Research classified by Journal of Economic Literature (JEL) codes

2023

• 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 ensembled with XGBoost and MAC). All models were compa," 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

• Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022, "A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model," Econometrics, MDPI, volume 10, issue 3, pages 1-41, August.
• Daniel Felix Ahelegbey, 2022, "Statistical Modelling of Downside Risk Spillovers," FinTech, MDPI, volume 1, issue 2, pages 1-10, April.
• Lumengo Bonga-Bonga & Sefora Motena Rangoanana, 2022, "Carry Trade and Capital Market Returns in South Africa," JRFM, MDPI, volume 15, issue 11, pages 1-13, October.
• Dean Fantazzini, 2022, "Crypto-Coins and Credit Risk: Modelling and Forecasting Their Probability of Death," JRFM, MDPI, volume 15, issue 7, pages 1-34, July.
• 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 corriente de los países MENA? Un análisis de enfoque de pa," 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.
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• 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.
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• Salles, Andre Assis de & Maria Eduarda, Silva & Paulo, Teles, 2022, "Empirical Evidence of Associations and Similarities between the National Equity Markets Indexes and Crude Oil Prices in the International Market," MPRA Paper, University Library of Munich, Germany, number 113589, Jan.
• Fantazzini, Dean, 2022, "Crypto Coins and Credit Risk: Modelling and Forecasting their Probability of Death," MPRA Paper, University Library of Munich, Germany, number 113744.
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• Yang, Bill Huajian, 2022, "Modeling Path-Dependent State Transition by a Recurrent Neural Network," MPRA Paper, University Library of Munich, Germany, number 114188, Aug, revised 18 Jul 2022.
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• Fantazzini, Dean & Kurbatskii, Alexey & Mironenkov, Alexey & Lycheva, Maria, 2022, "Forecasting oil prices with penalized regressions, variance risk premia and Google data," MPRA Paper, University Library of Munich, Germany, number 118239.
• Mawuli Segnon & Rangan Gupta & Bernd Wilfling, 2022, "Forecasting Stock Market Volatility with Regime-Switching GARCH-MIDAS: The Role of Geopolitical Risks," Working Papers, University of Pretoria, Department of Economics, number 202203, Jan.
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• Yakup Arı, 2022, "USD/TRY and foreign banks in Turkey: Evidence by TVP-VAR," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 67, pages 5-26.
• Maria Lycheva & Alexey Mironenkov & Alexey Kurbatskii & Dean Fantazzini, 2022, "Forecasting oil prices with penalized regressions, variance risk premia and Google data," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 68, pages 28-49.
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• Muhammad Ateeq ur REHMAN & Furman ALI & Shang XIE, 2022, "Impact of Foreign Investment News on the Return, Cost of Equity and Cash Flow Activities," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 112-127, December.
• Dragos HURU & Ioana MANAFI & Ionut PANDELICA & Marilena Carmen UZLAU, 2022, "Nonlinear Dependencies between Green Bonds and General Financial Market Indices," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 169-181, December.
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• Daitri Tiwary & Khanindra Ch. Das & Jagdish Shettigar & Pooja Misra, 2022, "Exchange Rate Volatility and Financial Stress: Evidence from Developing Asia," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 21, issue 4, pages 355-384, December, DOI: 10.1177/09726527221078634.
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• Gabriela Brendea & Fanuta Pop & Loredana Mihalca, 2022, "Capital Structure and Firm Performance: The Case of Central and Eastern European Economies," Journal of Economics / Ekonomicky casopis, Institute of Economic Research, Slovak Academy of Sciences, volume 70, issue 5, pages 430-449, May.
• Zdravka Aljinoviæ & Tea Šestanoviæ & Blanka Škrabiæ Periæ, 2022, "A New Evidence of the Relationship between Cryptocurrencies and other Assets from the COVID-19 Crisis," Journal of Economics / Ekonomicky casopis, Institute of Economic Research, Slovak Academy of Sciences, volume 70, issue 7-8, pages 603-621, July.
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• Hiroyuki Kawakatsu, 2022, "Local projection variance impulse response," Empirical Economics, Springer, volume 62, issue 3, pages 1219-1244, March, DOI: 10.1007/s00181-021-02063-x.
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• David De Villiers & Andrew Phiri, 2022, "Towards resolving the purchasing power parity (PPP) ‘Puzzle’ in newly industrialized countries (NIC’s)," The Journal of International Trade & Economic Development, Taylor & Francis Journals, volume 31, issue 2, pages 161-180, February, DOI: 10.1080/09638199.2021.1964581.
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• Erik Kole & Dick van Dijk, 2022, "Moments, Shocks and Spillovers in Markov-switching VAR Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-080/III, Apr, revised 11 Jan 2022.
• Jean-Claude Hessing & Rutger-Jan Lange & Daniel Ralph, 2022, "This article establishes the Poisson optional stopping times (POST) method by Lange et al. (2020) as a near-universal method for solving liquidity-constrained American options, or, equivalently, penalised optimal-stopping problems. In this setup, the," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 22-007/IV, Jan.
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• Goran Mojanoski, 2022, "Long-Run And Short-Run Causality Between Stock Price Indices And Macroeconomic Variables: Evidence Of Panel Vecm Analysis From Bosnia And Herzegovina, Croatia, North Macedonia And Serbia," Economic Review: Journal of Economics and Business, University of Tuzla, Faculty of Economics, volume 20, issue 2, pages 3-14, November.
• Beatriz de la Flor & Javier Ojea-Ferreiro & Eva Ferreira, 2022, "The Hedging Cost of Forgetting the Exchange Rate," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2022-01.