Research classified by Journal of Economic Literature (JEL) codes

2025

• 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, Paradigm, 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(0x783bc3d8).
• 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.
• Fatma BENLÄ°, 2024, "Assessing Asymmetry in Okun's Law: A Nonlinear Approach in the Turkish Economy," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 2, DOI: 10.25295/fsecon.1402966.
• Mehmet UZUN, 2024, "The Examination of the Relationship Between Bitcoin (BTC) Trading Volume in Türkiye and Google Trends Data on Bitcoin Searches in Google Search Engine," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 2, DOI: 10.25295/fsecon.1420143.
• Turgay MÃœNYAS & Havva KOÇ, 2024, "Fluctuations of BIST Sectoral Index Movements During High Inflation Periods: A Markov Regime Switching Analysis," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 3, DOI: 10.25295/fsecon.1454059.
• Orhan Emre ELMA, 2024, "Assessing Food and Beverage Companies During a Time of Crisis: A Comparative MCDA Approach," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 3, DOI: 10.25295/fsecon.1394998.
• 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.
• 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.
• Bertrand Candelon & Rubens Moura, 2024, "A Multicountry Model of the Term Structures of Interest Rates with a GVAR," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 5, pages 1558-1587.
• Jian Chen, 2024, "Jump Clustering, Information Flows, and Stock Price Efficiency†," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 5, pages 1588-1615.
• Ajim Uddin & Xinyuan Tao & Dantong Yu, 2024, "The Network Factor of Equity Pricing: A Signed Graph Laplacian Approach," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 5, pages 1616-1655.
• A Ronald Gallant & Halbert L White, 2024, "Finite Lag Estimation of Non-Markovian Processes," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 5, pages 1656-1671.
• Chris Kirby, 2024, "Volatility Shocks, Leverage Effects, and Time-Varying Conditional Skewness," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 5, pages 1714-1758.
• Massimiliano Caporin & Tommaso Di Fonzo & Daniele Girolimetto, 2024, "Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach," Journal of Financial Econometrics, Oxford University Press, volume 22, issue 5, pages 1759-1784.
• Yufeng Han & Ai He & David E Rapach & Guofu Zhou, 2024, "Cross-sectional expected returns: new Fama–MacBeth regressions in the era of machine learning," Review of Finance, European Finance Association, volume 28, issue 6, pages 1807-1831.
• Viorica Chirila & Ciprian Chirila, 2024, "Interdependencies between Exchange Rate Volatility and Stock Market Sectors: A Case Study of Poland," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 489-498, December.
• Edib Smolo & Ruslan Nagayev & Rashed Jahangir & Christo S. C. Tarazi, 2024, "Resilience amidst turmoil: a multi-resolution analysis of portfolio diversification in emerging markets during global financial and health crises," Journal of Asset Management, Palgrave Macmillan, volume 25, issue 1, pages 51-69, February, DOI: 10.1057/s41260-023-00332-1.
• Andrew Grant & Oh Kang Kwon & Steve Satchell, 2024, "Properties of risk aversion estimated from portfolio weights," Journal of Asset Management, Palgrave Macmillan, volume 25, issue 5, pages 427-444, September, DOI: 10.1057/s41260-024-00375-y.
• Xu Cheng & Eric Renault & Paul Sangrey, 2024, "Identifying the Volatility Risk Price Through the Leverage Effect," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 24-013, Apr.
• Martien Lamers & Thomas Present & Nicolas Soenen & Rudi Vander Vennet, 2024, "Does BRRD mitigate the bank-to-sovereign risk channel?," PLOS ONE, Public Library of Science, volume 19, issue 4, pages 1-22, April, DOI: 10.1371/journal.pone.0292040.
• Da Huo, Da, 2024, "Efficient Estimation of Stochastic Parameters: A GLS Approach," MPRA Paper, University Library of Munich, Germany, number 119731, Jan.
• Bonga-Bonga, Lumengo & Montshioa, Keitumetse, 2024, "Navigating extreme market fluctuations: asset allocation strategies in developed vs. emerging economies," MPRA Paper, University Library of Munich, Germany, number 119910, Jan.
• Bonga-Bonga, Lumengo, 2024, "Exploring the sensitivity of BRICS stock markets to oil Price shocks: a quantile-on-quantile perspective," MPRA Paper, University Library of Munich, Germany, number 120190, Feb.
• Aknouche, Abdelhakim & Almohaimeed, Bader & Dimitrakopoulos, Stefanos, 2024, "Noising the GARCH volatility: A random coefficient GARCH model," MPRA Paper, University Library of Munich, Germany, number 120456, Mar, revised 15 Mar 2024.
• rao, amar & Dagar, Vishal & dagher, leila & Shobande, Olatunji, 2024, "Uncertainty and Risk in Cryptocurrency Markets: Evidence of Time-frequency Connectedness," MPRA Paper, University Library of Munich, Germany, number 120582.
• Daboh, Foday & Jackson, Emerson Abraham, 2024, "Policy Brief: The Effects of Interest Rate Volatility and Money Demand in Sierra Leone using ARDL Estimation," MPRA Paper, University Library of Munich, Germany, number 121114, Jan, revised 06 Jan 2024.
• Francq, Christian & Zakoian, Jean-Michel, 2024, "Finite moments testing in a general class of nonlinear time series models," MPRA Paper, University Library of Munich, Germany, number 121193, Jun.
• Fantazzini, Dean, 2024, "Adaptive Conformal Inference for computing Market Risk Measures: an Analysis with Four Thousands Crypto-Assets," MPRA Paper, University Library of Munich, Germany, number 121214.
• Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos, 2024, "Volatility models versus intensity models: analogy and differences," MPRA Paper, University Library of Munich, Germany, number 122528, Oct.
• ALAMI CHENTOUFI, Reda, 2024, "Penalized Convex Estimation in Dynamic Location-Scale models," MPRA Paper, University Library of Munich, Germany, number 123283, Dec.
• Roudari, Soheil & Omidi, Vahid & Ahmadian-Yazdi, Fazaneh, 2024, "The Dynamics of Fossil Fuels, Cryptocurrencies, and Clean Energy: Dose the Energy market's price volatility create an incentive for cryptocurrency mining?," MPRA Paper, University Library of Munich, Germany, number 126833, Mar.
• Roudari, Soheil & Ahmadian- Yazdi, Farzaneh & Homayounifar, Masoud & Mensi, Walid & Al-Yahyaee, Khamis Hamed, 2024, "Time-Frequency Connectedness and Extreme Dependencies in Stock Sector Markets of the Chinese and U.S. Economies," MPRA Paper, University Library of Munich, Germany, number 126963, Oct.
• Farahanifard, Saeed & Rahimi Kahkashi, Sanaz & Roudari, Soheil, 2024, "طراحی سبد بهینه پویای سرمایه گذاری با حداقل ریسک: شواهدی جدید از الگوی خودرگرسیون برداری متغیر در زمان
  [Dynamic Optimal Portfolio Design with Minimum Risk: New Evidence from the Time Varying Parameter Vector Autoregression Model]," MPRA Paper, University Library of Munich, Germany, number 127332, Oct, revised 16 Feb 2025.
• Richard Synek, 2024, "Cointegration Analysis of US M2 and Gold Price Over the Last Half Century," European Financial and Accounting Journal, Prague University of Economics and Business, volume 2024, issue 1, pages 1-19, DOI: 10.18267/j.efaj.283.
• Arife Özdemir Höl, 2024, "Long Memory in Clean Energy Exchange Traded Funds," Politická ekonomie, Prague University of Economics and Business, volume 2024, issue 3, pages 478-500, DOI: 10.18267/j.polek.1415.
• Ngo Thai Hung, 2024, "Price Spillovers from Decentralized Finance to CEE Stock Markets," Politická ekonomie, Prague University of Economics and Business, volume 2024, issue 3, pages 565-596, DOI: 10.18267/j.polek.1416.
• António Rua & Junho Lee & Miguel de Carvalho & Julio Avila, 2024, "Bayesian smoothing for time-varying extremal dependence," Working Papers, Banco de Portugal, Economics and Research Department, number w202406.
• Pongsak Luangaram & Yuthana Sethapramote & Kannika Thampanishvong & Gazi Salah Uddin, 2024, "Climate Risk and Financial Stability: A Systemic Risk Perspective from Thailand," PIER Discussion Papers, Puey Ungphakorn Institute for Economic Research, number 224, Nov.
• Hongjun Zeng & Abdullahi D. Ahmed, 2024, "Risk Transmission and Hedging Strategies Between Chinese Stock Market and Major Trading Partners Along the Belt and Road in COVID-19 Scenario," American Business Review, Pompea College of Business, University of New Haven, volume 27, issue 2, pages 372-400.
• Saswat Patra & Malay Bhattacharyya, 2024, "Charting the Unknown: First Passage Time Probabilities for Pearson Diffusion Process and Application to Options Risk Management," American Business Review, Pompea College of Business, University of New Haven, volume 27, issue 2, pages 623-639.
• Polina Pogorelova, 2024, "Investigation of the impact of uncertainty indices on Bitcoin volatility using the ARDL model," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 74, pages 35-50.
• Arif Çilek, 2024, "The Relationship Between Financial Development and Tax Revenues in Türkiye: Hatemi-J Asymmetric Causality Analysis," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 15, issue 4, pages 355-370.
• Sufyana Mahmudah & Sri Delasmi Jayanti, 2024, "Pengaruh Return on Equity dan Debt to Total Asset Ratio Terhadap Nilai Perusahaan Pada PT Steel Pipe Industry of Indonesia Tbk Periode 2017-2023," Jurnal Bisnis Mahasiswa, Aksara Indo Rajawali, volume 4, issue 3, pages 214-225.
• Iman Dadfar & Roya Seyfipour & Azadeh Mehrabiyan & Narciss Aminrashti, 2024, "Introduction Determining the optimal portfolio of bank facilities with the Markowitz approach and meta-heuristic algorithms (Case study of Sina Bank)," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, volume 11, issue 2, pages 167-198.
• Ionel LEONIDA & Cosmin – Octavian CEPOI & Bogdan – Andrei DUMITRESCU & Carmen OBREJA & Andrei STĂNCULESCU, 2024, "Assessing the fiscal implications of the development of the banking sector. Evidence from OECD countries," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 22-31, July.
• Iulia LUPU & Adina CRISTE & Anca Dana DRAGU & Teodora Daniela ALBU, 2024, "Volatility Transitions in European Stock Markets: A Clustering-Based Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 65-80, October.
• Tommaso Proietti, 2024, "Ups and (Draw)Downs," CEIS Research Paper, Tor Vergata University, CEIS, number 576, May, revised 03 May 2024.
• Ranieri Dugo & Giacomo Giorgio & Paolo Pigato, 2024, "Multivariate Rough Volatility," CEIS Research Paper, Tor Vergata University, CEIS, number 589, Dec, revised 20 Dec 2024.
• Chevaughn van der Westhuizen & Renee van Eyden & Goodness C. Aye, 2024, "Contagion across Financial Markets during COVID-19: A Look at Volatility Spillovers between the Stock and Foreign Exchange Markets in South Africa," ERSA Working Paper Series, Economic Research Southern Africa, number 42, Aug.
• Saikat Mondal & Rudra P. Pradhan & Vinodh Madhavan & Debaleena Chatterjee & Ann Mary Varghese, 2024, "Carbon Emissions Pricing: Linkages Between EU ETS Spot and Future Prices and Completeness of EU ETS Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 23, issue 4, pages 450-470, December, DOI: 10.1177/09726527241248003.
• Lokman Gunduz & Ahmet Faruk Aysan & Rifgi Bugra Bagci & Hatice Karahan, 2024, "Explosive Behavior in COVID-19 and Policy Responses: Lessons Learned for Public Health Management," SAGE Open, , volume 14, issue 1, pages 21582440231, March, DOI: 10.1177/21582440231224772.
• Utsav . & Suresh Kumar Patra & Pramod Kumar Naik, 2024, "Assessing Macroeconomic Influences on Indian Sovereign Bond Yields: An Insight from the ARDL Bound Test Approach," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 4, pages 93-114.
• Jenipher Mutale & Ehounou Serge Eloge Florentin Angaman & Jules Clement Mba, 2024, "Lead-lag and Volatility Point Change Estimations for Cryptocurrencies," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, volume 1, issue 21, pages 54-76, DOI: 10.7172/2353-6845.jbfe.2024.1.5.
• Bowen Shi & Yunhui Zhao, 2024, "Government Subsidy in the U.S. Mortgage Market: A Structural Analysis with Bunching," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, volume 2, issue 22, pages 82-106, DOI: 10.7172/2353-6845.jbfe.2024.2.6.
• Nikola Gradojevic & Dragan Kukolj, 2024, "Unlocking the black box: Non-parametric option pricing before and during COVID-19," Annals of Operations Research, Springer, volume 334, issue 1, pages 59-82, March, DOI: 10.1007/s10479-022-04578-7.
• Matteo Foglia & Eliana Angelini & Toan Luu Duc Huynh, 2024, "Tail risk connectedness in clean energy and oil financial market," Annals of Operations Research, Springer, volume 334, issue 1, pages 575-599, March, DOI: 10.1007/s10479-022-04745-w.
• Gianna Figà-Talamanca & Marco Patacca, 2024, "An explorative analysis of sentiment impact on S&P 500 components returns, volatility and downside risk," Annals of Operations Research, Springer, volume 342, issue 3, pages 2095-2117, November, DOI: 10.1007/s10479-022-05129-w.
• Ewelina Osowska & Piotr Wójcik, 2024, "Predicting the reaction of financial markets to Federal Open Market Committee post-meeting statements," Digital Finance, Springer, volume 6, issue 1, pages 145-175, March, DOI: 10.1007/s42521-023-00096-8.
• Ewelina Osowska & Piotr Wójcik, 2024, "Correction: Predicting the reaction of financial markets to Federal Open Market Committee post-meeting statements," Digital Finance, Springer, volume 6, issue 1, pages 177-177, March, DOI: 10.1007/s42521-023-00100-1.
• Dirk G. Baur & Lai T. Hoang, 2024, "Cryptocurrency spillovers and correlations: inefficiency and co-movement," Digital Finance, Springer, volume 6, issue 2, pages 203-224, June, DOI: 10.1007/s42521-023-00099-5.
• Axel Groß-Klußmann, 2024, "Learning deep news sentiment representations for macro-finance," Digital Finance, Springer, volume 6, issue 3, pages 341-377, September, DOI: 10.1007/s42521-024-00107-2.
• Danial Saef & Odett Nagy & Sergej Sizov & Wolfgang Karl Härdle, 2024, "Understanding temporal dynamics of jumps in cryptocurrency markets: evidence from tick-by-tick data," Digital Finance, Springer, volume 6, issue 4, pages 605-638, December, DOI: 10.1007/s42521-024-00116-1.
• Tchai Tavor, 2024, "Assessing the financial impacts of significant wildfires on US capital markets: sectoral analysis," Empirical Economics, Springer, volume 67, issue 3, pages 1115-1148, September, DOI: 10.1007/s00181-024-02574-3.
• Fameliti Stavroula & Skintzi Vasiliki, 2024, "Macroeconomic attention and commodity market volatility," Empirical Economics, Springer, volume 67, issue 5, pages 1967-2007, November, DOI: 10.1007/s00181-024-02613-z.
• Noureddine Benlagha & Wafa Abdelmalek, 2024, "Dynamic connectedness between energy and agricultural commodities: insights from the COVID-19 pandemic and Russia–Ukraine conflict," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 14, issue 3, pages 781-825, September, DOI: 10.1007/s40822-024-00279-7.
• Tchai Tavor, 2024, "Analyzing the influence of Airbnb announcements in the Asia Pacific Region: a sectoral perspective on travel, tourism, and real estate," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 14, issue 4, pages 873-905, December, DOI: 10.1007/s40822-024-00289-5.
• 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," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 10, issue 1, pages 1-34, December, DOI: 10.1186/s40854-023-00520-3.
• Khaled Mokni & Ghassen El Montasser & Ahdi Noomen Ajmi & Elie Bouri, 2024, "On the efficiency and its drivers in the cryptocurrency market: the case of Bitcoin and Ethereum," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 10, issue 1, pages 1-25, December, DOI: 10.1186/s40854-023-00566-3.
• Ewa Feder-Sempach & Piotr Szczepocki & Joanna Bogołębska, 2024, "Global uncertainty and potential shelters: gold, bitcoin, and currencies as weak and strong safe havens for main world stock markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 10, issue 1, pages 1-23, December, DOI: 10.1186/s40854-023-00589-w.
• Juan Laborda & Ricardo Laborda & Javier Cruz, 2024, "Can ETFs affect U.S. financial stability? A quantile cointegration analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 10, issue 1, pages 1-24, December, DOI: 10.1186/s40854-023-00591-2.
• Carlos Esparcia & Tarek Fakhfakh & Francisco Jareño & Achraf Ghorbel, 2024, "Dynamic DeFi-G7 stock markets interactions and their potential role in diversifying and hedging strategies," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 10, issue 1, pages 1-26, December, DOI: 10.1186/s40854-024-00618-2.
• Amro Saleem Alamaren & Korhan K. Gokmenoglu & Nigar Taspinar, 2024, "Volatility spillovers among leading cryptocurrencies and US energy and technology companies," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 10, issue 1, pages 1-37, December, DOI: 10.1186/s40854-024-00626-2.
• Pengcheng Zhang & Kunpeng Xu & Jian Huang & Jiayin Qi, 2024, "Investor sentiment and the holiday effect in the cryptocurrency market: evidence from China," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 10, issue 1, pages 1-36, December, DOI: 10.1186/s40854-024-00639-x.
• Md. Bokhtiar Hasan & Gazi Salah Uddin & Md. Sumon Ali & Md. Mamunur Rashid & Donghyun Park & Sang Hoon Kang, 2024, "Examining time–frequency quantile dependence between green bond and green equity markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 10, issue 1, pages 1-28, December, DOI: 10.1186/s40854-024-00641-3.
• Malvina Marchese & María Dolores Martínez-Miranda & Jens Perch Nielsen & Michael Scholz, 2024, "Robustifying and simplifying high-dimensional regression with applications to yearly stock return and telematics data," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 10, issue 1, pages 1-16, December, DOI: 10.1186/s40854-024-00657-9.
• Mathias Schneid Tessmann & Carlos Enrique Carrasco-Gutierrez & Marcelo Oliveira Passos & Luiz Augusto Magalhães & Régis Augusto Ely, 2024, "Volatility transmissions and connectivity among metal and energy commodities: a network-econometric analysis," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 48, issue 1, pages 51-77, March, DOI: 10.1007/s12197-023-09644-9.
• Aissa Djedaiet & Hassan Guenichi & Hicham Ayad, 2024, "Do asymmetric oil shocks impact gold and Bitcoin returns symmetrically? A comparison between the COVID-19 pandemic and the Russo-Ukrainian war," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 48, issue 4, pages 1187-1213, December, DOI: 10.1007/s12197-024-09692-9.
• Mayank Gupta & Amit Pawar & Subrat Kumar Seet & S. Suraj, 2024, "Non-Linear Dynamics of Yield Spreads and Inflation: Evidence from India," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 22, issue 4, pages 809-822, December, DOI: 10.1007/s40953-024-00410-0.
• Marcos Escobar-Anel & Ben Spies & Rudi Zagst, 2024, "Optimal consumption and investment in general affine GARCH models," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., volume 46, issue 3, pages 987-1026, September, DOI: 10.1007/s00291-024-00749-z.
• Javier Sánchez García & Salvador Cruz Rambaud, 2024, "The network econometrics of financial concentration," Review of Managerial Science, Springer, volume 18, issue 7, pages 2007-2045, July, DOI: 10.1007/s11846-023-00689-y.
• Amane Saito & Hisashi Tanizaki, 2024, "Volatility and returns of ESG indices: evidence from Japan," SN Business & Economics, Springer, volume 4, issue 3, pages 1-21, March, DOI: 10.1007/s43546-024-00627-4.
• Paolo Chirico, 2024, "Iterative QML estimation for asymmetric stochastic volatility models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, volume 33, issue 3, pages 885-900, July, DOI: 10.1007/s10260-024-00747-z.
• Richard Reichel, 2024, "Determinants of Asset Value Adjustments: The Case of Germany’s Cooperative Banks," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 14, issue 2, pages 1-7.
• Federico Cini & Annalisa Ferrari, 2024, "A Darwinian Approach via ML to the Analysis of Cryptocurrencies’ Returns," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 14, issue 6, pages 1-6.
• Lars Winkelmann & Wenying Yao, 2024, "Tests for Jumps in Yield Spreads," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 42, issue 3, pages 946-957, July, DOI: 10.1080/07350015.2023.2271039.
• Gianluca De Nard & Robert F. Engle & Bryan Kelly, 2024, "Factor-Mimicking Portfolios for Climate Risk," Financial Analysts Journal, Taylor & Francis Journals, volume 80, issue 3, pages 37-58, July, DOI: 10.1080/0015198X.2024.2332164.
• Ramon de Punder & Timo Dimitriadis & Rutger-Jan Lange, 2024, "Expected Kullback-Leibler-based characterizations of score-driven updates," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 24-051/III, Aug, revised 05 Mar 2026.
• Laura Capera Romero & Anne Opschoor, 2024, "Realized Variances vs. Correlations: Unlocking the Gains in Multivariate Volatility Forecasting," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 24-059/III, Nov.
• Fayssal Jamhamed & Franck Martin & Fabien Rondeau & Josué Thélissaint & Stéphane Tufféry, 2024, "Regime-Specific Dynamics and Informational Efficiency in Cryptomarkets: Evidence from Gaussian Mixture Models," Economics Working Paper Archive (University of Rennes & University of Caen), Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS, number 2024-13, Dec.
• Josué Thélissaint, 2024, "Assessing Cryptomarket Risks: Macroeconomic Forces, Market Shocks and Behavioural Dynamics," Economics Working Paper Archive (University of Rennes & University of Caen), Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS, number 2024-14, Dec.
• Gabriel Montes-Rojas & Zacharias Psaradakis & Martín Sola, 2024, "On Regime Separation in Markov-Switching Quantile Regressions," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2024_05, Aug.
• Alqaralleh, Huthaifa & Almajali Mutah, Awon & Canepa, Alessandra, 2024, "Navigating Energy Market Cycles: Insights from a Comprehensive Analysis," Department of Economics and Statistics Cognetti de Martiis. Working Papers, University of Turin, number 202422, Dec.
• HABIBI, Reza, 2024, "A Note On The Early Warning System Of Change Points: Combination Of Regime Switching And Threshold Models," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 28, issue 2, pages 6-18, June.
• Kostka Jan & Palečková Iveta, 2024, "Determinants of the Bank Stability: Evidence of the Czech Republic," Acta Academica Karviniensia, Paradigm, volume 24, issue 1, pages 43-52, DOI: 10.25142/aak.2024.004.
• Tóth Balázs & Kiss Gábor Dávid, 2024, "Cost-Risk Optimization Changes in Public Debt Management and its Impact on CDS Pricing in CEE Countries," Acta Academica Karviniensia, Paradigm, volume 24, issue 2, pages 84-102, DOI: 10.25142/aak.2024.013.
• Kadiri Hamza & Oukhouya Hassan & Belkhoutout Khalid & Himdi Khalid El, 2024, "Dynamic Interconnections and Contagion Effects Among Global Stock Markets: A Vecm Analysis," Economics, Paradigm, volume 12, issue 3, pages 55-73, DOI: 10.2478/eoik-2024-0039.
• Radojković Ivan D. & Radović Ognjen V. & Stevanović Kristina R., 2024, "Modeling the Volatility of Returns on Investment Units of Voluntary Pension Funds in Serbia," Economic Themes, Paradigm, volume 62, issue 4, pages 541-560, DOI: 10.2478/ethemes-2024-0029.
• Serap Vurur N. & Özdemir Letife & Özen Ercan & Grima Simon, 2024, "The Impact of Stock Prices of Polluting Energy Sources on Renewable Energy Stock Index Prices," Folia Oeconomica Stetinensia, Paradigm, volume 24, issue 2, pages 344-370, DOI: 10.2478/foli-2024-0029.
• de Salles André Assis & Lima Renato Barros, 2024, "Carbon Credits and Crude Oil: An Investigation of the Price Returns Interaction in the International Market," Naše gospodarstvo/Our economy, Paradigm, volume 70, issue 1, pages 1-12, March, DOI: 10.2478/ngoe-2024-0001.
• Güngör Arifenur & Güngör Mahmut Sami, 2024, "The Nexus Between Economic Policy Uncertainty and Stock Market Volatility in the CEE-3 Countries," South East European Journal of Economics and Business, Paradigm, volume 19, issue 2, pages 60-81, DOI: 10.2478/jeb-2024-0016.
• Vodă Tudor-Ovidiu, 2024, "The Nexus Between Investors’ Sentiment and Hedge Funds Risk Premiums," Studia Universitatis Babeș-Bolyai Oeconomica, Paradigm, volume 69, issue 2, pages 26-39, DOI: 10.2478/subboec-2024-0008.
• Heryán Tomáš & Růčková Petra & Cerulli Giovanni, 2024, "Financial Performance Among Top10 Automotive Leaders in the EU: Essential Techniques to Investigate the Structure of Moments While Using the GMM with Dynamic Panel Data," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Paradigm, volume 34, issue 3, pages 26-59, DOI: 10.2478/sues-2024-0012.
• Naz Farah & Lutfullah Tooba & Zahra Kanwal, 2024, "COVID-19 and Seasonality in Monthly Returns: a Firm Level Analysis of PSX," Zagreb International Review of Economics and Business, Paradigm, volume 27, issue 1, pages 201-230, DOI: 10.2478/zireb-2024-0010.
• Ivancevic Milo, 2024, "Analysis of Green Bond Yields in Different Economic Regimes: High and Low Interest Rates," Zagreb International Review of Economics and Business, Paradigm, volume 27, issue 2, pages 7-26, DOI: 10.2478/zireb-2024-0015.
• Bartosz Bieganowski & Robert Ślepaczuk, 2024, "Supervised Autoencoder MLP for Financial Time Series Forecasting," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2024-03.
• Kamil Kashif & Robert Ślepaczuk, 2024, "LSTM-ARIMA as a Hybrid Approach in Algorithmic Investment Strategies," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2024-07.
• Sugarbayar Enkhbayar & Robert Ślepaczuk, 2024, "Predictive modeling of foreign exchange trading signals using machine learning techniques," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2024-10.
• Maciej Wysocki & Robert Ślepaczuk, 2024, "Construction and Hedging of Equity Index Options Portfolios," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2024-14.
• Stanisław Łaniewski & Robert Ślepaczuk, 2024, "Enhancing literature review with NLP methods Algorithmic investment strategies case," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2024-16.
• Filip Stefaniuk & Robert Ślepaczuk, 2024, "The article investigates the usage of Informer architecture for building automated trading strategies for high frequency Bitcoin data. Three strategies using Informer model with different loss functions: Root Mean Squared Error (RMSE), Generalized Me," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2024-27.
• Thorsten V. Koeppl & Jeremy M. Kronick & James McNeil, 2024, "Using functional shocks to assess conventional and unconventional monetary policy in Canada," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 57, issue 4, pages 1314-1336, November, DOI: 10.1111/caje.12741.