Research classified by Journal of Economic Literature (JEL) codes

2023

• Nick Taylor, 2023, "The Determinants of Volatility Timing Performance," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 4, pages 1228-1257.
• Yanlin Shi, 2023, "Modeling and Forecasting Volatilities of Financial Assets with an Asymmetric Zero-Drift GARCH Model," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 4, pages 1308-1345.
• Luc Bauwens & Edoardo Otranto, 2023, "Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 4, pages 1376-1401.
• Ye ChenCapital & Peter C B Phillips & Shuping Shi, 2023, "Common Bubble Detection in Large Dimensional Financial Systems," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 4, pages 989-1063.
• Eric Renault & Thijs Van Der & Bas J M Werker, 2023, "Arbitrage Pricing Theory for Idiosyncratic Variance Factors," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 5, pages 1403-1442.
• Christian Francq & Jean-Michel Zakoïan, 2023, "Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 5, pages 1443-1482.
• Deniz Erdemlioglu & Xiye Yang, 2023, "News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 5, pages 1519-1556.
• Tolga Cenesizoglu & Denada Ibrushi, 2023, "Time Variation in Cash Flows and Discount Rates," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 5, pages 1557-1589.
• Jozef Baruník & Matěj Nevrla, 2023, "Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 5, pages 1590-1646.
• jørn Eraker & Daniela Osterrieder, 2023, "Market Maker Inventory, Bid–Ask Spreads, and the Computation of Option Implied Risk Measures," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 5, pages 1820-1851.
• Adam Farago & Erik Hjalmarsson, 2023, "Long-Horizon Stock Returns Are Positively Skewed," Review of Finance, European Finance Association, volume 27, issue 2, pages 495-538.
• Mohammad R & Filip Zikes, 2023, "When Do Low-Frequency Measures Really Measure Effective Spreads? Evidence from Equity and Foreign Exchange Markets," The Review of Financial Studies, Society for Financial Studies, volume 36, issue 10, pages 4190-4232.
• Georgiana Burlacu & Ioan-Bogdan Robu, 2023, "The Influence of Covid-19 Pandemy on Financial Fraud Risk Assessment," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 640-651, December.
• Sosa Castro, Magnolia Miriam & Ortiz, Edgar & Cabello-Rosales, Alejandra, 2023, "COVID19 Outbreak Impact on International Stock Markets Volatility Contagion
  [Impacto del estallido de COVID19 en la volatilidad de los mercados de capital internacionales]," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 35, issue 1, pages 175-200, June, DOI: https://doi.org/10.46661/revmetodos.
• Alonso-Neira, Miguel A. & Sánchez-Bayón, Antonio & Castro-Oliva, Marcos, 2023, "Teoría austriaca del ciclo económico aplicada al caso español: del inicio del euro a la gran recesión y su recuperación
  [Austrian economic cycle theory applied to the Spanish case: from the begging," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 35, issue 1, pages 280-310, June, DOI: https://doi.org/10.46661/revmetodos.
• Viviane Naimy & Rim El Khoury & José-María Montero & Jana Souk, 2023, "Post-Brexit exchange rate volatility and its impact on UK exports to eurozone countries: A bounds testing approach," Oeconomia Copernicana, Institute of Economic Research, volume 14, issue 1, pages 135-168, March, DOI: 10.24136/oc.2023.004.
• Tunio, Mohsin Waheed, 2023, "What Explains the Volatility in Pakistan’s Sovereign Bond Yields?," MPRA Paper, University Library of Munich, Germany, number 116030, Jan.
• Zulu, Thulani & Manguzvane, Mathias Mandla & Bonga-Bonga, Lumengo, 2023, "Assessing the contribution of South African Insurance Firms to Systemic Risk," MPRA Paper, University Library of Munich, Germany, number 116815.
• Mohajan, Devajit & Mohajan, Haradhan, 2023, "Sensitivity Analysis for Utility Maximization: A Study on Lagrange Multipliers and Commodity Coupons," MPRA Paper, University Library of Munich, Germany, number 117077, Jan, revised 06 Jan 2023.
• Bampinas, Georgios & Panagiotidis, Theodore, 2023, "How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages?," MPRA Paper, University Library of Munich, Germany, number 117094, Jan.
• Mohajan, Devajit & Mohajan, Haradhan, 2023, "Sensitivity Analysis of Inputs of an Organization: A Profit Maximization Exploration," MPRA Paper, University Library of Munich, Germany, number 117121, Mar, revised 12 Mar 2023.
• Fantazzini, Dean, 2023, "Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models," MPRA Paper, University Library of Munich, Germany, number 117141.
• Mohajan, Devajit & Mohajan, Haradhan, 2023, "Mathematical Model for Nonlinear Budget Constraint: Economic Activities on Increased Budget," MPRA Paper, University Library of Munich, Germany, number 117299, Mar, revised 17 Mar 2023.
• Lee, David, 2023, "An Analytic Solution for Valuing Guaranteed Equity Securities," MPRA Paper, University Library of Munich, Germany, number 117775, Jun.
• Mohajan, Devajit & Mohajan, Haradhan, 2023, "An Economical Study When Cost of Irregular Raw Materials of an Industry Increases for Nonlinear Budget Constraint," MPRA Paper, University Library of Munich, Germany, number 118176, May, revised 05 May 2023.
• Fantazzini, Dean & Xiao, Yufeng, 2023, "Detecting Pump-and-Dumps with Crypto-Assets: Dealing with Imbalanced Datasets and Insiders’ Anticipated Purchases," MPRA Paper, University Library of Munich, Germany, number 118435.
• Li, Chenxing & Zhang, Zehua & Zhao, Ran, 2023, "Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?," MPRA Paper, University Library of Munich, Germany, number 118459, Sep.
• Bonga-Bonga, Lumengo & Khalique, Muhammad Masood, 2023, "The dynamic relationship between digital currency and other financial markets in developed and emerging markets," MPRA Paper, University Library of Munich, Germany, number 118654, Aug.
• Chen, Ying & Grith, Maria & Lai, Hannah L. H., 2023, "Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach," MPRA Paper, University Library of Munich, Germany, number 119022, Oct.
• Bonga-Bonga, Lumengo, 2023, "Do trade frictions distort the purchasing power parity (PPP) hypothesis? A closer look," MPRA Paper, University Library of Munich, Germany, number 119196, Nov.
• Kausik, B.N., 2023, "Equity Premium in Efficient Markets," MPRA Paper, University Library of Munich, Germany, number 119278, Nov.
• Liu, Jia & Maheu, John M & Song, Yong, 2023, "Identification and Forecasting of Bull and Bear Markets using Multivariate Returns," MPRA Paper, University Library of Munich, Germany, number 119515.
• Rufai, Aliyu & Udaah, Isaiah & Salisu, Afees, 2023, "Financial stress and exchange rate volatility in Sub-Saharan Africa: Evidence from new datasets," MPRA Paper, University Library of Munich, Germany, number 123573, Dec.
• Roudari, Soheil, 2023, "Risk spillovers between S&P500, green bond, real estate, oil markets and dollar index," MPRA Paper, University Library of Munich, Germany, number 126830, Mar.
• Ruipeng Liu & Mawuli Segnon & Oguzhan Cepni & Rangan Gupta, 2023, "Forecasting Volatility of Commodity, Currency, and Stock Markets: Evidence from Markov Switching Multifractal Models," Working Papers, University of Pretoria, Department of Economics, number 202340, Dec.
• Mercédesz Mészáros & Máté Csiki & Gábor Dávid Kiss, 2023, "The Volatility of Green and Non-green Sovereign Bonds on the Emerging EU Markets," European Financial and Accounting Journal, Prague University of Economics and Business, volume 2023, issue 1, pages 25-44, DOI: 10.18267/j.efaj.279.
• Tianding Zhang & Song Zeng & Jie Li, 2023, "Analysis of Comovement Between China's Commodity Futures and World Crude Oil Prices," Prague Economic Papers, Prague University of Economics and Business, volume 2023, issue 6, pages 659-698, DOI: 10.18267/j.pep.847.
• Caio Almeida & Gustavo Freire & René Garcia & Rodrigo Hizmeri, 2023, "Tail Risk and Asset Prices in the Short-term," Working Papers, Princeton University. Economics Department., number 2023-06, Mar.
• Paulo M.M. Rodrigues & João Nicolau, 2023, "Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics," Working Papers, Banco de Portugal, Economics and Research Department, number w202306.
• Thorsten V. Koeppl & Jeremy M Kronick & James McNeil, 2023, "Using Functional Shocks to Assess Conventional and Unconventional Monetary Policy in Canada," Working Paper, Economics Department, Queen's University, number 1499, Apr.
• 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!," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2023-04, May, DOI: 10.47688/rdp2023-04.
• Melo-Velandia, Luis Fernando & Romero-Chamorro, José Vicente & Ramírez-González, Mahicol Stiben, 2023, "The Global Financial Cycle and Country Risk in Emerging Markets During Stress Episodes: A Copula-CoVaR Approach," Working papers, Red Investigadores de Economía, number 105, May.
• Juri Trifonov, 2023, "Modeling the risk premium in the Russian stock market considering the asymmetry effect," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 71, pages 5-19.
• Konstantin Krinichansky & Maksim Yurevich, 2023, "Finance and growth: Nonlinearity and structural shifts," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 72, pages 5-22.
• Jamilu Said Babangida, 2023, "Nonlinearity in emerging market indices: A comprehensive study of stock exchange market dynamics," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 72, pages 23-37.
• Gizem Vergili & Mehmet Sinan Çelik, 2023, "The Relationship Between the Indices of Volatility (VIX) and Sustainability (DJSEMUP): An ARDL Approach," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 14, issue 1, pages 19-29.
• Georges Dionne & Akouété Fenou & Mohamed Mnasri, 2023, "Consolidation of the US property and casualty insurance industry: Is climate risk a causal factor for mergers and acquisitions?," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 23-1, Feb.
• Elvira A. Rusetskaya & Yana A. Kirileva & Ivan D. Shvarts, 2023, "Essence of credit risk and assessment of customers’ creditworthiness when paying off a car loan," Economic Consultant, Scientific and Educational Initiative LLC, volume 4, issue 4, pages 43-54.
• Alessandro Giovannelli & Marco Lippi & Tommaso Proietti, 2023, "Band-Pass Filtering with High-Dimensional Time Series," CEIS Research Paper, Tor Vergata University, CEIS, number 559, Jun, revised 15 Jun 2023.
• Martien Lamers & Thomas Present & Nicolas Soenen & Rudi Vander Vennet, 2023, "Does BRRD mitigate the bank-to-sovereign risk channel?," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 23/1060, Jan.
• Muneer Shaik, 2023, "The Dynamic Effect of Pandemics on Industrial Production Growth," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 22, issue 4, pages 486-506, December, DOI: 10.1177/09726527231189558.
• Panagiotis Delis & Stavros Degiannakis & Konstantinos Giannopoulos, 2023, "What Should be Taken into Consideration when Forecasting Oil Implied Volatility Index?," The Energy Journal, , volume 44, issue 5, pages 231-250, September, DOI: 10.5547/01956574.44.4.pdel.
• Mohammad Enamul Hoque & Soo-Wah Low & Mohd Azlan Shah Zaidi & Lain-Tze Tee & Noor Azlan Ghazali, 2023, "Asymmetric and Lag Effects of Industry Risk Factors on the Malaysian Oil and Gas Stocks," SAGE Open, , volume 13, issue 3, pages 21582440231, July, DOI: 10.1177/21582440231179444.
• Mohsin Waheed & Zulfiqar Hyder, 2023, "What Explains the Volatility in Pakistan’s Sovereign Bond Yields?," SBP Working Paper Series, State Bank of Pakistan, Research Department, number 112, Apr.
• Daniele Massacci, 2023, "Instability of Factor Strength in Asset Returns," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 685, Oct.
• Karol Szafranek & Michał Rubaszek & Gazi Salah Uddin, 2023, "The role of uncertainty and sentiment for intraday volatility connectedness between oil and financial markets," KAE Working Papers, Warsaw School of Economics, Collegium of Economic Analysis, number 2023-095, Nov.
• Ostap Okhrin & Michael Rockinger & Manuel Schmid, 2023, "Distributional properties of continuous time processes: from CIR to bates," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 107, issue 3, pages 397-419, September, DOI: 10.1007/s10182-022-00459-3.
• Vasyl Golosnoy & Benno Hildebrandt & Steffen Köhler & Wolfgang Schmid & Miriam Isabel Seifert, 2023, "Control charts for measurement error models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 107, issue 4, pages 693-712, December, DOI: 10.1007/s10182-022-00462-8.
• Mohammad Enamul Hoque & Faik Bilgili & Sourav Batabyal, 2023, "What do we know about spillover between the climate change futures market and the carbon futures market?," Climatic Change, Springer, volume 176, issue 12, pages 1-23, December, DOI: 10.1007/s10584-023-03640-y.
• Marcos Escobar-Anel & Lorenz Theilacker & Rudi Zagst, 2023, "Revisiting the 1/N-strategy: a neural network framework for optimal strategies," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 46, issue 2, pages 505-542, December, DOI: 10.1007/s10203-023-00388-z.
• Marcos Escobar-Anel & Lorenz Theilacker & Rudi Zagst, 2023, "Correction: Revisiting the 1/N-strategy: a neural network framework for optimal strategies," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 46, issue 2, pages 543-543, December, DOI: 10.1007/s10203-023-00394-1.
• Huei-Wen Teng & Yu-Hsien Li, 2023, "Can deep neural networks outperform Fama-MacBeth regression and other supervised learning approaches in stock returns prediction with asset-pricing factors?," Digital Finance, Springer, volume 5, issue 1, pages 149-182, March, DOI: 10.1007/s42521-023-00076-y.
• Leonardo Ieracitano Vieira & Márcio Poletti Laurini, 2023, "Time-varying higher moments in Bitcoin," Digital Finance, Springer, volume 5, issue 2, pages 231-260, June, DOI: 10.1007/s42521-022-00072-8.
• Simon Hediger & Jeffrey Näf & Marc S. Paolella & Paweł Polak, 2023, "Heterogeneous tail generalized common factor modeling," Digital Finance, Springer, volume 5, issue 2, pages 389-420, June, DOI: 10.1007/s42521-023-00083-z.
• Jan Patrick Hartkopf, 2023, "Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models," Empirical Economics, Springer, volume 64, issue 1, pages 393-436, January, DOI: 10.1007/s00181-022-02245-1.
• Tak Kuen Siu, 2023, "Bayesian nonlinear expectation for time series modelling and its application to Bitcoin," Empirical Economics, Springer, volume 64, issue 1, pages 505-537, January, DOI: 10.1007/s00181-022-02255-z.
• Jiawen Xu & Yixuan Li & Kai Liu & Tao Chen, 2023, "Portfolio selection: from under-diversification to concentration," Empirical Economics, Springer, volume 64, issue 4, pages 1539-1557, April, DOI: 10.1007/s00181-022-02300-x.
• Farrukh Mahmood & Robert M. Kunst, 2023, "Modeling nonlinear in Bowman’s paradox: the case of Pakistan," Empirical Economics, Springer, volume 64, issue 5, pages 2357-2372, May, DOI: 10.1007/s00181-022-02308-3.
• Emmanuel Joel Aikins Abakah & Aviral Kumar Tiwari & Imhotep Paul Alagidede & Shawkat Hammoudeh, 2023, "Nonlinearity in the causality and systemic risk spillover between the OPEC oil and GCC equity markets: a pre- and post-financial crisis analysis," Empirical Economics, Springer, volume 65, issue 3, pages 1027-1103, September, DOI: 10.1007/s00181-023-02366-1.
• Weijia Peng & Chun Yao, 2023, "Sector-level equity returns predictability with machine learning and market contagion measure," Empirical Economics, Springer, volume 65, issue 4, pages 1761-1798, October, DOI: 10.1007/s00181-023-02404-y.
• Tiago E. Pratas & Filipe R. Ramos & Lihki Rubio, 2023, "Forecasting bitcoin volatility: exploring the potential of deep learning," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 13, issue 2, pages 285-305, June, DOI: 10.1007/s40822-023-00232-0.
• Ahmed Bossman & Mariya Gubareva & Tamara Teplova, 2023, "Economic policy uncertainty, geopolitical risk, market sentiment, and regional stocks: asymmetric analyses of the EU sectors," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 13, issue 3, pages 321-372, December, DOI: 10.1007/s40822-023-00234-y.
• Mohamed Shaker Ahmed & Elie Bouri, 2023, "Long memory and structural breaks of cryptocurrencies trading volume," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 13, issue 3, pages 469-497, December, DOI: 10.1007/s40822-023-00238-8.
• Ahmed BenSaïda, 2023, "The linkage between Bitcoin and foreign exchanges in developed and emerging markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 9, issue 1, pages 1-27, December, DOI: 10.1186/s40854-023-00454-w.
• Roman Mestre, 2023, "Stock profiling using time–frequency-varying systematic risk measure," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 9, issue 1, pages 1-29, December, DOI: 10.1186/s40854-023-00457-7.
• Takashi Kanamura, 2023, "An impact assessment of the COVID-19 pandemic on Japanese and US hotel stocks," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 9, issue 1, pages 1-51, December, DOI: 10.1186/s40854-023-00478-2.
• Deniz Erer & Elif Erer & Selim Güngör, 2023, "The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 9, issue 1, pages 1-25, December, DOI: 10.1186/s40854-023-00484-4.
• James Yae & Yang Luo, 2023, "Robust monitoring machine: a machine learning solution for out-of-sample R $$^2$$ 2 -hacking in return predictability monitoring," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 9, issue 1, pages 1-28, December, DOI: 10.1186/s40854-023-00497-z.
• Tobias Götze & Marc Gürtler & Eileen Witowski, 2023, "Forecasting accuracy of machine learning and linear regression: evidence from the secondary CAT bond market," Journal of Business Economics, Springer, volume 93, issue 9, pages 1629-1660, November, DOI: 10.1007/s11573-023-01138-8.
• Jinan Liu & Apostolos Serletis, 2023, "Volatility and dependence in energy markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 47, issue 1, pages 15-37, March, DOI: 10.1007/s12197-022-09609-4.
• Kingstone Nyakurukwa & Yudhvir Seetharam, 2023, "Higher moment connectedness of cryptocurrencies: a time-frequency approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 47, issue 3, pages 793-814, September, DOI: 10.1007/s12197-023-09627-w.
• Mehmet Sahiner & David G. McMillan & Dimos Kambouroudis, 2023, "Do artificial neural networks provide improved volatility forecasts: Evidence from Asian markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 47, issue 3, pages 723-762, September, DOI: 10.1007/s12197-023-09629-8.
• Javier Sánchez García & Salvador Cruz Rambaud, 2023, "Volatility spillovers between oil and financial markets during economic and financial crises: A dynamic approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 47, issue 4, pages 1018-1040, December, DOI: 10.1007/s12197-023-09634-x.
• M. Raddant & T. Di Matteo, 2023, "A look at financial dependencies by means of econophysics and financial economics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 18, issue 4, pages 701-734, October, DOI: 10.1007/s11403-023-00389-6.
• Zouheir Mighri & Raouf Jaziri, 2023, "Long-Memory, Asymmetry and Fat-Tailed GARCH Models in Value-at-Risk Estimation: Empirical Evidence from the Global Real Estate Markets," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 21, issue 1, pages 41-97, March, DOI: 10.1007/s40953-022-00331-w.
• Arnab Chakrabarti & Rituparna Sen, 2023, "Copula Estimation for Nonsynchronous Financial Data," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, volume 85, issue 1, pages 116-149, May, DOI: 10.1007/s13571-022-00276-3.
• Azza Bejaoui & Wajdi Frikha & Ahmed Jeribi, 2023, "On the dynamic connectedness between the G7 stock market indices and different asset classes: Fresh insights from the COVID-19 pandemic and Russia–Ukraine war," SN Business & Economics, Springer, volume 3, issue 11, pages 1-21, November, DOI: 10.1007/s43546-023-00562-w.
• Takashi Kanamura, 2023, "A difference in COVID-19 impact on bank stocks between Japan and the US," SN Business & Economics, Springer, volume 3, issue 7, pages 1-23, July, DOI: 10.1007/s43546-023-00485-6.
• Antonio Marsi, 2023, "Predicting European stock returns using machine learning," SN Business & Economics, Springer, volume 3, issue 7, pages 1-25, July, DOI: 10.1007/s43546-023-00487-4.
• Clements, Adam & Vasnev, Andrey L., 2023, "Combining simple multivariate HAR-like models for portfolio construction," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number BAWP-2023-03, Nov.
• Martien Lamers & Thomas Present & Nicolas Soenen & Rudi Vander Vennet, 2023, "BRRD credibility and the bank-sovereign nexus," Applied Economics Letters, Taylor & Francis Journals, volume 30, issue 10, pages 1308-1313, June, DOI: 10.1080/13504851.2022.2052007.
• Hoang Nguyen & Trong-Nghia Nguyen & Minh-Ngoc Tran, 2023, "A dynamic leverage stochastic volatility model," Applied Economics Letters, Taylor & Francis Journals, volume 30, issue 1, pages 97-102, January, DOI: 10.1080/13504851.2021.1983127.
• Caio Almeida & Jianqing Fan & Gustavo Freire & Francesca Tang, 2023, "Can a Machine Correct Option Pricing Models?," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 41, issue 3, pages 995-1009, July, DOI: 10.1080/07350015.2022.2099871.
• Caio Almeida & Gustavo Freire & Rafael Azevedo & Kym Ardison, 2023, "Nonparametric Option Pricing with Generalized Entropic Estimators," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 41, issue 4, pages 1173-1187, October, DOI: 10.1080/07350015.2022.2115499.
• Mirko Armillotta & Paolo Gorgi, 2023, "Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 23-054/III, Oct.
• Tshembhani M. HLONGWANE, 2023, "The Spill-Over Effects of Cryptocurrencies on Equity and Bonds Market," Journal of Economics and Financial Analysis, Tripal Publishing House, volume 7, issue 1, pages 43-59, DOI: 10.1991/jefa.v7i1.a58.
• Vesna Bucevska & Borjan Gjelevski & Lea Matevska, 2023, "Oil Prices And Their Long-Term Relationship With Macroeconomic And Financial Indicators," Economic Review: Journal of Economics and Business, University of Tuzla, Faculty of Economics, volume 21, issue 1, pages 3-24, May.
• Tae-Hwy Lee & Ekaterina Seregina, 2023, "Optimal Portfolio Using Factor Graphical Lasso," Working Papers, University of California at Riverside, Department of Economics, number 202302, Mar.
• Szczepocki Piotr, 2023, "Estimation of the Cholesky Multivariate Stochastic Volatility Model Using Iterated Filtering," Econometrics. Advances in Applied Data Analysis, Sciendo, volume 27, issue 4, pages 44-58, December, DOI: 10.15611/eada.2023.4.04.
• Kaczmarek Tomasz & Grobelny Przemysław, 2023, "How to fly to safety without overpaying for the ticket," Economics and Business Review, Sciendo, volume 9, issue 2, pages 160-183, April, DOI: 10.18559/ebr.2023.2.738.
• Reveley Callum & Shanaev Savva & Bin Yu & Panta Humnath & Ghimire Binam, 2023, "Analyst herding—whether, why, and when? Two new tests for herding detection in target forecast prices," Economics and Business Review, Sciendo, volume 9, issue 4, pages 25-55, December, DOI: 10.18559/ebr.2023.4.892.
• Öner Selma & Öner Hakan, 2023, "Symmetric and asymmetric volatility: Forecasting the Borsa Istanbul 100 index return volatility," Financial Internet Quarterly (formerly e-Finanse), Sciendo, volume 19, issue 1, pages 48-56, March, DOI: 10.2478/fiqf-2023-0005.
• Ulu Cagri, 2023, "The dynamic relationship between BTC with BIST and NASDAQ indices," Financial Internet Quarterly (formerly e-Finanse), Sciendo, volume 19, issue 4, pages 113-126, December, DOI: 10.2478/fiqf-2023-0030.
• Kowalski Michał J. & Wang Tong & Kazak Jan K., 2023, "The Impact of Covid-19 Pandemic on Value Migration Processes in the Real Estate Sector," Real Estate Management and Valuation, Sciendo, volume 31, issue 1, pages 10-24, March, DOI: 10.2478/remav-2023-0002.
• Suleiman Ahmad Abubakar & Othman Mahmod & Daud Hanita & Abdullah Mohd Lazim & Kadir Evizal Abdul & Kane Ibrahim Lawal & Husin Abdullah, 2023, "Forecasting the Volatility of Real Residential Property Prices in Malaysia: A Comparison of Garch Models," Real Estate Management and Valuation, Sciendo, volume 31, issue 3, pages 20-31, September, DOI: 10.2478/remav-2023-0018.
• Ciocîrlan Cecilia & Zwak-Cantoriu Maria-Cristina & Stancea Andreea & Plăcintă Dimitrie-Daniel, 2023, "European Macroeconomic Dynamics on Financial Markets and Economic Policy: A Cross Country Study for Spillover Effects," Studia Universitatis Babeș-Bolyai Oeconomica, Sciendo, volume 68, issue 3, pages 40-63, December, DOI: 10.2478/subboec-2023-0014.
• Maudud Hassan Uzzal & Robert Ślepaczuk, 2023, "The performance of time series forecasting based on classical and machine learning methods for S&P 500 index," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2023-05.
• Marcin Chlebus & Artur Nowak, 2023, "From Alchemy to Analytics: Unleashing the Potential of Technical Analysis in Predicting Noble Metal Price Movement," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2023-13.
• Karol Chojnacki & Robert Ślepaczuk, 2023, "This study compares well-known tools of technical analysis (Moving Average Crossover MAC) with Machine Learning based strategies (LSTM and XGBoost) and Ensembled Machine Learning Strategies (LSTM ense," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2023-15.
• Damian Ślusarczyk & Robert Ślepaczuk, 2023, "Optimal Markowitz Portfolio Using Returns Forecasted with Time Series and Machine Learning Models," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2023-17.
• Paweł Jakubowski & Robert Ślepaczuk & Franciszek Windorbski, 2023, "REnsembling ARIMAX Model in Algorithmic Investment Strategies on Commodities Market," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2023-20.
• Jakub Michańków & Paweł Sakowski & Robert Ślepaczuk, 2023, "Mean Absolute Directional Loss as a New Loss Function for Machine Learning Problems in Algorithmic Investment Strategies," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2023-23.
• Jakub Michańków & Paweł Sakowski & Robert Ślepaczuk, 2023, "Hedging Properties of Algorithmic Investment Strategies using Long Short-Term Memory and Time Series models for Equity Indices," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2023-25.
• Sahil Teymurzade & Robert Ślepaczuk, 2023, "Predicting DJIA, NASDAQ and NYSE index prices using ARIMA and VAR models," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2023-27.
• Yoosoon Chang & Ana María Herrera & Elena Pesavento, 2023, "Oil prices uncertainty, endogenous regime switching, and inflation anchoring," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 38, issue 6, pages 820-839, September, DOI: 10.1002/jae.2978.
• Francisca Mendonça Souza & Claudia Aline de Souza Ramser & Adriano Mendonça Souza & Claudimar Pereira da Veiga, 2023, "Spillover Effects in the Presence of Structural Breaks, Persistence and Conditioned Heteroscedasticity," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 18, issue 02, pages 1-51, June, DOI: 10.1142/S2010495222500348.
• Ali Matar, 2023, "The Co-Movement between Emerging Stock Markets Using DCC-GARCH Model: Evidence from GCC and Amman Stock Exchange," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 18, issue 04, pages 1-35, December, DOI: 10.1142/S2010495223500112.
• Vincenzo Pacelli & Francesca Pampurini & Anna Grazia Quaranta, 2023, "Analyzing Banks’ Performance During The Recent Breakdowns. What Were The Main Drivers?," Journal of Financial Management, Markets and Institutions (JFMMI), World Scientific Publishing Co. Pte. Ltd., volume 11, issue 02, pages 1-16, December, DOI: 10.1142/S2282717X23500081.
• Jie Jay Cao & Aurelio Vasquez & Xiao Xiao & Xintong Eunice Zhan, 2023, "Why Does Volatility Uncertainty Predict Equity Option Returns?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 13, issue 01, pages 1-35, March, DOI: 10.1142/S2010139223500052.
• Fabian Hollstein & Marcel Prokopczuk & Victoria Voigts, 2023, "How Robust are Empirical Factor Models to the Choice of Breakpoints?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 13, issue 04, pages 1-68, December, DOI: 10.1142/S2010139223500118.
• Rasha Abdulkarim & Rajesh Mohnot & Abdulkarim Dahan, 2023, "Short- and Long-Run Effects of Forex Volatility on International Trade– A Case of Middle Eastern Country," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., volume 26, issue 04, pages 1-37, December, DOI: 10.1142/S0219091523500261.
• Jin Seo Cho & Matthew Greenwood-Nimmo & Yongcheol Shin, 2023, "The Asymmetric Response of Dividends to Earnings News," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2023rwp-210, Mar.
• Faria, Gonçalo & Verona, Fabio, 2023, "Forecast combination in the frequency domain," Bank of Finland Research Discussion Papers, Bank of Finland, number 1/2023.
• Simon, Frederik & Weibels, Sebastian & Zimmermann, Tom, 2025, "Deep parametric portfolio policies," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 23-01, revised 2025.
• Frank, Johannes, 2023, "Forecasting realized volatility in turbulent times using temporal fusion transformers," FAU Discussion Papers in Economics, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics, number 03/2023.
• Lavko, Matus & Klein, Tony & Walther, Thomas, 2023, "Reinforcement Learning and Portfolio Allocation: Challenging Traditional Allocation Methods," QBS Working Paper Series, Queen's University Belfast, Queen's Business School, number 2023/01, DOI: 10.2139/ssrn.4346043.
• Costola, Michele & Iacopini, Matteo & Wichers, Casper, 2023, "Bayesian SAR model with stochastic volatility and multiple time-varying weights," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 407, DOI: 10.2139/ssrn.4620913.
• Bagnara, Matteo & Goodarzi, Milad, 2023, "Clustering-based sector investing," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 397.
• Gianluca De Nard & Robert F. Engle & Bryan Kelly, 2023, "Factor mimicking portfolios for climate risk," ECON - Working Papers, Department of Economics - University of Zurich, number 429, Mar, revised Mar 2024.

2022

• Saker Sabkha & Christian de Peretti, 2022, "On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market," Post-Print, HAL, number hal-01710398, Jan, DOI: 10.1142/9781786349507_0008.
• Mohamed Chikhi & Claude Diebolt, 2022, "Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation," Post-Print, HAL, number hal-03778331, DOI: 10.47743/ejes-2022-0111.
• Refk Selmi & Shawkat Hammoudeh & Mark Wohar, 2022, "What drives most jumps in global crude oil prices? Fundamental shortage conditions, Cartel, geopolitics or the behavior of market financial participants," Post-Print, HAL, number hal-03793866, Aug.
• Rabeh Khalfaoui & Sakiru Adebola Solarin & Adel Al-Qadasi & Sami Ben Jabeur, 2022, "Dynamic causality interplay from COVID-19 pandemic to oil price, stock market, and economic policy uncertainty: evidence from oil-importing and oil-exporting countries," Post-Print, HAL, number hal-03797569, Jun, DOI: 10.1007/s10479-021-04446-w.
• Christian Gourieroux & Alain Monfort & Jean-Paul Renne, 2022, "Required Capital for Long-Run Risks," Post-Print, HAL, number hal-03865173, Nov, DOI: 10.1016/j.jedc.2022.104502.
• S.K.A. Rizvi & B. Naqvi & S. Boubaker & N. Mirza, 2022, "The Power Play of Natural Gas and Crude Oil in the Move towards the Financialization of the Energy Market," Post-Print, HAL, number hal-04452678, DOI: 10.1016/j.eneco.2022.106131.
• Nguyen, Hoang & Virbickaite, Audrone, 2022, "Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models," Working Papers, Örebro University, School of Business, number 2022:5, May.
• Carbone, Sante & Giuzio, Margherita & Kapadia, Sujit & Krämer, Johannes Sebastian & Nyholm, Ken & Vozian, Katia, 2022, "The low-carbon transition, climate commitments and firm credit risk," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 409, Jan.
• Bianchi, Daniele & Babiak, Mykola & Dickerson, Alexander, 2022, "Trading volume and liquidity provision in cryptocurrency markets," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 413, May.
• Juri Trifonov & Potanin Trifonov, 2022, "Semi-Nonparametric Generalized Autoregressive Conditional Heteroscedasticity Model with Application to Bitcoin Volatility Estimation," HSE Economic Journal, National Research University Higher School of Economics, volume 26, issue 4, pages 623-646.
• Watanabe, Toshiaki & Nakajima, Jouchi, 2022, "Realized Volatility: Survey with Application to Nikkei 225 Stock Index," Economic Review, Hitotsubashi University, volume 73, issue 3, pages 254-280, July, DOI: 10.15057/74220.
• Syed Aun R. Rizvi & Mohsin Ali, 2022, "Do Islamic Cryptocurrencies Provide Diversification Opportunities To Indonesian Islamic Investors?," Journal of Islamic Monetary Economics and Finance, Bank Indonesia, volume 8, issue 3, pages 441-454, August, DOI: https://doi.org/10.21098/jimf.v8i3..
• Meinisa Fadillah Rahmi & Nasrudin, 2022, "The Effect Of Covid-19 Pandemic On The Risks Of Investments In Indonesia: Evidence From The Egarch Model," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 25, issue 4, pages 673-688, January, DOI: https://doi.org/10.21098/bemp.v25i4.
• Retno Subekti & Abdurakhman Abdurakhman & Dedi Rosadi, 2022, "Can Zakat And Purification Be Employed In Portfolio Modelling?," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 8, issue Special I, pages 1-16, December, DOI: https://doi.org/10.21098/jimf.v8i0..
• Karishma Ansaram & Paolo Mazza, 2022, "Dependence structure among carbon markets around the world: New evidence from GARCH-copula analysis," Working Papers, IESEG School of Management, number 2022-ACF-03, Feb.
• Lianet Farfán Pérez & Jorge O. Moreno & Maria de las Mercedes Adamuz, 2022, "Madurez de la deuda corporativa como variable de tiempo: evidencia de las empresas públicas de México," 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 17, issue 3, pages 1-34, Julio - S.
• Jesús Dacio Villarreal Samaniego & Roberto Joaquín Santillán-Salgado & Luis Jacob Escobar Saldivar, 2022, "The Global Automotive Industry Stock Returns During the COVID-19 Pandemic," 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 17, issue 4, pages 1-21, Octubre -.
• Oscar Claveria & Enric Monte & Petar Soric & Salvador Torra, 2022, ""An application of deep learning for exchange rate forecasting"," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 202201, Jan, revised Jan 2022.
• Selma Öner & Hakan Öner & Hande Kılıç Satıcı, 2022, "Spillover Effects of Stock Markets in the COVID-19 Pandemic Period: Evidence From Central and East European Countries," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, volume 72, issue 72-1, pages 211-238, June, DOI: 10.26650/ISTJECON2021-994570.
• Kadir Tuna, 2022, "The Effects of Volatilities in Oil Price, Gold Price and VIX Index on Turkish BIST 100 Stock Index in Pandemic Period," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, volume 72, issue 72-1, pages 39-54, June, DOI: 10.26650/ISTJECON2021-1034794.
• Albert Wijeweera, 2022, "The Impacts of Terrorist Events on Stock Market Volatility," Journal of Developing Areas, Tennessee State University, College of Business, volume 56, issue 1, pages 143-155, January-M.
• Mohamed CHIKHI & Claude DIEBOLT, 2022, "Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, volume 13, pages 228-253, June, DOI: https://doi.org/10.47743/ejes-2022-.
• Ojea-Ferreiro, Javier & Reboredo, Juan C. & Ugolini, Andrea, 2022, "The impact of climate transition risks on financial stability. A systemic risk approach," JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission, number 2022-01, Jan.
• Caporin, Massimiliano & Fontini, Fulvio & Panzica, Roberto, 2022, "The systemic risk of US oil and natural gas companies," JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission, number 2022-11, Jul.
• William Barnett & Kun He & Jingtong He, 2022, "Consumption Loan Augmented Divisia Monetary Index and China Monetary Aggregation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202217, Nov.
• Thomas A. Severini, 2022, "Some properties of portfolios constructed from principal components of asset returns," Annals of Finance, Springer, volume 18, issue 4, pages 457-483, December, DOI: 10.1007/s10436-022-00412-z.
• Thomas Lux, 2022, "Bayesian Estimation of Agent-Based Models via Adaptive Particle Markov Chain Monte Carlo," Computational Economics, Springer;Society for Computational Economics, volume 60, issue 2, pages 451-477, August, DOI: 10.1007/s10614-021-10155-0.
• Muhammad Niaz Khan & Suzanne G. M. Fifield & Nongnuch Tantisantiwong & David M. Power, 2022, "Changes in co-movement and risk transmission between South Asian stock markets amidst the development of regional co-operation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 36, issue 1, pages 87-117, March, DOI: 10.1007/s11408-021-00386-4.
• Michael Wickens, 2022, "Forward Interest Rates as Predictors of Future US Spot Rates Before and After the 2008 Financial Crisis," Open Economies Review, Springer, volume 33, issue 3, pages 391-406, July, DOI: 10.1007/s11079-021-09637-3.
• Bruno Deschamps & Tianlun Fei & Ying Jiang & Xiaoquan Liu, 2022, "Procyclical volatility in Chinese stock markets," Review of Quantitative Finance and Accounting, Springer, volume 58, issue 3, pages 1117-1144, April, DOI: 10.1007/s11156-021-01020-0.
• Nina Tessler & Itzhak Venezia, 2022, "A multicountry measure of comovement and contagion in international markets: definition and applications," Review of Quantitative Finance and Accounting, Springer, volume 58, issue 4, pages 1307-1330, May, DOI: 10.1007/s11156-021-01025-9.
• Chih-Nan Chen & Chien-Hsiu Lin, 2022, "Optimal carry trade portfolio choice under regime shifts," Review of Quantitative Finance and Accounting, Springer, volume 59, issue 2, pages 483-506, August, DOI: 10.1007/s11156-022-01047-x.
• Panayiotis Theodossiou & Polina Ellina & Christos S. Savva, 2022, "Stochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components," Review of Quantitative Finance and Accounting, Springer, volume 59, issue 2, pages 695-716, August, DOI: 10.1007/s11156-022-01055-x.
• Miriam Sosa & Christian Bucio & Edgar Ortiz Calisto, 2022, "Dynamic Stock Dependence and Monetary Variables in the United States (2000- 2016) - A Copula and Neural Network Approach," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 96, pages 201-234, January-J, DOI: 10.17533/udea.le.n96a345321.
• Katalin Botos, 2022, "What Can Posterity Learn from Irving Fisher?," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), volume 21, issue 2, pages 175-187.
• Laszlo Szepesvary, 2022, "Effect of the Yield Level, the Inflation Environment and the Pandemic on the Lapse Rates of Life Insurances," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), volume 21, issue 3, pages 44-72.
• Yacine Aït-Sahalia & Jianqing Fan & Lirong Xue & Yifeng Zhou, 2022, "How and When are High-Frequency Stock Returns Predictable?," NBER Working Papers, National Bureau of Economic Research, Inc, number 30366, Aug.
• Joachim Freyberger & Björn Höppner & Andreas Neuhierl & Michael Weber, 2022, "Missing Data in Asset Pricing Panels," NBER Working Papers, National Bureau of Economic Research, Inc, number 30761, Dec.
• Ivo Welch, 2022, "Simply Better Market Betas," Critical Finance Review, now publishers, volume 11, issue 1, pages 37-64, February, DOI: 10.1561/104.00000108.
• Andrey Zahariev & Petko Angelov & Silvia Zarkova, 2022, "Estimation of Bank Profitability Using Vector Error Correction Model and Support Vector Regression," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 157-170, June.
• Yannick Hoga, 2022, "Limit Theory for Forecasts of Extreme Distortion Risk Measures and Expectiles
  [Coherent Measures of Risk]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 1, pages 18-44.
• Olivier Ledoit & Michael Wolf, 2022, "The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation
  [Design-Free Estimation of Variance Matrices]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 1, pages 187-218.
• Fang Duan & Hans Manner & Dominik Wied, 2022, "Model and Moment Selection in Factor Copula Models
  [Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 1, pages 45-75.
• Diaa Noureldin, 2022, "Volatility Prediction Using a Realized-Measure-Based Component Model
  [Modelling Volatility by Variance Decomposition]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 1, pages 76-104.
• Tim Bollerslev, 2022, "Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal
  [Vulnerable Growth]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 2, pages 219-252.
• Yuting Gong & Ruijun Bu & Qiang Chen, 2022, "What Affects the Relationship Between Oil Prices and the U.S. Stock Market? A Mixed-Data Sampling Copula Approach
  [Risks and Portfolio Decisions Involving Hedge Funds]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 2, pages 253-277.
• Genaro Sucarrat & Steffen Grønneberg, 2022, "Risk Estimation with a Time-Varying Probability of Zero Returns
  [On the Coherence of Expected Shortfall]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 2, pages 278-309.
• Lily Y Liu, 2022, "Estimating Loss Given Default from CDS under Weak Identification
  [Estimation and Inference with Weak, Semi-Strong, and Strong Identification]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 2, pages 310-344.
• Sebastian Bayer & Timo Dimitriadis, 2022, "Regression-Based Expected Shortfall Backtesting
  [Backtesting Expected Shortfall]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 3, pages 437-471.
• Rogier Quaedvlieg & Peter Schotman, 2022, "Hedging Long-Term Liabilities
  [Pricing the Term Structure with Linear Regressions]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 3, pages 505-538.
• Gianluca De Nard, 2022, "Oops! I Shrunk the Sample Covariance Matrix Again: Blockbuster Meets Shrinkage
  [Eigenvalue Ratio Test for the Number of Factors]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 4, pages 569-611.
• Yushuang Jiang & Emese Lazar, 2022, "Forecasting VIX Using Filtered Historical Simulation
  [A GARCH Option Pricing Model with Filtered Historical Simulation]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 4, pages 655-680.
• Soosung Hwang & Alexandre Rubesam, 2022, "Bayesian Selection of Asset Pricing Factors Using Individual Stocks
  [Bayesian Variable Selection for the Seemingly Unrelated Regression Model with a Large Number of Predictors]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 4, pages 716-761.
• Lynda Khalaf & Arturo Leccadito & Giovanni Urga, 2022, "Multilevel and Tail Risk Management
  [Backtesting Expected Shortfall]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 5, pages 839-874.
• Mikkel Bennedsen & Asger Lunde & Mikko S Pakkanen, 2022, "Decoupling the Short- and Long-Term Behavior of Stochastic Volatility
  [Multifactor Approximation of Rough Volatility Models]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 5, pages 961-1006.
• Cristian Dogar, 2022, "Assessing European Social Fund efficiency in Romania, A Linear Regression Model," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 224-229, September.
• Guellil, Mohammed Seghir & Sari-Hassoun, Salah Eddine & Chica-Olmo, Jorge & Saraç, Mehmet, 2022, "What are the main factors driving behind the MENA countries current account deficit? A panel logit approach analysis
  [¿Cuáles son los principales factores que impulsan el déficit de cuenta corrient," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 33, issue 1, pages 134-153, June, DOI: https://doi.org/10.46661/revmetodos.
• Adlane Haffar & Éric Le Fur, 2022, "Dependence structure of CAT bonds and portfolio diversification: a copula-GARCH approach," Journal of Asset Management, Palgrave Macmillan, volume 23, issue 4, pages 297-309, July, DOI: 10.1057/s41260-022-00271-3.
• Philippe Dupuy & Jean-Charles Garibal, 2022, "Cross-dispersion bias-adjusted ESG rankings," Journal of Asset Management, Palgrave Macmillan, volume 23, issue 7, pages 631-643, December, DOI: 10.1057/s41260-022-00293-x.
• Abdessamad Ouchen, 2022, "Is the ESG portfolio less turbulent than a market benchmark portfolio?," Risk Management, Palgrave Macmillan, volume 24, issue 1, pages 1-33, March, DOI: 10.1057/s41283-021-00077-4.
• Pablo Pincheira Brown, 2022, "A Power Booster Factor for Out-of-Sample Tests of Predictability," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, volume 45, issue 89, pages 150-183.
• Ebenezer Boateng & Emmanuel Asafo-Adjei & John Gartchie Gatsi & ªtefan Cristian Gherghina & Liliana Nicoleta Simionescu, 2022, "Multifrequency-based non-linear approach to analyzing implied volatility transmission across global financial markets," Oeconomia Copernicana, Institute of Economic Research, volume 13, issue 3, pages 699-743, September, DOI: 10.24136/oc.2022.021.
• G.K., Chetan Kumar & K.B., Rangappa & S., Suchitra, 2022, "Analyzing the Impact of Companies’ Investment on Skill Upgradation in Improving their Resilience amidst COVID-19," MPRA Paper, University Library of Munich, Germany, number 112425.
• Naimoli, Antonio, 2022, "The information content of sentiment indices for forecasting Value at Risk and Expected Shortfall in equity markets," MPRA Paper, University Library of Munich, Germany, number 112588, Mar.
• Li, Chenxing, 2022, "A multivariate GARCH model with an infinite hidden Markov mixture," MPRA Paper, University Library of Munich, Germany, number 112792, Mar.
• Olkhov, Victor, 2022, "The Market-Based Asset Price Probability," MPRA Paper, University Library of Munich, Germany, number 113096, May.