Research classified by Journal of Economic Literature (JEL) codes

2023

• Fredy Gamboa-Estrada, 2023, "The Role of Foreign Investors and Local Agents in the Derivatives Market and their Impact on the Exchange Rate in Colombia: A Wavelet Analysis," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 12-2023, Aug.
• John B. Guerard & Dimitrios D. Thomakos & Foteini Kyriazi & Konstantinos Mamais, 2023, "On the Predictability of the DJIA and S&P500 Indices," Working Papers, The George Washington University, The Center for Economic Research, number 2023-001, Jan.
• Rabeh Khalfaoui & Salma Mefteh-Wali & Buhari Dogan & Sudeshna Ghosh, 2023, "Extreme spillover effect of COVID-19 pandemic-related news and cryptocurrencies on green bond markets: A quantile connectedness analysis," Post-Print, HAL, number hal-03998228, Mar, DOI: 10.1016/j.irfa.2023.102496.
• Roman Mestre, 2023, "Stock profiling using time–frequency-varying systematic risk measure," Post-Print, HAL, number hal-04058285, Dec, DOI: 10.1186/s40854-023-00457-7.
• F. Blasques & Christian Francq & Sébastien Laurent, 2023, "Quasi score-driven models," Post-Print, HAL, number hal-04069143, May, DOI: 10.1016/j.jeconom.2021.12.005.
• Georgios Bampinas & Theodore Panagiotidis & Panagiotis Politsidis, 2023, "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Post-Print, HAL, number hal-04164277, Jul, DOI: 10.1016/j.jimonfin.2023.102902.
• Luc Bauwens & Guillaume Chevillon & Sébastien Laurent, 2023, "We modeled long memory with just one lag!," Post-Print, HAL, number hal-04185755, Sep, DOI: 10.1016/j.jeconom.2023.04.010.
• Fabien Clive Ntonga Efoua & Etienne Inédit Blaise Tsomb Tsomb, 2023, "Commodity Shocks and External Currency Stability : An Empirical Evidence from CEMAC
  [Chocs sur les produits de base et stabilité externe de la monnaie : une évidence empirique en CEMAC]," Post-Print, HAL, number hal-04273963, Oct.
• H. Rad & R. Low & J. Miffre & R. Faff, 2023, "The commodity risk premium and neural networks," Post-Print, HAL, number hal-04322519, Dec, DOI: 10.1016/j.jempfin.2023.101433.
• Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2023, "A penalized two-pass regression to predict stock returns with time-varying risk premia," Post-Print, HAL, number hal-04325655, Dec, DOI: 10.1016/j.jeconom.2022.12.004.
• Christian Francq & Jean-Michel Zakoïan, 2023, "Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models," Post-Print, HAL, number hal-05417201, Dec, DOI: 10.1093/jjfinec/nbac011.
• F. Blasques & Christian Francq & Sébastien Laurent, 2023, "Quasi score-driven models," Post-Print, HAL, number hal-05417225, May, DOI: 10.1016/j.jeconom.2021.12.005.
• Abdelhakim Aknouche & Christian Francq, 2023, "Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models," Post-Print, HAL, number hal-05417229, Dec, DOI: 10.1016/j.jeconom.2021.09.002.
• Virbickaite, Audrone & Nguyen, Hoang & Tran, Minh-Ngoc, 2023, "Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models," Working Papers, Örebro University, School of Business, number 2023:7, Apr.
• Artem Aganin & Vyacheslav Manevich & Anatoly Peresetsky & Polina Pogorelova, 2023, "Comparison of Cryptocurrency and Stock Market Volatility Forecast Models," HSE Economic Journal, National Research University Higher School of Economics, volume 27, issue 1, pages 49-77.
• Vladimir Sviyazov, 2023, "Is There a Weekend Effect? Russian Stock Market Research Based on Fuzzy Systems," HSE Economic Journal, National Research University Higher School of Economics, volume 27, issue 3, pages 412-434.
• Watanabe, Toshiaki & Nakajima, Jouchi, 2023, "High-frequency realized stochastic volatility model," Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University, number HIAS-E-127, Jan.
• Bayu Adi Nugroho & Dewi Fiscalina Kusumawardhani, 2023, "Optimal Hedge Ratio Of Sukuk And Islamic Equity: A Novel Approach," Journal of Islamic Monetary Economics and Finance, Bank Indonesia, volume 9, issue 4, pages 685-724, December, DOI: https://doi.org/10.21098/jimf.v9i4..
• Justyna Klejdysz & Robin L. Lumsdaine, 2023, "Shifts in ECB Communication: A Textual Analysis of the Press Conference," International Journal of Central Banking, International Journal of Central Banking, volume 19, issue 2, pages 473-542, June.
• Yoosoon Chang & Ana Maria Herrera & Elena Pesavento, 2023, "Oil Prices Uncertainty, Endogenous Regime Switching, and Inflation Anchoring," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2023-002 Classification-C, Feb.
• Hilde C. Bjornland & Yoosoon Chang & Jamie L. Cross, 2024, "Oil and the Stock Market Revisited: A Mixed Functional VAR Approach," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2023-005 Classification-1, Jul.
• Veysel Karagol, 2023, "How Vulnerable is the Turkish Stock Market to the Credit Default Swap? Evidence from the Markov Switching GARCH Model," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, volume 73, issue 73-1, pages 513-531, June, DOI: 10.26650/ISTJECON2022-1223833.
• Bukre Yildirim Kulekci & Gulden Poyraz & Ismail Gur & Ozan Evkaya, 2023, "Dependence Analysis of the ISE100 Banking Sector Using Vine Copula," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, volume 73, issue 73-1, pages 55-81, June, DOI: 10.26650/ISTJECON2022-1229039.
• Elias A. Udeaja & Kazeem O. Isah & Ganiyu K. Sanni, 2023, "The Interdependence of Financial Markets in Turbulent Periods: A Comparative Analysis of the China–US Cases," Journal of Developing Areas, Tennessee State University, College of Business, volume 57, issue 4, pages 335-349, October-D.
• Odunayo Femi Ogunsanwo & Iyabode Abisola Adelugba & Alani Olusegun Efuntade & Matthew Olatunde Ajoloko, 2023, "Effects of Financial Market Intermediation on Economic Growth in Nigeria," Journal of Developing Areas, Tennessee State University, College of Business, volume 57, issue 2, pages 51-64, April–J.
• Zongwu Cai & Hongwei Mei & Rui Wang, 2023, "A Model Specification Test for Nonlinear Stochastic Diffusions with Delay," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202301, Jan, revised Jan 2023.
• Wolfgang Schadner & Sebastian Lang, 2023, "The value of expected return persistence," Annals of Finance, Springer, volume 19, issue 4, pages 449-476, December, DOI: 10.1007/s10436-023-00428-z.
• Jan Matas & Jan Pospíšil, 2023, "Robustness and sensitivity analyses of rough Volterra stochastic volatility models," Annals of Finance, Springer, volume 19, issue 4, pages 523-543, December, DOI: 10.1007/s10436-023-00433-2.
• Hema Divya Kantamaneni & Vasudeva Reddy Asi, 2023, "Market Efficiency of Commodity Derivatives with Reference to Nonagricultural Commodities," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 30, issue 1, pages 247-258, March, DOI: 10.1007/s10690-023-09400-3.
• Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2023, "A Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting," Computational Economics, Springer;Society for Computational Economics, volume 62, issue 4, pages 1801-1843, December, DOI: 10.1007/s10614-022-10320-z.
• Tamara Teplova & Mikova Evgeniia & Qaiser Munir & Nataliya Pivnitskaya, 2023, "Black-Litterman model with copula-based views in mean-CVaR portfolio optimization framework with weight constraints," Economic Change and Restructuring, Springer, volume 56, issue 1, pages 515-535, February, DOI: 10.1007/s10644-022-09435-y.
• Vaishali S. Dhingra, 2023, "Financial development, economic growth, globalisation and environmental quality in BRICS economies: evidence from ARDL bounds test approach," Economic Change and Restructuring, Springer, volume 56, issue 3, pages 1651-1682, June, DOI: 10.1007/s10644-022-09481-6.
• Mehmet Ulug & Sayım Işık & Mehmet Mert, 2023, "The effectiveness of ultra-loose monetary policy in a high inflation economy: a time-varying causality analysis for Turkey," Economic Change and Restructuring, Springer, volume 56, issue 4, pages 2855-2887, August, DOI: 10.1007/s10644-023-09535-3.
• Manuel Monjas & María Rocamora & Nuria Suárez, 2023, "Determinants of bail-in debt yields in the EU banking sector: a multi-country approach with idiosyncratic factors," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 50, issue 4, pages 1055-1095, November, DOI: 10.1007/s10663-023-09586-9.
• Adlane Haffar & Éric Le Fur & Mohamed Khordj, 2023, "Securitization of pandemic risk by using coronabond," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 37, issue 2, pages 209-229, June, DOI: 10.1007/s11408-023-00425-2.
• Michel Ferreira Cardia Haddad & Szabolcs Blazsek & Philip Arestis & Franz Fuerst & Hsia Hua Sheng, 2023, "The two-component Beta-t-QVAR-M-lev: a new forecasting model," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 37, issue 4, pages 379-401, December, DOI: 10.1007/s11408-023-00431-4.
• Sunil K. Mohanty & Stein Frydenberg & Petter Osmundsen & Sjur Westgaard & Christian Skjøld, 2023, "Risk factors in stock returns of U.S. oil and gas companies: evidence from quantile regression analysis," Review of Quantitative Finance and Accounting, Springer, volume 60, issue 2, pages 715-746, February, DOI: 10.1007/s11156-022-01107-2.
• Jeffrey R. Stokes, 2023, "A nonlinear inversion procedure for modeling the effects of economic factors on credit risk migration," Review of Quantitative Finance and Accounting, Springer, volume 61, issue 3, pages 855-878, October, DOI: 10.1007/s11156-023-01170-3.
• Sofia B. Ramosa & Abderrahim Taamouti & Helena Veiga, 2023, "Investigating the impact of consumption distribution on CRRA estimation: QuantileCCAPM-based approach," Working Papers, University of Liverpool, Department of Economics, number 202309.
• Peter Albrecht, 2023, "Spillover effects between commodities and the Australian dollar," MENDELU Working Papers in Business and Economics, Mendel University in Brno, Faculty of Business and Economics, number 2023-88, Mar.
• Andrea Cipollini & Fabio Parla, 2023, "Climate risk and investment in equities in Europe: a Panel SVAR approach," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0093, Sep.
• Galati, Luca, 2023, "Boosting Exchange's Market Share: The Impact of No-Fee Trading on Market Quality," Economics & Statistics Discussion Papers, University of Molise, Department of Economics, number esdp23091, Oct.
• Chaya Weerasinghe & Ruben Loaiza-Maya & Gael M. Martin & David T. Frazier, 2023, "ABC-based Forecasting in State Space Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 12/23.
• Magdalena Kozińska, 2023, "Zarządzanie kryzysowe w sektorze ubezpieczeniowym – o upadłości i resolution ubezpieczycieli w Polsce," Bank i Kredyt, Narodowy Bank Polski, volume 54, issue 6, pages 673-696.
• Bryan T. Kelly & Dacheng Xiu, 2023, "Financial Machine Learning," NBER Working Papers, National Bureau of Economic Research, Inc, number 31502, Jul.
• Turan G. Bali & Bryan T. Kelly & Mathis Mörke & Jamil Rahman, 2023, "Machine Forecast Disagreement," NBER Working Papers, National Bureau of Economic Research, Inc, number 31583, Aug.
• Antoine Didisheim & Shikun (Barry) Ke & Bryan T. Kelly & Semyon Malamud, 2023, "Complexity in Factor Pricing Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 31689, Sep.
• Bryan T. Kelly & Semyon Malamud & Mohammad Pourmohammadi & Fabio Trojani, 2023, "Universal Portfolio Shrinkage," NBER Working Papers, National Bureau of Economic Research, Inc, number 32004, Dec.
• Roberto Leon-Gonzalez & Blessings Majoni, 2023, "Exact Likelihood for Inverse Gamma Stochastic Volatility Models," GRIPS Discussion Papers, National Graduate Institute for Policy Studies, number 23-07, Jun.
• Veselin Mitev, 2023, "Dynamic Deterministic Factor Analysis Using the Averaged Chain Substitution Method," Ikonomiceski i Sotsialni Alternativi, University of National and World Economy, Sofia, Bulgaria, issue 1, pages 131-148, March.
• Petar Rangelov, 2023, "Application of Fractal Geometry in Studies of the Bulgarian Financial Market," Ikonomiceski i Sotsialni Alternativi, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 81-98, June.
• Seok Young Hong & Ingmar Nolte & Stephen J Taylor & Xiaolu Zhao, 2023, "Volatility Estimation and Forecasts Based on Price Durations," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 1, pages 106-144.
• C Alan Bester & Victor H Martinez & Ioanid Roşu, 2023, "Option Prices and the Probability of Success of Cash Mergers," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 1, pages 145-186.
• Shige Peng & Shuzhen Yang & Jianfeng Yao, 2023, "Improving Value-at-Risk Prediction Under Model Uncertainty," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 1, pages 228-259.
• Zhao Zhao & Olivier Ledoit & Hui Jiang, 2023, "Risk Reduction and Efficiency Increase in Large Portfolios: Gross-Exposure Constraints and Shrinkage of the Covariance Matrix," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 1, pages 73-105.
• Rachida Ouysse, 2023, "Asset Pricing with Endogenous Beliefs-Dependent Risk Aversion," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 2, pages 368-411.
• Timo Dimitriadis & iaochun Liu & Julie Schnaitmann, 2023, "Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 2, pages 412-444.
• Julien Hambuckers & Thomas Kneib, 2023, "Smooth-Transition Regression Models for Non-Stationary Extremes," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 2, pages 445-484.
• Sander Barendse & Erik Kole & Dick van Dijk, 2023, "Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 2, pages 528-568.
• H Malloch & R Philip & S Satchell, 2023, "Estimation with Errors in Variables via the Characteristic Function," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 3, pages 616-650.
• Alessio Sancetta, 2023, "Intraday Trades Profile Estimation: An Intensity Approach," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 3, pages 651-677.
• Uwe Hassler & Marc-Oliver Pohle, 2023, "Forecasting under Long Memory," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 3, pages 742-778.
• Tobias Hartl & Roland Jucknewitz, 2023, "Multivariate Fractional Components Analysis," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 3, pages 880-914.
• Massimiliano Caporin, 2023, "The Role of Jumps in Realized Volatility Modeling and Forecasting," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 4, pages 1143-1168.
• Jianhua Hu & Hao Ding & Xiaoqian Liu, 2023, "Arbitrage Pricing with Heterogeneous Spatial Effects and Heteroscedastic Disturbances," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 4, pages 1169-1195.
• 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 of the euro to the great recession and its recove," 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, DOI: 10.33119/kaewps2023095.
• Wojciech Kurylek, 2023, "The modeling of earnings per share of Polish companies for the post-financial crisis periodusing random walk and ARIMA models," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, volume 1, issue 19, pages 26-43, DOI: 10.7172/2353-6845.jbfe.2023.1.2.
• 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 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

• Adam Kucera & Evzen Kocenda & Ales Marsal, 2022, "Yield Curve Dynamics and Fiscal Policy Shocks," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2022/04, Apr, revised Apr 2022.