Wang & Yi-hao Lai & Jyh-Lin Wu, 2024, "Asymmetries in risk spillovers between currency and stock markets: Evidence from the CoVaR-copula approach," Review of Quantitative Finance and Accounting, Springer, volume 63, issue 3, pages 1083-1119, October, DOI: 10.1007/s11156-024-01285-1.
• Yu-Ann Wang & Chia-Lin Chang, 2024, "Portfolio selection from risk transfer mechanisms in a time of crisis for renewable energy markets," KIER Working Papers, Kyoto University, Institute of Economic Research, number 1108, Sep.
• Nikunj Patel & Aakruti Patel & Bhavesh Patel, 2024, "The Role of Institutional Investors in The Indian Stock Markets During the Pandemic," Capital Markets Review, Malaysian Finance Association, volume 32, issue 1, pages 75-99.
• Galati, Luca & De Blasis, Riccardo, 2024, "The Information Content of Delayed Block Trades in Decentralised Markets," Economics & Statistics Discussion Papers, University of Molise, Department of Economics, number esdp24094, Mar.
• Paweł Radwański, 2024, "Impact of tax changes on the risk premium of the WIG index," Bank i Kredyt, Narodowy Bank Polski, volume 55, issue 3, pages 333-356.
• Tomasz Kopczewski & Łukasz Bil, 2024, "Exploring stock markets dynamics: a two-dimensional entropy approach in return/volume space," Bank i Kredyt, Narodowy Bank Polski, volume 55, issue 6, pages 731-758.
• Rui Da & Stefan Nagel & Dacheng Xiu, 2024, "The Statistical Limit of Arbitrage," NBER Working Papers, National Bureau of Economic Research, Inc, number 33070, Oct.
• Teterin, M. & Peresetsky, A., 2024, "Google Trends and Bitcoin volatility forecast," Journal of the New Economic Association, New Economic Association, volume 65, issue 4, pages 118-135, DOI: 10.31737/22212264_2024_4_118-135.
• Roberto Leon-Gonzalez & Blessings Majon, 2024, "Exact Likelihood for Inverse Gamma Stochastic Volatility Models," GRIPS Discussion Papers, National Graduate Institute for Policy Studies, number 24-03, Apr.
• Muneeb-ud-din Ahmad & Tanweer Ul Islam, 2024, "A Causal Analysis of Financial Development and Economic Growth," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 259-272, June.
• Ștefan RUSU & Marcel BOLOȘ, 2024, "Bridging Tradition And Innovation: A Literature Review On Portfolio Optimization," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 33, issue 1, pages 337-344, July.
• Ke-Li Xu & Junjie Guo, 2024, "A New Test for Multiple Predictive Regression," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 1, pages 119-156.
• Simon Kwok, 2024, "A Consistent and Robust Test for Autocorrelated Jump Occurrences," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 1, pages 157-186.
• Peter Reinhard Hansen & Chan Kim & Wade Kim, 2024, "Periodicity in Cryptocurrency Volatility and Liquidity," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 1, pages 224-251.
• Giacomo Toscano & Giulia Livieri & Maria Elvira & Stefano Marmi, 2024, "Volatility of Volatility Estimation: Central Limit Theorems for the Fourier Transform Estimator and Empirical Study of the Daily Time Series Stylized Facts," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 1, pages 252-296.
• Andréas Heinen & Mi Lim Kim & Malika Hamadi, 2024, "Geographic Dependence and Diversification in House Price Returns: The Role of Leverage," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 1, pages 297-334.
• Fangquan Shi & Lianjie Shu & Xinhua Gu, 2024, "An Enhanced Factor Model for Portfolio Selection in High Dimensions," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 1, pages 94-118.
• Luca Vincenzo Ballestra & Enzo D’Innocenzo & Andrea Guizzardi, 2024, "Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 2, pages 375-406.
• Giuseppe Buccheri & Stefano Grassi & Giorgio Vocalelli, 2024, "Estimating Risk in Illiquid Markets: A Model of Market Friction with Stochastic Volatility," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 2, pages 531-574.
• Francesco Audrino & Jonathan Chassot & Chen Huang & Michael Knaus & Michael Lechner & Juan-Pablo Ortega, 2024, "How Does Post-Earnings Announcement Sentiment Affect Firms’ Dynamics? New Evidence from Causal Machine Learning," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 3, pages 575-604.
• Ilias Chronopoulos & Aristeidis Raftapostolos & George Kapetanios, 2024, "Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 3, pages 636-669.
• Tae-Hwy Lee & Ekaterina Seregina, 2024, "Optimal Portfolio Using Factor Graphical Lasso," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 3, pages 670-695.
• Jian Chen & Michael P Clements & Andrew Urquhart, 2024, "Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 3, pages 743-772.
• Leon Li & Carl R Chen, 2024, "When Safe-Haven Asset Is Less than a Safe-Haven Play," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 4, pages 808-838.
• Minseog Oh & Donggyu Kim, 2024, "Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 4, pages 954-1005.
• Donggyu Kim & Minseog Oh & Xinyu Song & Yazhen Wang, 2024, "Factor Overnight GARCH-Itô Models," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 5, pages 1209-1235.
• Denis Pelletier & Wei Wei, 2024, "A Stochastic Price Duration Model for Estimating High-Frequency Volatility," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 5, pages 1372-1396.
• Shaoxin Hong & Daniel J Henderson & Jiancheng Jiang & XQingshan Ni, 2024, "Unifying Estimation and Inference for Linear Regression with Stationary and Integrated or Near-Integrated Variables," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 5, pages 1397-1420.
• Antoine Djogbenou & Christian Gouriéroux & Joann Jasiak & Maygol Bandehali, 2024, "Composite Likelihood for Stochastic Migration Model with Unobserved Factor," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 5, pages 1421-1455.
• Anne-Florence Allard & Hamza Hanbali & Kristien Smedts, 2024, "COAALA: A Novel Approach to Understanding Extreme Stock–Bond Comovement," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 5, pages 1532-1557.