Research classified by Journal of Economic Literature (JEL) codes

2024

• Li, Haohua & Mei, Yuhe & Hao, Xianfeng & Chen, Zhuo, 2024, "Out-of-sample equity premium predictability: An EMD-denoising based model," Pacific-Basin Finance Journal, Elsevier, volume 88, issue C, DOI: 10.1016/j.pacfin.2024.102536.
• Van Tran, Quang & Kukal, Jaromir, 2024, "Renyi entropy based design of heavy tailed distribution for return of financial assets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 637, issue C, DOI: 10.1016/j.physa.2024.129531.
• Bouri, Elie & Gradojevic, Nikola & Nekhili, Ramzi, 2024, "Fear, extreme fear and U.S. stock market returns," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 656, issue C, DOI: 10.1016/j.physa.2024.130212.
• El Khoury, Rim & Alshater, Muneer M. & Li, Yanshuang & Xiong, Xiong, 2024, "Quantile time-frequency connectedness among G7 stock markets and clean energy markets," The Quarterly Review of Economics and Finance, Elsevier, volume 93, issue C, pages 71-90, DOI: 10.1016/j.qref.2023.11.004.
• Wang, Lu & Wang, Xing & Liang, Chao, 2024, "Natural gas volatility prediction via a novel combination of GARCH-MIDAS and one-class SVM," The Quarterly Review of Economics and Finance, Elsevier, volume 98, issue C, DOI: 10.1016/j.qref.2024.101927.
• Lucey, Brian & Yahya, Muhammad & Khoja, Layla & Uddin, Gazi Salah & Ahmed, Ali, 2024, "Interconnectedness and risk profile of hydrogen against major asset classes," Renewable and Sustainable Energy Reviews, Elsevier, volume 192, issue C, DOI: 10.1016/j.rser.2023.114223.
• Hanif, Waqas & Andraz, Jorge Miguel & Gubareva, Mariya & Teplova, Tamara, 2024, "Are REITS hedge or safe haven against oil price fall?," International Review of Economics & Finance, Elsevier, volume 89, issue PA, pages 1-16, DOI: 10.1016/j.iref.2023.07.052.
• Park, Dojoon & Kang, Yong Joo & Eom, Young Ho, 2024, "Asset pricing tests for pandemic risk," International Review of Economics & Finance, Elsevier, volume 89, issue PA, pages 1314-1334, DOI: 10.1016/j.iref.2023.08.014.
• Kapar, Burcu & Billah, Syed Mabruk & Rana, Faisal & Balli, Faruk, 2024, "An investigation of the frequency dynamics of spillovers and connectedness among GCC sectoral indices," International Review of Economics & Finance, Elsevier, volume 89, issue PA, pages 1442-1467, DOI: 10.1016/j.iref.2023.09.004.
• Li, Hemei & Liu, Zhenya & Xiao, Zhijie, 2024, "Sequential monitoring of stock market price changes," International Review of Economics & Finance, Elsevier, volume 89, issue PA, pages 156-172, DOI: 10.1016/j.iref.2023.07.105.
• Liu, Peipei & Huang, Wei-Qiang, 2024, "Spatial analysis of sovereign risk from the perspective of EPU spillovers," International Review of Economics & Finance, Elsevier, volume 89, issue PA, pages 427-443, DOI: 10.1016/j.iref.2023.07.100.
• Cavaca, Igor Bastos & Meurer, Roberto, 2024, "The asymmetry and uncertainty effects on the response of the yield curve to Brazilian monetary policy," International Review of Economics & Finance, Elsevier, volume 89, issue PA, pages 831-844, DOI: 10.1016/j.iref.2023.07.042.
• Zhao, Yang & Yao, Yuan & Wang, Mingtao, 2024, "Risk-free rate puzzle: An explanation of the heterogeneity of consumer risk attitudes under China's income gap," International Review of Economics & Finance, Elsevier, volume 89, issue PB, pages 940-960, DOI: 10.1016/j.iref.2023.10.039.
• Wu, Zewen, 2024, "Are we in a bubble? Financial vulnerabilities in semiconductor, Web3, and genetic engineering markets," International Review of Economics & Finance, Elsevier, volume 90, issue C, pages 32-44, DOI: 10.1016/j.iref.2023.11.002.
• Bossman, Ahmed & Gubareva, Mariya & Agyei, Samuel Kwaku & Vo, Xuan Vinh, 2024, "Time-frequency comovements between environmental cryptocurrency sentiment and faith-based sectoral stocks," International Review of Economics & Finance, Elsevier, volume 91, issue C, pages 699-719, DOI: 10.1016/j.iref.2024.01.068.
• Yousaf, Imran & Ali, Shoaib & Marei, Mohamed & Gubareva, Mariya, 2024, "Spillovers and hedging effectiveness between islamic cryptocurrency and metal markets: Evidence from the COVID-19 outbreak," International Review of Economics & Finance, Elsevier, volume 92, issue C, pages 1126-1151, DOI: 10.1016/j.iref.2024.02.075.
• Siddique, Md. Abubakar & Nobanee, Haitham & Hasan, Md. Bokhtiar & Uddin, Gazi Salah & Nahiduzzaman, Md., 2024, "Is investing in green assets costlier? Green vs. non-green financial assets," International Review of Economics & Finance, Elsevier, volume 92, issue C, pages 1460-1481, DOI: 10.1016/j.iref.2024.02.079.
• Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2024, "Bitcoin halving and the integration of cryptocurrency and forex markets: An analysis of the higher-order moment spillovers," International Review of Economics & Finance, Elsevier, volume 92, issue C, pages 302-315, DOI: 10.1016/j.iref.2024.02.022.
• Hanif, Waqas & Arreola Hernandez, Jose & Kang, Sang Hoon & Boako, Gideon & Yoon, Seong-Min, 2024, "Interdependence and spillovers between big oil companies and regional and global energy equity markets," International Review of Economics & Finance, Elsevier, volume 92, issue C, pages 451-469, DOI: 10.1016/j.iref.2024.02.043.
• Assaf, Ata & Demir, Ender & Ersan, Oguz, 2024, "Detecting and date-stamping bubbles in fan tokens," International Review of Economics & Finance, Elsevier, volume 92, issue C, pages 98-113, DOI: 10.1016/j.iref.2024.01.039.
• Nasreen, Samia & Tiwari, Aviral Kumar & Goodell, John W. & Tedeschi, Marco, 2024, "Asymmetric and frequency-domain spillover effects among industrial metals, precious metals, and energy futures markets," International Review of Economics & Finance, Elsevier, volume 93, issue PA, pages 1556-1592, DOI: 10.1016/j.iref.2024.04.010.
• Li, Zhao-Chen & Xie, Chi & Wang, Gang-Jin & Zhu, You & Zeng, Zhi-Jian & Gong, Jue, 2024, "Forecasting global stock market volatilities: A shrinkage heterogeneous autoregressive (HAR) model with a large cross-market predictor set," International Review of Economics & Finance, Elsevier, volume 93, issue PB, pages 673-711, DOI: 10.1016/j.iref.2024.05.008.
• Patra, Saswat, 2024, "An empirical analysis of the volume-volatility nexus in crude oil markets under structural breaks: Implications for forecasting," International Review of Economics & Finance, Elsevier, volume 94, issue C, DOI: 10.1016/j.iref.2024.103434.
• Choi, Ki-Hong & Nekhili, Ramzi & Mensi, Walid & Boubaker, Ferihane Zaraa & Yoon, Seong-Min, 2024, "Systemic risk-sharing between natural gas, oil, and stock markets in top energy producer and consumer countries," International Review of Economics & Finance, Elsevier, volume 96, issue PA, DOI: 10.1016/j.iref.2024.103515.
• Zhu, Huiming & Xia, Xiling & Hau, Liya & Zeng, Tian & Deng, Xi, 2024, "Time-frequency higher-order moment Co-movement and connectedness between Chinese stock and commodity markets," International Review of Economics & Finance, Elsevier, volume 96, issue PA, DOI: 10.1016/j.iref.2024.103580.
• Giampaoli, Noemi & Cucculelli, Marco & Sullo, Valerio, 2024, "Business and financial cycle across regimes: Does financial stress matter?," International Review of Economics & Finance, Elsevier, volume 96, issue PB, DOI: 10.1016/j.iref.2024.103645.
• Yousaf, Imran & Cui, Jinxin & Ali, Shoaib, 2024, "Dynamic spillover between green cryptocurrencies and stocks: A portfolio implication," International Review of Economics & Finance, Elsevier, volume 96, issue PB, DOI: 10.1016/j.iref.2024.103661.
• Zhang, Xincheng & Wu, Shaojiang, 2024, "Natural resources and sustainable development: Evidence from the dynamic correlation between crude oil and gold market," International Review of Economics & Finance, Elsevier, volume 96, issue PB, DOI: 10.1016/j.iref.2024.103665.
• Shi, Chunpei & Wei, Yu & Zheng, Yihe & Wang, Zhuo & Wang, Qian, 2024, "Is ESG investment rewarded or just doing good? Evidence from China," International Review of Economics & Finance, Elsevier, volume 96, issue PC, DOI: 10.1016/j.iref.2024.103712.
• Onorato, Grazia & Pampurini, Francesca & Quaranta, Anna Grazia, 2024, "Lending activity efficiency. A comparison between fintech firms and the banking sector," Research in International Business and Finance, Elsevier, volume 68, issue C, DOI: 10.1016/j.ribaf.2023.102185.
• Pan, Zhigang & Bai, Zhihong & Xing, Xiaochao & Wang, Zhufeng, 2024, "US inflation and global commodity prices: Asymmetric interdependence," Research in International Business and Finance, Elsevier, volume 69, issue C, DOI: 10.1016/j.ribaf.2024.102245.
• Jiang, Zhuhua & Yoon, Seong-Min, 2024, "Interdependence between foreign exchange rate and international reserves: Fresh evidence from China," Research in International Business and Finance, Elsevier, volume 69, issue C, DOI: 10.1016/j.ribaf.2024.102255.
• Kočenda, Evžen & Moravcová, Michala, 2024, "Frequency volatility connectedness and portfolio hedging of U.S. energy commodities," Research in International Business and Finance, Elsevier, volume 69, issue C, DOI: 10.1016/j.ribaf.2024.102274.
• Iuga, Iulia Cristina & Mudakkar, Syeda Rabab & Dragolea, Larisa Loredana, 2024, "Agricultural commodities market reaction to COVID-19," Research in International Business and Finance, Elsevier, volume 69, issue C, DOI: 10.1016/j.ribaf.2024.102287.
• Urom, Christian & Ndubuisi, Gideon & Guesmi, Khaled, 2024, "Global macroeconomic factors and the connectedness among NFTs and (un)conventional assets," Research in International Business and Finance, Elsevier, volume 71, issue C, DOI: 10.1016/j.ribaf.2024.102429.
• Montero, José-María & Naimy, Viviane & Farraj, Nermeen Abi & El Khoury, Rim, 2024, "Natural disasters, stock price volatility in the property-liability insurance market and sustainability: An unexplored link," Socio-Economic Planning Sciences, Elsevier, volume 91, issue C, DOI: 10.1016/j.seps.2023.101791.
• Nong, Huifu, 2024, "Analyzing the Role of the Real Estate Sector in the Sectoral Network of the Chinese Economy," Structural Change and Economic Dynamics, Elsevier, volume 70, issue C, pages 567-580, DOI: 10.1016/j.strueco.2024.05.022.
• Kayani, Umar & Ullah, Mirzat & Aysan, Ahmet Faruk & Nazir, Sidra & Frempong, Josephine, 2024, "Quantile connectedness among digital assets, traditional assets, and renewable energy prices during extreme economic crisis," Technological Forecasting and Social Change, Elsevier, volume 208, issue C, DOI: 10.1016/j.techfore.2024.123635.
• Matthew Greenwood-Nimmo & Evzen Kocenda & Viet Hoang Nguyen, 2024, "Detecting Statistically Significant Changes in Connectedness: A Bootstrap-based Technique," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2024-51, Aug.
• Woraphon Yamaka, 2024, "Analyzing shifts in structural dependence between oil prices and exchange rates in oil-importing economies," Asian Journal of Economics and Banking, Emerald Group Publishing Limited, volume 9, issue 1, pages 48-63, December, DOI: 10.1108/AJEB-05-2024-0057.
• Abdullah Murrar & Bara Asfour & Veronica Paz, 2024, "Banking sector and economic growth in the digital transformation era: insights from maximum likelihood and Bayesian structural equation modeling," Asian Journal of Economics and Banking, Emerald Group Publishing Limited, volume 8, issue 3, pages 335-353, May, DOI: 10.1108/AJEB-12-2023-0122.
• Rifaldi Yunus Mahendra & Taufik Faturohman, 2024, "The Impact of Working Capital Management on Firm Value and Profitability of Listed Property and Real Estate Firms in Indonesia During the Covid-19 Pandemic," International Symposia in Economic Theory and Econometrics, Emerald Group Publishing Limited, "The Finance-Innovation Nexus: Implications for Socio-Economic Development", DOI: 10.1108/S1571-038620240000034013.
• Chi Aloysius Ngong & Kesuh Jude Thaddeus & Josaphat Uchechukwu Joe Onwumere, 2024, "Financial technology and economic growth nexus in the East African community states," Journal of Economics, Finance and Administrative Science, Emerald Group Publishing Limited, volume 29, issue 58, pages 263-276, April, DOI: 10.1108/JEFAS-01-2022-0009.
• Lianet Farfán-Pérez & Jorge O. Moreno & María de las Mercedes Adamuz, 2024, "Going long, going short, issue or liquidate? Corporate debt maturity of Mexican public firms," Journal of Economics, Finance and Administrative Science, Emerald Group Publishing Limited, volume 30, issue 59, pages 150-168, December, DOI: 10.1108/JEFAS-03-2024-0082.
• Salvatore Capasso & Marcella D’Uva & Cristiana Fiorelli & Oreste Napolitano, 2024, "Assessing the sovereign-bank interdependence in Eurozone core countries," Journal of Economic Studies, Emerald Group Publishing Limited, volume 52, issue 5, pages 968-982, September, DOI: 10.1108/JES-01-2024-0050.
• Mathias Schneid Tessmann & Marcelo De Oliveira Passos & Omar Barroso Khodr & Alexandre Vasconcelos Lima & Vinícius Braga, 2024, "Connectivity among the returns of sectoral indices of the Brazilian capital market," Journal of Economic Studies, Emerald Group Publishing Limited, volume 52, issue 4, pages 655-672, July, DOI: 10.1108/JES-08-2023-0442.
• Wajdi Moussa & Rym Regaïeg & Nidhal Mgadmi, 2024, "Assessing the impact of the COVID-19 pandemic and the Russian–Ukrainian war on cryptocurrency volatility," Journal of Financial Crime, Emerald Group Publishing Limited, volume 32, issue 1, pages 221-244, November, DOI: 10.1108/JFC-02-2024-0068.
• Václav Brož, 2024, "The impact of announcements of regulatory and law enforcement penalties on stock market valuation of US banks from 2000 to 2022," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, volume 32, issue 4, pages 479-500, May, DOI: 10.1108/JFRC-01-2024-0007.
• Muneer M. Alshater & Rim El Khoury & Bashar Almansour, 2024, "Navigating uncertainty: a study of the S&P GCC composite index’s connectedness during times of crises," Journal of Islamic Accounting and Business Research, Emerald Group Publishing Limited, volume 15, issue 8, pages 1359-1383, June, DOI: 10.1108/JIABR-01-2023-0024.
• Daniela-Georgeta Beju & Maria-Lenuta Ciupac-Ulici & Vasile Paul Bresfelean, 2024, "Political stability and corruption nexus: an international perspective on European and Asian countries," Journal of Risk Finance, Emerald Group Publishing Limited, volume 25, issue 3, pages 422-442, February, DOI: 10.1108/JRF-10-2023-0261.
• Tarek Chebbi & Hazem Migdady & Waleed Hmedat & Maha Shehadeh, 2024, "Another look at the price clustering behavior: evidence from the Muscat stock exchange," Review of Behavioral Finance, Emerald Group Publishing Limited, volume 16, issue 5, pages 773-791, March, DOI: 10.1108/RBF-02-2023-0053.
• Salah Eddine Kartobi & Moulay Abdeljamil Aba Oubida & Zineb Elhachimi, 2024, "Asymmetric impact of the COVID-19 on the Moroccan stock exchange," Review of Behavioral Finance, Emerald Group Publishing Limited, volume 17, issue 1, pages 64-82, October, DOI: 10.1108/RBF-03-2024-0078.
• Steven D. Silver, 2024, "Agent expectations and news sentiment in the dynamics of price in a financial market," Review of Behavioral Finance, Emerald Group Publishing Limited, volume 16, issue 5, pages 836-859, April, DOI: 10.1108/RBF-09-2023-0237.
• Prince Kumar Maurya & Rohit Bansal & Anand Kumar Mishra, 2024, "Dynamic connectedness among market volatilities: a perspective of COVID-19 and Russia-Ukraine conflict," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 41, issue 5, pages 1119-1140, April, DOI: 10.1108/SEF-01-2024-0029.
• Seyed Mehdian & Ștefan Cristian Gherghina & Ovidiu Stoica, 2024, "The reaction of top cryptocurrencies to lawsuit against Binance: an intraday event study," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 42, issue 3, pages 449-467, November, DOI: 10.1108/SEF-08-2024-0521.
• Nihat Gümüş & Murtala Mustapha Baba, 2024, "Unveiling the Dynamics: Exploring the Relationship between Emerging Stock Market Prices and Macroeconomic Indicators through ARDL Analysis," International Econometric Review (IER), Economic Research Association, volume 16, issue 1, pages 24-49, June.

2023

• Jonathan Hambur & Qazi Haque, 2023, "Can we use high-frequency yield data to better understand the effects of monetary policy and its communication? Yes and no!," Adelaide Economics Working Papers, Adelaide University, School of Economics, number 2023-03 Classification-E4, May.
• Cem Çakmaklı & Anıl Divar Çakmaklı & Han Özsöylev, 2023, "Getiri Dağılımı Tahmininin Ekonomik Değeri," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, volume 8, issue 1, pages 40-58, DOI: 10.30784/epfad.1252574.
• Turhan Korkmaz & Tuğba Nur, 2023, "The Effect of ESG Sustainability on Firm Performance: A View under Size and Age on BIST Bank Index Firms," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, volume 8, issue 2, pages 208-223, DOI: 10.30784/epfad.1278491.
• Camelia CERCEL (ZAMFIRACHE), 2024, "Econometric Evaluation of the European Union's Progress in Environmental Protection Through the Lens of Economic Well-Being," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 26, pages 109-118, November.
• Marco Tedeschi, 2023, "Idiosyncratic and systematic spillovers through the renewable energy financial systems," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 483, Dec.
• Antoine Djobenou & Emre Inan & Joann Jasiak, 2023, "Time-Varying Coefficient DAR Model and Stability Measures for Stablecoin Prices: An Application to Tether," Papers, arXiv.org, number 2301.00509, Jan.
• M. Raddant & T. Di Matteo, 2023, "A Look at Financial Dependencies by Means of Econophysics and Financial Economics," Papers, arXiv.org, number 2302.08208, Feb.
• Alessandro Giovannelli & Marco Lippi & Tommaso Proietti, 2023, "Band-Pass Filtering with High-Dimensional Time Series," Papers, arXiv.org, number 2305.06618, May.
• Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2023, "Latent Factor Analysis in Short Panels," Papers, arXiv.org, number 2306.14004, Jun, revised Oct 2025.
• Frank Kleibergen & Lingwei Kong, 2023, "Identification Robust Inference for the Risk Premium in Term Structure Models," Papers, arXiv.org, number 2307.12628, Jul.
• Jakub Micha'nk'ow & Pawe{l} Sakowski & Robert 'Slepaczuk, 2023, "Mean Absolute Directional Loss as a New Loss Function for Machine Learning Problems in Algorithmic Investment Strategies," Papers, arXiv.org, number 2309.10546, Sep.
• Jakub Micha'nk'ow & Pawe{l} Sakowski & Robert 'Slepaczuk, 2023, "Hedging Properties of Algorithmic Investment Strategies using Long Short-Term Memory and Time Series models for Equity Indices," Papers, arXiv.org, number 2309.15640, Sep.
• Nabil Bouamara & Kris Boudt & S'ebastien Laurent & Christopher J. Neely, 2023, "Sluggish news reactions: A combinatorial approach for synchronizing stock jumps," Papers, arXiv.org, number 2309.15705, Sep.
• Darab Molkabadi, Saeid, 2023, "Transition and Propagations of Oil Shock in the Oil Exporting Countries: Lessons from Iran (in Persian)," The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی Ùˆ بودجه), Institute for Management and Planning studies, volume 28, issue 4, pages 111-139, December.
• Josip Arneric & Marcela Sturmer, 2023, "Price Jumps Identification Using Integrated Variance Estimators," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, volume 32, issue 1, pages 55-74, june, DOI: 10.17818/EMIP/2023/1.3.
• Conrad, Christian & Schoelkopf, Julius Theodor & Tushteva, Nikoleta, 2023, "Long-Term Volatility Shapes the Stock Market’s Sensitivity to News," Working Papers, University of Heidelberg, Department of Economics, number 0739, Dec.
• Ahmad Monir Abdullah, 2023, "The Impact of COVID-19 and the Russia-Ukraine Conflict on the Relationship Between the US Islamic Stock Index, Bitcoin, and Commodities," Asian Economics Letters, Asia-Pacific Applied Economics Association, volume 4, issue 2, pages 1-6, DOI: 2023/06/12.
• Abhishek Sah & Biswajit Patra, 2023, "Dynamic Linkages Among Cryptocurrencies - The Role of COVID-19," Asian Economics Letters, Asia-Pacific Applied Economics Association, volume 4, issue 2, pages 1-6, DOI: 2023/06/12.
• Isiaka Akande Raifu, 2023, "Examining the Time-Varying Causality Between Oil Returns and Stock Returns in Norway," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, volume 4, issue 1, pages 1-9, DOI: 2023/03/14.
• Gancho Ganchev & Vladimir Tsenkov & Mariya Paskaleva, 2023, "Corruption in Bulgaria: Context, Factors and International Comparison," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 6, pages 587-620.
• Chinara Azizova & Bruno Feunou & James Kyeong, 2023, "Forecasting Risks to the Canadian Economic Outlook at a Daily Frequency," Discussion Papers, Bank of Canada, number 2023-19, Sep, DOI: 10.34989/sdp-2023-19.
• Bruno Feunou, 2023, "Generalized Autoregressive Gamma Processes," Staff Working Papers, Bank of Canada, number 23-40, Aug, DOI: 10.34989/swp-2023-40.
• Bruno Feunou & James Kyeong, 2023, "Finding the balance—measuring risks to inflation and to GDP growth," Staff Analytical Notes, Bank of Canada, number 2023-18, Dec, DOI: 10.34989/san-2023-18.
• Lars Winkelmann & Wenying Yao, 2023, "Tests for Jumps in Yield Spreads," Berlin School of Economics Discussion Papers, Berlin School of Economics, number 0024, Sep, DOI: 10.48462/opus4-5073.
• Luis Fernando Melo-Velandia & José Vicente Romero & Mahicol Stiben Ramírez-González, 2023, "The Global Financial Cycle and Country Risk in Emerging Markets During Stress Episodes: A Copula-CoVaR Approach," Borradores de Economia, Banco de la Republica de Colombia, number 1231, May, DOI: 10.32468/be.1231.
• Jonathan Chassot & Michael Creel, 2023, "Constructing Efficient Simulated Moments Using Temporal Convolutional Networks," Working Papers, Barcelona School of Economics, number 1412, Nov.
• Emre BULUT & Ahmed İhsan ŞİMŞEK, 2023, "The Relationship Between the Stock Market Volatility, Liquidity, Exchange Rate Return, and Stock Return During the COVID-19 Period: The case of the BIST 100 Index," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, volume 7, issue 1, pages 121-135, June, DOI: https://doi.org/10.33399/biibfad.12.
• Shuping Shi & Peter C.B. Phillips, 2023, "Diagnosing housing fever with an econometric thermometer," Journal of Economic Surveys, Wiley Blackwell, volume 37, issue 1, pages 159-186, February, DOI: 10.1111/joes.12430.
• Bryan Kelly & Semyon Malamud & Lasse Heje Pedersen, 2023, "Principal Portfolios," Journal of Finance, American Finance Association, volume 78, issue 1, pages 347-387, February, DOI: 10.1111/jofi.13199.
• Theis Ingerslev Jensen & Bryan Kelly & Lasse Heje Pedersen, 2023, "Is There a Replication Crisis in Finance?," Journal of Finance, American Finance Association, volume 78, issue 5, pages 2465-2518, October, DOI: 10.1111/jofi.13249.
• Tommaso Proietti, 2023, "Peaks, gaps, and time‐reversibility of economic time series," Journal of Time Series Analysis, Wiley Blackwell, volume 44, issue 1, pages 43-68, January, DOI: 10.1111/jtsa.12649.
• Rod Tyers & Yixiao Zhou, 2023, "Automation and inequality with taxes and transfers," Scottish Journal of Political Economy, Scottish Economic Society, volume 70, issue 1, pages 68-100, February, DOI: 10.1111/sjpe.12313.
• Yoosoon Chang & Ana María Herrera & Elena Pesavento, 2023, "Oil Prices Uncertainty, Endogenous Regime Switching, and Inflation Anchoring," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 02/2023, Feb.
• Hilde C. Bjørnland & Yoosoon Chang & Jamie L. Cross, 2023, "Oil and the Stock Market Revisited: A mixed functional VAR approach," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 03/2023, Mar.
• Kawakatsu Hiroyuki, 2023, "Simple Factor Realized Stochastic Volatility Models," Journal of Time Series Econometrics, De Gruyter, volume 15, issue 1, pages 79-110, January, DOI: 10.1515/jtse-2021-0049.
• Uribe Jorge M. & Chuliá Helena, 2023, "Expected, unexpected, good and bad aggregate uncertainty," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 27, issue 2, pages 265-284, April, DOI: 10.1515/snde-2020-0127.
• Lux Thomas, 2023, "Approximate Bayesian inference for agent-based models in economics: a case study," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 27, issue 4, pages 423-447, September, DOI: 10.1515/snde-2021-0052.
• Ayala Astrid & Blazsek Szabolcs & Escribano Alvaro, 2023, "Anticipating extreme losses using score-driven shape filters," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 27, issue 4, pages 449-484, September, DOI: 10.1515/snde-2021-0102.
• Blazsek Szabolcs & Haddad Michel Ferreira Cardia, 2023, "Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 27, issue 4, pages 589-634, September, DOI: 10.1515/snde-2021-0101.
• Ayala Astrid & Blazsek Szabolcs & Licht Adrian, 2023, "Comparison of Score-Driven Equity-Gold Portfolios During the COVID-19 Pandemic Using Model Confidence Sets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 27, issue 5, pages 705-731, December, DOI: 10.1515/snde-2022-0107.
• Nikola Fabris & Milutin Ješić, 2023, "Are Gold and Bitcoin a Safe Haven for European Indices?," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 12, issue 1, pages 27-44.
• Melik KAMIŞLI & Mustafa ÖZER & Özlem SAYILIR & Patrice Racine DIALLO, 2023, "Time Scales Based Analysis of the Effects of COVID-19 Related Economic Support on the Stock Markets in Emerging Markets," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 12, issue 3, pages 41-60.
• Bauwens, Luc & Xu, Yongdeng, 2023, "The contribution of realized covariance models to the economic value of volatility timing," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2023/20, Jul.
• Guan, Bo & Mazouz, Khelifa & Xu, Yongdeng, 2023, "Asymmetric volatility spillover between crude oil and other asset markets," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2023/27, Nov.
• Matthew Greenwood-Nimmo & Evžen Kocenda & Viet Hoang Nguyen & Evžen Kočenda, 2023, "Does the Spillover Index Respond to Adverse Shocks? A Bootstrap-Based Probabilistic Analysis," CESifo Working Paper Series, CESifo, number 10668.
• Peter Albrecht & Evžen Kočenda, 2023, "Volatility Connectedness on the Central European Forex Markets," CESifo Working Paper Series, CESifo, number 10728.
• Bryan Kelly & Semyon Malamud & Mohammad Pourmohammadi & Fabio Trojani, 2023, "Universal Portfolio Shrinkage," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-119, Dec.
• Antoine Didisheim & Shikun Ke & Bryan T. Kelly & Semyon Malamud, 2023, "Complexity in Factor Pricing Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-19, Mar.
• Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2023, "Latent Factor Analysis in Short Panels," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-44, Jun.
• Alberto Quaini & Fabio Trojani & Ming Yuan, 2023, "Tradable Factor Risk Premia and Oracle Tests of Asset Pricing Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-81, Sep.
• Jorge Luis Sánchez Arévalo & Alisson Maxwell Ferreira de Andrade & Elisabeth de Oliveira Vendramin, 2023, "Ibovespa’s response to the behavior of oil and ore prices during the international crisis caused by COVID-19," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 15, issue 1, pages 21-43.
• Bauwens, Luc & Xu, Yongdeng, 2023, "The contribution of realized covariance models to the economic value of volatility timing," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2023018, Jul.
• Bauwens, Luc & Otranto, Edoardo, 2023, "Realized Covariance Models with Time-varying Parameters and Spillover Effects," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2023019, Jul.
• Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023, "We modeled long memory with just one lag!," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 3234, Apr, DOI: https://doi.org/10.1016/j.jeconom.2.
• Li, Junye & Sarno, Lucio & Zinna, Gabriele, 2023, "Risks and Risk Premia in the US Treasury Market," CEPR Discussion Papers, Centre for Economic Policy Research, number 18592, Nov.
• Bjoern Schulte-Tillmann & Mawuli Segnon & Timo Wiedemann, 2023, "A comparison of high-frequency realized variance measures: Duration- vs. return-based approaches," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 10523, Jun.
• Guinea, Laurentiu & Pérez, Rafaela & Ruiz, Jesús, 2023, "Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 36916, Mar.
• Damià Rey Miró & Pedro Piffaut & Ricardo Palomo Zurdo, 2023, "¿Los mercados financieros permiten la independencia de los Bancos Centrales?," Revista de Economía y Finanzas (REyF), Asociación Cuadernos de Economía, volume 1, issue 1, pages 37-48, Enero.
• Antonio Pérez Cambriles & Sonia Benito Muela, 2023, "Assessing the structure dependence between the Spanish stock market and some international financial markets. A time-varying copula analysis," Revista de Economía y Finanzas (REyF), Asociación Cuadernos de Economía, volume 1, issue 1, pages 87-122, Enero.
• Антонио Дичев, 2023, "Машинно самообучение при VaR като оценка за пазарния риск ‒ предимства и недостатъци," Almanac of PhD Students, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, volume 16, issue 19 Year 2, pages 241-254.
• Germann, Maximilian & Kusmierczyk, Piotr & Puyo, Christelle, 2023, "Results of the 2022 climate risk stress test of the Eurosystem balance sheet," Economic Bulletin Boxes, European Central Bank, volume 2.
• Hermans, Lieven & Kostka, Thomas & Vassallo, Danilo, 2023, "Asset allocation and risk taking under different interest rate regimes," Working Paper Series, European Central Bank, number 2803, Mar.
• Carradori, Olimpia & Giuzio, Margherita & Kapadia, Sujit & Salakhova, Dilyara & Vozian, Katia, 2023, "Financing the low-carbon transition in Europe," Working Paper Series, European Central Bank, number 2813, May.
• Nigar Huseynli, 2023, "Analyzing the Relationship between Oil Prices and Gold Prices before and after COVID-19," International Journal of Energy Economics and Policy, Econjournals, volume 13, issue 2, pages 373-378, March.
• Nurkhodzha Akbulaev, 2023, "The Impact of Energy Prices on Precious Metals: A Comparison of the SARS-COV2 Period and Prior Period," International Journal of Energy Economics and Policy, Econjournals, volume 13, issue 2, pages 433-440, March.
• Shafa Guliyeva, 2023, "Analysis of the effect of Energy Prices on Stock Indexes During the Epidemic Crisis," International Journal of Energy Economics and Policy, Econjournals, volume 13, issue 2, pages 526-536, March.
• Elieser Tarigan, 2023, "Financial Analysis of Solar Rooftop PV System: Case Study in Indonesia," International Journal of Energy Economics and Policy, Econjournals, volume 13, issue 3, pages 15-19, May.
• Imangulu Muradzada & Nurkhodza Akbulev, 2023, "Empirical Analysis of the Relationship between Basic Energy Sources and the Tourism Sector Index," International Journal of Energy Economics and Policy, Econjournals, volume 13, issue 4, pages 513-521, July.
• Nurkhodzha Akbulaev & Imangulu Muradzada & Ziyadhan Hasanov, 2023, "Relationship between Oil Prices and Russia Exchange Indices: Analysis of Frequency Causality," International Journal of Energy Economics and Policy, Econjournals, volume 13, issue 5, pages 607-615, September.
• Mehtab Begum Siddiqui & Maryam Khokhar & Tayyaba Rafique Makhdoom & Md Billal Hossain & Sarmad Ejaz & Faisal Ejaz & Anna Dunay, 2023, "The Impact of Pak and China Cultural influences on CPEC Energy Project Moderating effect in South Asia: A Case Study from Pakistan," International Journal of Energy Economics and Policy, Econjournals, volume 13, issue 6, pages 211-219, November.
• Mohamad Husam Helmi & A. Nazif Catik & Begum Yurteri Kosedagli & Gul Serife Huyuguzel Kisla & Coskun Akdeniz, 2023, "The Effects of Energy Prices on Oil-Gas Sectoral Stock Returns for BRIC Countries: Evidence from Space State Models," International Journal of Energy Economics and Policy, Econjournals, volume 13, issue 6, pages 430-440, November.
• Ecem ARIK & Fela OZBEY & Serkan Yilmaz KANDIR, 2023, "Borsa Istanbul’da Islem Goren Yenilenebilir Enerji Sirketlerinin Pay Fiyat Etkinliginin Fourier Birim Kok Testleri ile Sinanmasi," Isletme ve Iktisat Calismalari Dergisi, Econjournals, volume 11, issue 2, pages 114-126.
• Dunbar, Kwamie & Owusu-Amoako, Johnson, 2023, "Predictability of crypto returns: The impact of trading behavior," Journal of Behavioral and Experimental Finance, Elsevier, volume 39, issue C, DOI: 10.1016/j.jbef.2023.100812.
• Saâdaoui, Foued, 2023, "Skewed multifractal scaling of stock markets during the COVID-19 pandemic," Chaos, Solitons & Fractals, Elsevier, volume 170, issue C, DOI: 10.1016/j.chaos.2023.113372.
• Ge, Shuyi, 2023, "A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model," Journal of Economic Dynamics and Control, Elsevier, volume 146, issue C, DOI: 10.1016/j.jedc.2022.104565.
• Ding, Jing & Jiang, Lei & Liu, Xiaohui & Peng, Liang, 2023, "Nonparametric tests for market timing ability using daily mutual fund returns," Journal of Economic Dynamics and Control, Elsevier, volume 150, issue C, DOI: 10.1016/j.jedc.2023.104635.
• Arfaoui, Nadia & Yousaf, Imran & Jareño, Francisco, 2023, "Return and volatility connectedness between gold and energy markets: Evidence from the pre- and post-COVID vaccination phases," Economic Analysis and Policy, Elsevier, volume 77, issue C, pages 617-634, DOI: 10.1016/j.eap.2022.12.023.
• Bazán-Palomino, Walter, 2023, "The increased interest in Bitcoin and the immediate and long-term impact of Bitcoin volatility on global stock markets," Economic Analysis and Policy, Elsevier, volume 80, issue C, pages 1080-1095, DOI: 10.1016/j.eap.2023.10.001.
• Li, Zhicheng & Chen, Xinyun & Xing, Haipeng, 2023, "A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market," Economic Modelling, Elsevier, volume 118, issue C, DOI: 10.1016/j.econmod.2022.106082.
• Caldeira, João F. & Santos, André A.P. & Torrent, Hudson S., 2023, "Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics," Economic Modelling, Elsevier, volume 122, issue C, DOI: 10.1016/j.econmod.2023.106239.
• Bucci, Andrea & Palomba, Giulio & Rossi, Eduardo, 2023, "The role of uncertainty in forecasting volatility comovements across stock markets," Economic Modelling, Elsevier, volume 125, issue C, DOI: 10.1016/j.econmod.2023.106309.
• Capasso, Salvatore & D'Uva, Marcella & Fiorelli, Cristiana & Napolitano, Oreste, 2023, "Cross-border Italian sovereign risk transmission in EMU countries," Economic Modelling, Elsevier, volume 126, issue C, DOI: 10.1016/j.econmod.2023.106424.
• Liu, Wei & Garrett, Ian, 2023, "Regime-dependent effects of macroeconomic uncertainty on realized volatility in the U.S. stock market," Economic Modelling, Elsevier, volume 128, issue C, DOI: 10.1016/j.econmod.2023.106483.
• Socaciu, Erzsébet-Mirjám & Nagy, Bálint-Zsolt & Benedek, Botond, 2023, "No place like home: Home bias and flight-to-quality in Group of Seven countries," Economic Modelling, Elsevier, volume 129, issue C, DOI: 10.1016/j.econmod.2023.106549.
• Hambuckers, J. & Ulm, M., 2023, "On the role of interest rate differentials in the dynamic asymmetry of exchange rates," Economic Modelling, Elsevier, volume 129, issue C, DOI: 10.1016/j.econmod.2023.106554.
• Ciciretti, Vito & Bucci, Andrea, 2023, "Building optimal regime-switching portfolios," The North American Journal of Economics and Finance, Elsevier, volume 64, issue C, DOI: 10.1016/j.najef.2022.101837.
• Motegi, Kaiji & Iitsuka, Yoshitaka, 2023, "Inter-regional dependence of J-REIT stock prices: A heteroscedasticity-robust time series approach," The North American Journal of Economics and Finance, Elsevier, volume 64, issue C, DOI: 10.1016/j.najef.2022.101840.
• Basak, Gopal K. & Das, Pranab Kumar & Marjit, Sugata & Mukherjee, Debashis & Yang, Lei, 2023, "The British Stock Market, currencies, brexit, and media sentiments: A big data analysis," The North American Journal of Economics and Finance, Elsevier, volume 64, issue C, DOI: 10.1016/j.najef.2022.101861.
• Stafylas, Dimitrios & Andrikopoulos, Athanasios & Tolikas, Konstantinos, 2023, "Hedge fund performance persistence under different business cycles and stock market regimes," The North American Journal of Economics and Finance, Elsevier, volume 64, issue C, DOI: 10.1016/j.najef.2022.101866.
• Procasky, William J. & Yin, Anwen, 2023, "Identifying the true nature of price discovery and cross-market informational flow in the investment grade CDS and equity markets," The North American Journal of Economics and Finance, Elsevier, volume 64, issue C, DOI: 10.1016/j.najef.2022.101877.
• Mensi, Walid & Hanif, Waqas & Vo, Xuan Vinh & Choi, Ki-Hong & Yoon, Seong-Min, 2023, "Upside/Downside spillovers between oil and Chinese stock sectors: From the global financial crisis to global pandemic," The North American Journal of Economics and Finance, Elsevier, volume 67, issue C, DOI: 10.1016/j.najef.2023.101925.
• Chen, Na & Jin, Xiu, 2023, "Cross-industry asset allocation with the spatial interaction on multiple risk transmission channels," The North American Journal of Economics and Finance, Elsevier, volume 67, issue C, DOI: 10.1016/j.najef.2023.101935.
• Huang, Zishan & Zhu, Huiming & Hau, Liya & Deng, Xi, 2023, "Time-frequency co-movement and network connectedness between green bond and financial asset markets: Evidence from multiscale TVP-VAR analysis," The North American Journal of Economics and Finance, Elsevier, volume 67, issue C, DOI: 10.1016/j.najef.2023.101945.
• Wang, Yide & Chen, Zan & Ji, Xiaodong, 2023, "Cross-market information transmission and stock market volatility prediction," The North American Journal of Economics and Finance, Elsevier, volume 68, issue C, DOI: 10.1016/j.najef.2023.101977.
• Yang, Ge & Yin, Ximing & Kimmel, Robert L., 2023, "Evaluating asset pricing models with non-traded factors using the method of maximum-correlated portfolios," The North American Journal of Economics and Finance, Elsevier, volume 68, issue C, DOI: 10.1016/j.najef.2023.101980.
• Agarwal, Shivam & Muckley, Cal B. & Neelakantan, Parvati, 2023, "Countering racial discrimination in algorithmic lending: A case for model-agnostic interpretation methods," Economics Letters, Elsevier, volume 226, issue C, DOI: 10.1016/j.econlet.2023.111117.
• Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023, "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, volume 232, issue 2, pages 416-444, DOI: 10.1016/j.jeconom.2021.08.002.
• Ding, Yashuang (Dexter), 2023, "A simple joint model for returns, volatility and volatility of volatility," Journal of Econometrics, Elsevier, volume 232, issue 2, pages 521-543, DOI: 10.1016/j.jeconom.2021.09.012.
• Sun, Yucheng & Xu, Wen & Zhang, Chuanhai, 2023, "Identifying latent factors based on high-frequency data," Journal of Econometrics, Elsevier, volume 233, issue 1, pages 251-270, DOI: 10.1016/j.jeconom.2022.04.006.
• Royer, Julien, 2023, "Conditional asymmetry in Power ARCH(∞) models," Journal of Econometrics, Elsevier, volume 234, issue 1, pages 178-204, DOI: 10.1016/j.jeconom.2021.10.013.
• Cai, Zongwu & Chen, Haiqiang & Liao, Xiaosai, 2023, "A new robust inference for predictive quantile regression," Journal of Econometrics, Elsevier, volume 234, issue 1, pages 227-250, DOI: 10.1016/j.jeconom.2021.10.012.
• Blasques, F. & Francq, Christian & Laurent, Sébastien, 2023, "Quasi score-driven models," Journal of Econometrics, Elsevier, volume 234, issue 1, pages 251-275, DOI: 10.1016/j.jeconom.2021.12.005.
• Gribisch, Bastian & Hartkopf, Jan Patrick, 2023, "Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model," Journal of Econometrics, Elsevier, volume 235, issue 1, pages 43-64, DOI: 10.1016/j.jeconom.2022.01.007.
• La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2023, "A higher-order correct fast moving-average bootstrap for dependent data," Journal of Econometrics, Elsevier, volume 235, issue 1, pages 65-81, DOI: 10.1016/j.jeconom.2022.01.008.
• Bu, Ruijun & Kim, Jihyun & Wang, Bin, 2023, "Uniform and Lp convergences for nonparametric continuous time regressions with semiparametric applications," Journal of Econometrics, Elsevier, volume 235, issue 2, pages 1934-1954, DOI: 10.1016/j.jeconom.2023.02.006.
• Nicolau, João & Rodrigues, Paulo M.M. & Stoykov, Marian Z., 2023, "Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics," Journal of Econometrics, Elsevier, volume 235, issue 2, pages 2266-2284, DOI: 10.1016/j.jeconom.2023.04.002.
• Abadir, Karim M. & Luati, Alessandra & Paruolo, Paolo, 2023, "GARCH density and functional forecasts," Journal of Econometrics, Elsevier, volume 235, issue 2, pages 470-483, DOI: 10.1016/j.jeconom.2022.04.010.
• Fiorentini, Gabriele & Sentana, Enrique, 2023, "Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions," Journal of Econometrics, Elsevier, volume 235, issue 2, pages 643-665, DOI: 10.1016/j.jeconom.2022.02.010.
• Ge, Shuyi & Li, Shaoran & Linton, Oliver, 2023, "News-implied linkages and local dependency in the equity market," Journal of Econometrics, Elsevier, volume 235, issue 2, pages 779-815, DOI: 10.1016/j.jeconom.2022.07.004.
• Gallant, A. Ronald, 2023, "Variance–covariance from a metropolis chain on a curved, singular manifold," Journal of Econometrics, Elsevier, volume 235, issue 2, pages 843-861, DOI: 10.1016/j.jeconom.2022.08.002.
• Dalderop, Jeroen, 2023, "Semiparametric estimation of latent variable asset pricing models," Journal of Econometrics, Elsevier, volume 236, issue 1, DOI: 10.1016/j.jeconom.2023.03.010.
• Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023, "We modeled long memory with just one lag!," Journal of Econometrics, Elsevier, volume 236, issue 1, DOI: 10.1016/j.jeconom.2023.04.010.
• Kole, Erik & van Dijk, Dick, 2023, "Moments, shocks and spillovers in Markov-switching VAR models," Journal of Econometrics, Elsevier, volume 236, issue 2, DOI: 10.1016/j.jeconom.2023.105474.
• Bennedsen, Mikkel & Lunde, Asger & Shephard, Neil & Veraart, Almut E.D., 2023, "Inference and forecasting for continuous-time integer-valued trawl processes," Journal of Econometrics, Elsevier, volume 236, issue 2, DOI: 10.1016/j.jeconom.2023.105476.
• Aknouche, Abdelhakim & Francq, Christian, 2023, "Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models," Journal of Econometrics, Elsevier, volume 237, issue 2, DOI: 10.1016/j.jeconom.2021.09.002.
• Hetland, Simon & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2023, "Dynamic conditional eigenvalue GARCH," Journal of Econometrics, Elsevier, volume 237, issue 2, DOI: 10.1016/j.jeconom.2021.09.003.
• Gorgi, P. & Koopman, S.J., 2023, "Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects," Journal of Econometrics, Elsevier, volume 237, issue 2, DOI: 10.1016/j.jeconom.2021.06.010.
• Berrisch, Jonathan & Ziel, Florian, 2023, "CRPS learning," Journal of Econometrics, Elsevier, volume 237, issue 2, DOI: 10.1016/j.jeconom.2021.11.008.
• Cheng, Mingmian & Liao, Yuan & Yang, Xiye, 2023, "Uniform predictive inference for factor models with instrumental and idiosyncratic betas," Journal of Econometrics, Elsevier, volume 237, issue 2, DOI: 10.1016/j.jeconom.2022.11.007.
• Oh, Dong Hwan & Patton, Andrew J., 2023, "Dynamic factor copula models with estimated cluster assignments," Journal of Econometrics, Elsevier, volume 237, issue 2, DOI: 10.1016/j.jeconom.2022.07.012.
• Bakalli, Gaetan & Guerrier, Stéphane & Scaillet, Olivier, 2023, "A penalized two-pass regression to predict stock returns with time-varying risk premia," Journal of Econometrics, Elsevier, volume 237, issue 2, DOI: 10.1016/j.jeconom.2022.12.004.
• Umlandt, Dennis, 2023, "Score-driven asset pricing: Predicting time-varying risk premia based on cross-sectional model performance," Journal of Econometrics, Elsevier, volume 237, issue 2, DOI: 10.1016/j.jeconom.2023.05.007.
• Proietti, Tommaso & Pedregal, Diego J., 2023, "Seasonality in High Frequency Time Series," Econometrics and Statistics, Elsevier, volume 27, issue C, pages 62-82, DOI: 10.1016/j.ecosta.2022.02.001.
• Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2023, "Networks in risk spillovers: A multivariate GARCH perspective," Econometrics and Statistics, Elsevier, volume 28, issue C, pages 1-29, DOI: 10.1016/j.ecosta.2020.12.003.
• Das, Suman & Roy, Saikat Sinha, 2023, "Following the leaders? A study of co-movement and volatility spillover in BRICS currencies," Economic Systems, Elsevier, volume 47, issue 2, DOI: 10.1016/j.ecosys.2022.100980.
• Rehman, Mobeen Ur & Katsiampa, Paraskevi & Zeitun, Rami & Vo, Xuan Vinh, 2023, "Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies," Emerging Markets Review, Elsevier, volume 55, issue C, DOI: 10.1016/j.ememar.2022.100966.
• Hanauer, Matthias X. & Kalsbach, Tobias, 2023, "Machine learning and the cross-section of emerging market stock returns," Emerging Markets Review, Elsevier, volume 55, issue C, DOI: 10.1016/j.ememar.2023.101022.
• Agyei, Samuel Kwaku & Umar, Zaghum & Bossman, Ahmed & Teplova, Tamara, 2023, "Dynamic connectedness between global commodity sectors, news sentiment, and sub-Saharan African equities," Emerging Markets Review, Elsevier, volume 56, issue C, DOI: 10.1016/j.ememar.2023.101049.
• Wang, Ruting & Althof, Michael & Härdle, Wolfgang Karl, 2023, "A financial risk meter for China," Emerging Markets Review, Elsevier, volume 56, issue C, DOI: 10.1016/j.ememar.2023.101052.
• Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2023, "Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model," Emerging Markets Review, Elsevier, volume 56, issue C, DOI: 10.1016/j.ememar.2023.101054.
• Bu, Ruijun & Hizmeri, Rodrigo & Izzeldin, Marwan & Murphy, Anthony & Tsionas, Mike, 2023, "The contribution of jump signs and activity to forecasting stock price volatility," Journal of Empirical Finance, Elsevier, volume 70, issue C, pages 144-164, DOI: 10.1016/j.jempfin.2022.12.001.
• Li, Leon & Miu, Peter, 2023, "Are cryptocurrencies a safe haven for stock investors? A regime-switching approach," Journal of Empirical Finance, Elsevier, volume 70, issue C, pages 367-385, DOI: 10.1016/j.jempfin.2022.12.010.
• Nonejad, Nima, 2023, "Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables," Journal of Empirical Finance, Elsevier, volume 70, issue C, pages 91-122, DOI: 10.1016/j.jempfin.2022.11.009.
• Ferrer Fernández, María & Henry, Ólan & Pybis, Sam & Stamatogiannis, Michalis P., 2023, "Can we forecast better in periods of low uncertainty? The role of technical indicators," Journal of Empirical Finance, Elsevier, volume 71, issue C, pages 1-12, DOI: 10.1016/j.jempfin.2022.12.014.
• Ciciretti, Rocco & Dalò, Ambrogio & Dam, Lammertjan, 2023, "The contributions of betas versus characteristics to the ESG premium," Journal of Empirical Finance, Elsevier, volume 71, issue C, pages 104-124, DOI: 10.1016/j.jempfin.2023.01.004.
• James, Robert & Leung, Henry & Leung, Jessica Wai Yin & Prokhorov, Artem, 2023, "Forecasting tail risk measures for financial time series: An extreme value approach with covariates," Journal of Empirical Finance, Elsevier, volume 71, issue C, pages 29-50, DOI: 10.1016/j.jempfin.2023.01.002.
• Yu, Deshui & Huang, Difang, 2023, "Cross-sectional uncertainty and expected stock returns," Journal of Empirical Finance, Elsevier, volume 72, issue C, pages 321-340, DOI: 10.1016/j.jempfin.2023.04.001.
• Nguyen, Hoang & Javed, Farrukh, 2023, "Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach," Journal of Empirical Finance, Elsevier, volume 73, issue C, pages 272-292, DOI: 10.1016/j.jempfin.2023.07.004.
• Jarrow, Robert A. & Kwok, Simon S., 2023, "Futures contract collateralization and its implications," Journal of Empirical Finance, Elsevier, volume 74, issue C, DOI: 10.1016/j.jempfin.2023.101422.
• Berardi, Andrea, 2023, "Term premia and short rate expectations in the euro area," Journal of Empirical Finance, Elsevier, volume 74, issue C, DOI: 10.1016/j.jempfin.2023.101424.
• Rad, Hossein & Low, Rand Kwong Yew & Miffre, Joëlle & Faff, Robert, 2023, "The commodity risk premium and neural networks," Journal of Empirical Finance, Elsevier, volume 74, issue C, DOI: 10.1016/j.jempfin.2023.101433.
• Ahn, Jungkyu & Ahn, Yongkil, 2023, "What drives the TIPS–Treasury bond mispricing?," Journal of Empirical Finance, Elsevier, volume 74, issue C, DOI: 10.1016/j.jempfin.2023.101438.
• Asadi, Mehrad & Pham, Son D. & Nguyen, Thao T.T. & Do, Hung Xuan & Brooks, Robert, 2023, "The nexus between oil and airline stock returns: Does time frequency matter?," Energy Economics, Elsevier, volume 117, issue C, DOI: 10.1016/j.eneco.2022.106444.
• Morelli, Giacomo, 2023, "Stochastic ordering of systemic risk in commodity markets," Energy Economics, Elsevier, volume 117, issue C, DOI: 10.1016/j.eneco.2022.106446.