Research classified by Journal of Economic Literature (JEL) codes

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Top JEL
/ C: Mathematical and Quantitative Methods
/ / C5: Econometric Modeling
/ / / C58: Financial Econometrics

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This topic is covered by the following reading lists:

1. SOEP based publications
2. Socio-Economics of Innovation

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Most recent items first, undated at the end.

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2906 Inference from the futures: ranking the noise cancelling accuracy of realized measures
by Giorgio Mirone

2017 Asymmetric Volatility Effects between the Real Exchange Rate and Stock Prices in South Africa
by Ayanda Sikhosana & Goodness C. Aye

2017 Systemic risk for financial institutions of major petroleum-based economies: The role of oil
by Khalifa, Ahmed & Caporin, Massimiliano & Costola, Michele & Hammoudeh, Shawkat

2017 The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
by Billio, Monica & Caporin, Massimiliano & Panzica, Roberto Calogero & Pelizzon, Loriana

2017 Estimation and model-based combination of causality networks
by Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto Calogero

2017 Estimating the effects of the "flight to quality", with an application to German bond yields and interest payments
by Boeing-Reicher, Claire A. & Boysen-Hogrefe, Jens

2017 Interconnectedness in the global financial market
by Raddant, Matthias & Kenett, Dror Y.

2017 Volatility, information feedback and market microstructure noise: A tale of two regimes
by Andersen, Torben G. & Cebiroglu, Gökhan & Hautsch, Nikolaus

2017 A two-step indirect inference approach to estimate the long-run risk asset pricing model
by Grammig, Joachim & Küchlin, Eva-Maria

2017 Financial crises and the dynamic linkages between stock and bond returns
by Eraslan, Sercan & Ali, Faek Menla

2017 Business Cycle Dating after the Great Moderation: A Consistent Two – Stage Maximum Likelihood Method
by Gilbert Mbara

2017 Risk Analysis for Three Precious Metals: An Application of Extreme Value Theory
by Qinlu Chen & David E. Giles

2017 The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH
by Chia-Lin Chang & Michael McAleer

2017 Tourism stocks in times of crises: An econometric investigation of non-macro factors
by Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer

2017 Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA
by Chia-Lin Chang & Michael McAleer & Guangdong Zuo

2017 Testing for volatility co-movement in bivariate stochastic volatility models
by Jinghui Chen & Masahito Kobayashi & Michael McAleer

2017 Connecting VIX and Stock Index ETF
by Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer

2017 Forecasting the volatility of Nikkei 225 futures
by Manabu Asai & Michael McAleer

2017 The Fiction of Full BEKK
by Chia-Lin Chang & Michael McAleer

2017 A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models
by Francisco (F.) Blasques & Marc Nientker

2017 Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management
by David Allen & Michael McAleer

2017 The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH
by Chia-Lin Chang & Michael McAleer

2017 Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic Factors
by Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer

2017 Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA
by Chia-Lin Chang & Michael McAleer & Guangdong Zuo

2017 Interquantile Expectation Regression
by Sander Barendse

2017 Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models
by Jinghui Chen & Masahito Kobayashi & Michael McAleer

2017 Forecasting the Volatility of Nikkei 225 Futures
by Manabu Asai & Michael McAleer

2017 The Fiction of Full BEKK
by Chia-Lin Chang & Michael McAleer

2017 A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies
by David E. Allen & Michael McAleer & Abhay K. Singh

2017 Tail dependence between gold and sectorial stocks in China: Perspectives for portfolio diversication
by Joscha Beckmann & Theo Berger & Robert Czudaj & Thi-Hong-Van Hoang

2017 Gold Price Dynamics and the Role of Uncertainty
by Joscha Beckmann & Theo Berger & Robert Czudaj

2017 Beef Price Volatility in Turkey: Can Import Policy Affect the Price and Its Uncertainty?
by Meltem Gulenay Chadwick & Emine Meltem Bastan

2017 The changing international network of sovereign debt and financial institutions
by Dungey, Mardi & Harvey, John & Volkov, Vladimir

2017 The Janus-faced nature of debt : results form a data driven cointegrated SVAR approach
by Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini

2017 Romanian Capital Market in a Globalized World
by Daniel Stefan Armeanu & Adrian Enciu & Sorin-Iulian Cioaca

2017 A Stochastic Factor Model for Risk Management of Commodity Derivatives
by Zi-Yi Guo

2017 A wavelet transformation approach to crude oil price and CZK/USD exchange rate dependence
by Luká? Frýd

2017 Systemic Banking Crisis and Macroeconomic Leading Indicators
by Johan Winbladh

2017 The Price of Taste for Socially Responsible Investment
by Rocco Ciciretti & Ambrogio Dalò & Lammertjan Dam

2017 A Bootstrap Bias Correction Of Long Run Fourth Order Moment Estimation In The Cusum Of Squares Test
by Davide De Gaetano

2017 Forecasting With Garch Models Under Structural Breaks: An Approach Based On Combinations Across Estimation Windows
by Davide De Gaetano

2017 OPEC News Announcement Effect on Volatility Jumps in the Crude Oil Market
by Rangan Gupta & Chi Keung Marco Lau & Seong-Min Yoon

2017 On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators
by Riza Demirer & Guilherme Demos & Rangan Gupta & Didier Sornette

2017 OPEC News and Predictability of Oil Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach
by Rangan Gupta & Seong-Min Yoon

2017 Point-in-Time PD Term Structure Models with Loan Credit Quality as a Component
by Yang, Bill Huajian

2017 Bank Loan Loss Provisions, Investor Protection and the Macroeconomy
by Ozili, Peterson K

2017 Forward Ordinal Probability Models for Point-in-Time Probability of Default Term Structure
by Yang, Bill Huajian

2017 Are the Islamic and conventional money markets really highly correlated ? MGARCH-DCC and Wavelet approaches
by Chen, Bai & Masih, Mansur

2017 Should the Malaysian Islamic stock market investors invest in regional and international equity market to gain portfolio diversification benefits ?
by Umirah, Fatin & Masih, Mansur

2017 Does a country’s external debt level affect its Islamic banking sector development? evidence from Malaysia based on quantile regression and markov regime switching
by Broni, Mohammed Yaw & Masih, Mansur

2017 Do macroeconomic variables affect stock–sukuk correlation in the regional markets? evidence from the GCC countries based on DOLS and FM-OLS
by Abdi, Aisha Aden & Masih, Mansur

2017 Exploring portfolio diversification opportunities in Islamic capital markets through bitcoin: evidence from MGARCH-DCC and Wavelet approaches
by Lim, Siok Jin & Masih, Mansur

2017 Are Islamic risk factors blessings or curse for stock return? evidence from Malaysia based on dynamic GMM and quantile regression approaches
by Hosen, Mosharrof & Masih, Mansur

2017 Macroeconomic and bank-specific determinants of different categories of non-performing financing in Islamic banks: Evidence from Malaysia
by Isaev, Mirolim & Masih, Mansur

2017 The links between crude palm oil, conventional and Islamic stock markets: evidence from Malaysia based on continuous and discrete wavelet analysis
by Razak, Razman & Masih, Mansur

2017 Discerning Granger-causal chain between oil prices, exchange rates and inflation rates: Evidence from Turkey
by Citak, Yusuf Ensar & Masih, Mansur

2017 Does economic freedom lead or lag economic growth? evidence from Bangladesh
by Tanin, Tauhidul Islam & Masih, Mansur

2017 Assessing the viability of Sukuk for portfolio diversification using MS-DCC-GARCH
by Adekunle, Salami Saheed & Masih, Mansur

2017 Determinants of profitability of takaful operators: new evidence from Malaysia based on dynamic GMM approach
by Hodori, Arif & Masih, Mansur

2017 Discerning lead-lag between fear index and realized volatility
by Wahab, Fatin Farhana & Masih, Mansur

2017 Do Islamic banks lead or lag conventional banks? Evidence from Malaysia
by Nor, Amirudin Mohd & Masih, Mansur

2017 Energy consumption, trade openness, economic growth, carbon dioxide emissions and electricity consumption: evidence from South Africa based on ARDL
by Hasson, Ashwaq & Masih, Mansur

2017 The nexus of private sector foreign debt, unemployment, trade openness: evidence from Australia
by Isaev, Mirolim & Masih, Mansur

2017 Is inflation targeting the proper monetary policy regime in a dual banking system? new evidence from ARDL bounds test
by Ndiaye, Ndeye Djiba & Masih, Mansur

2017 Impact of political instability on foreign direct investment and Economic Growth: Evidence from Malaysia
by Nazeer, Abdul Malik & Masih, Mansur

2017 What is the link between financial development and income inequality? evidence from Malaysia
by Ahmed, Azleen Rosemy & Masih, Mansur

2017 Revisit Feldstein-Horioka puzzle: evidence from Malaysia (1960-2015)
by Razak, Lutfi Abdul & Masih, Mansur

2017 CDS Rate Construction Methods by Machine Learning Techniques
by Brummelhuis, Raymond & Luo, Zhongmin

2017 Information Flow Interpretation of Heteroskedasticity for Capital Asset Pricing: An Expectation-based View of Risk
by Senarathne, Chamil W & Jayasinghe, Prabhath

2017 Determinants of stock-bond market comovement in the Eurozone under model uncertainty
by Skintzi, Vasiliki

2017 A Power Booster Factor for Out-of-Sample Tests of Predictability
by Pincheira, Pablo

2017 Default contagion among credit modalities: evidence from Brazilian data
by Alexandre, Michel & Antônio Silva Brito, Giovani & Cotrim Martins, Theo

2017 Chocs exogènes et non linéarités dans les séries boursières: Application à la modélisation non paramétrique du cours de l'action Orange
by CHIKHI, Mohamed

2017 Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis
by El khamlichi, Abdelbari & HOANG, Thi Hong Van & Wong, Wing-Keung

2017 Point-in-time PD term structure models for multi-period scenario loss projection: Methodologies and implementations for IFRS 9 ECL and CCAR stress testing
by Yang, Bill Huajian

2017 The relation between management fees and the mutual funds` performance in Poland in 2015
by Alicja Fras

2017 Do Announcements of WTO Dispute Resolution Cases Matter? Evidence from the Rare Earth Elements Market
by Juliane Proelss & Denis Schweizer & Volker Seiler

2017 Heterogeneous Market Structure and Systemic Risk: Evidence from Dual Banking Systems
by Pejman Abedifar & Paolo Giudici & Shatha Hashem

2017 Investment-Horizon Spillovers
by Alexander M. Chinco & Mao Ye

2017 Inference on Risk Premia in the Presence of Omitted Factors
by Stefano Giglio & Dacheng Xiu

2017 Dissecting Characteristics Nonparametrically
by Joachim Freyberger & Andreas Neuhierl & Michael Weber

2017 Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting
by Siem Koopman & André Lucas & Marcin Zamojski

2017 Bayesian Inference for a 1-Factor Copula Model
by Ban Kheng Tan & Anastasios Panagiotelis & George Athanasopoulos

2017 Asymmetric volatility connectedness on the forex market
by Jozef Barunik & Evzen Kocenda & Lukas Vacha

2017 The role of cointegration for optimal hedging with heteroscedastic error term
by Lukasz Gatarek & Søren Johansen

2017 What’s Mine Is Yours: Sovereign Risk Transmission during the European Debt Crisis
by Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Yongcheol Shin

2017 Investing with cryptocurrencies - A liquidity constrained investment approach
by Simon Trimborn & Mingyang Li & Wolfgang Karl Härdle

2017 Industry Interdependency Dynamics in a Network Context
by Ya Qian & Wolfgang Karl Härdle & Cathy Yi-Hsuan Chen

2017 Tail event driven networks of SIFIs
by Cathy Yi-Hsuan Chen & Wolfgang Karl Härdle & Yarema Okhrin &

2017 Property Renovations and Their Impact on House Price Index Construction
by Alexander N. Bogin & William M. Doerner

2017 The Memory of Volatility
by Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp

2017 Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks
by Voges, Michelle & Leschinski, Christian & Sibbertsen, Philipp

2017 On the gains of using high frequency data and higher moments in Portfolio Selection
by Rui Pedro Brito & Hélder Sebastião & Pedro Godinho

2017 Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo

2017 Estimating Loss Given Default from CDS under Weak Identification
by Liu, Lily Y.

2017 The Janus-faced nature of debt : result from a data-driven cointegrated SVAR approach
by Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini

2017 Systemic Risk in the European Financial and Energy Sector: Dynamic Factor Copula Approach
by Matej Nevrla

2017 Interest Rates Modeling and Forecasting: Do Macroeconomic Factors Matter?
by Adam Kucera

2017 Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models
by Chen, J. & Kobayashi, M. & McAleer, M.J.

2017 Forecasting the Volatility of Nikkei 225 Futures
by Asai, M. & McAleer, M.J.

2017 Connecting VIX and Stock Index ETF
by Chang, C-L. & Hsieh, T-L. & McAleer, M.J.

2017 The Fiction of Full BEKK
by Chang, C-L. & McAleer, M.J.

2017 The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH
by Chang, C-L. & McAleer, M.J.

2017 Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic Factors
by Zopiatis, A. & Savva, C.S. & Lambertides, N. & McAleer, M.J.

2017 Automation and inequality with taxes and transfers
by Rod Tyers & Yixiao Zhou

2017 Testing for Extreme Volatility Transmission with Realized Volatility Measures
by Christophe Boucher & Gilles de Truchis & Elena Dumitrescu & Sessi Tokpavi

2017 SenSR: A sentiment-based systemic risk indicator
by Svetlana Borovkova & Evgeny Garmaev & Philip Lammers & Jordi Rustige

2017 Modeling the spillovers between stock market and money market in Nigeria
by Afees A. Salisu & Kazeem Isah

2017 Dynamic conditional score models with time-varying location, scale and shape parameters
by Escribano Sáez, Álvaro & Blazsek, Szabolcs Istvan & Ayala, Astrid

2017 The Reaction of Stock Market Returns to Unemployment
by Taamouti, Abderrahim & Gonzalo Muñoz, Jesús

2017 Bayesian semiparametric multivariate stochastic volatility with an application to international volatility co-movements
by Martina Danielova Zaharieva & Mark Trede & Bernd Wilfling

2017 Investors' favourite - A different look at valuing individual labour income
by Jan Voelzke & Jeanne Diesteldorf & Fabian Goessling & Till Weigt

2017 Measuring the effectiveness of volatility call auctions
by Carlos Castro & Diego Agudelo & Sergio Preciado

2017 Networks of Volatility Spillovers among Stock Markets
by Eduard Baumöhl & Evžen Kocenda & Stefan Lyócsa & Tomás Vyrost

2017 Dissecting Characteristics Nonparametrically
by Joachim Freyberger & Andreas Neuhierl & Michael Weber

2017 Empirical likelihood for high frequency data
by Lorenzo Camponovo & Yukitoshi Matsushita & Taisuke Otsu

2017 Timing Strategy Performance in the Crude Oil Futures Market
by Nick Taylor

2017 High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed
by F. Lilla

2017 Forecasting the equity risk premium with frequency-decomposed predictors
by Faria, Gonçalo & Verona, Fabio

2017 Pandemic crises in financial systems: a simulation-model to complement stress-testing frameworks
by J. Idier & T. Piquard

2017 An indicator of inflation expectations anchoring
by Filippo Natoli & Laura Sigalotti

2017 Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations
by Thomas Quistgaard Pedersen & Erik Christian Montes Schütte

2017 Portfolio choice with high frequency data: CRRA preferences and the liquidity effect
by R. P. Brito & H. Sebastião & P. Godinho

2017 Predicting the direction of US stock markets using industry returns
by Harri Pönkä

2017 Terör Olaylarının Finansal Piyasalar Üzerine Etkisi
by Özge KORKMAZ & Deniz ERER & Elif ERER

2017 The complementary role of cross-sectional and time-series information in forecasting stock returns
by Qing Zhou & Robert Faff

2017 Empirical Results of Modeling EUR/RON Exchange Rate using ARCH, GARCH, EGARCH, TARCH and PARCH models
by Andreea – Cristina PETRICA & Stelian STANCU

2017 Heavy-tailed Distributions and Risk Management of Equity Market Tail Events
by Zi-Yi Guo

2017 The Impact of Exchange Rate Changes on Asset Returns in the Framework of a Consumption Based Capital Asset Pricing Model
by Bahrami, Jaber & Pahlavani, Mosayeb & Roshan , Reza & Rasekhi , Saeed

2017 Testing Capital Structure Theories with CBRT Sectoral Balance Sheets: A Panel Data Analysis on Manufacturing Industry Sector (2001-2015)
by Demirci, N. Savaş

2017 The Relationship between Investor Attention and Stock Markets: An Application on ISE-100 Index
by Korkmaz, Turhan & Çevik, Emrah İsmail & Çevik, Nüket Kırcı

2017 Posouzení modelů odhadu tržního rizika s využitím DEA přístupu
by Aleš Kresta & Tomáš Tichý & Mehdi Toloo

2017 Univariate and Bivariate Volatility in Central European Stock Markets
by Boţoc Claudiu

2017 Extreme Value Theory: An Application to the Peruvian Stock Market Returns || Teoría de valores extremos: una aplicación a los retornos bursátiles peruanos
by Rodríguez, Gabriel

2017 Aggregation of Information About the Cross Section of Stock Returns: A Latent Variable Approach
by Nathaniel Light & Denys Maslov & Oleg Rytchkov

2017 How Important is the Contagion Effect for the Romanian Capital Market?
by Daniel Stefan ARMEANU & Adrian ENCIU & Sorin-Iulian CIOACA

2017 Where did the GARCH Models Perform Best in Terms of Volatility Forecasting? Equity vs. Commodities Markets
by Iulian Lolea

2017 The Asymmetric Effect in the Volatility of the South African Rand
by Idoko Ahmed Itodo & Ojonugwa Usman & Michael Maju Abu

2017 Returns Effect, Shocks and Volatility Transmission between Foreign Exchange-Stock Markets in Nigeria
by Agya Atabani Adi

2017 Yield curve in India and its interactions with the US bond market
by Krishna Prasanna & Subramaniam Sowmya

2017 Predicting stock returns in the presence of uncertain structural changes and sample noise
by Daniel Mantilla-García & Vijay Vaidyanathan

2017 Expected downside risk and asset prices: characteristics of emerging and developed European markets
by Mihály Ormos & Dusán Timotity

2017 A note on the Estimation of a Gamma-Variance Process: Learning from a Failure
by Gian P. Cervellera & Marco P. Tucci

2017 Liquidity-Adjusted Value-at-Risk for TWSE Leverage/ Inverse ETFs: A Hellinger Distance Measure Research
by Chui-Chun Tsai & Tsun-Siou Lee

2017 How Jumps Affect Liquidity? The Evidence from Poland
by Barbara Bedowska-Sojka

2017 Nigeria’s Investment Environment: Issues of Economic Growth and Development
by Ikechukwu A. ACHA & Emmanuel IKPE MICHAEL & Joseph M. ESSIEN

2017 ¿Existe memoria larga en mercados bursátiles, o depende del modelo, periodo o frecuencia? (Is there Long Memory in Stock Markets, or Does it Depend on the Model, Period or Frequency?)
by Héctor F. Salazar-Núñez & Francisco Venegas-Martínez & Cuauhtémoc Calderón-Villareal

2017 Inflation targeting and monetary policy
by John King

2017 Determinants of idiosyncratic volatility: Evidence from the Indian stock market
by Kumari, Jyoti & Mahakud, Jitendra & Hiremath, Gourishankar S.

2017 True or spurious long memory in European non-EMU currencies
by Walther, Thomas & Klein, Tony & Thu, Hien Pham & Piontek, Krzysztof

2017 Investigating the leverage effect in commodity markets with a recursive estimation approach
by Chevallier, Julien & Ielpo, Florian

2017 Financial intermediary leverage spillovers
by Serletis, Apostolos & Istiak, Khandokar

2017 Realized volatility transmission from crude oil to equity sectors: A study with economic significance analysis
by Kumar, Dilip

2017 Volatility Spillovers from Australia's major trading partners across the GFC
by Allen, David E. & McAleer, Michael & Powell, Robert J. & Singh, Abhay K.

2017 Tail dependence and information flow: Evidence from international equity markets
by Al Rahahleh, Naseem & Bhatti, M. Ishaq & Adeinat, Iman

2017 Are Islamic indexes a safe haven for investors? An analysis of total, directional and net volatility spillovers between conventional and Islamic indexes and importance of crisis periods
by Hkiri, Besma & Hammoudeh, Shawkat & Aloui, Chaker & Yarovaya, Larisa

2017 Do regional and global uncertainty factors affect differently the conventional bonds and sukuk? New evidence
by Naifar, Nader & Mroua, Mourad & Bahloul, Slah

2017 Do we need bigger Islamic banks? An assessment of bank stability
by Ibrahim, Mansor H. & Rizvi, Syed Aun R.

2017 European equity market integration and joint relationship of conditional volatility and correlations
by Virk, Nader & Javed, Farrukh

2017 A tale of two tails: Explaining extreme events in financialized agricultural markets
by Algieri, Bernardina & Kalkuhl, Matthias & Koch, Nicolas

2017 Explaining the negative returns to volatility claims: An equilibrium approach
by Eraker, Bjørn & Wu, Yue

2017 The advantages of using excess returns to model the term structure
by Goliński, Adam & Spencer, Peter

2017 Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method
by Mensi, Walid & Hammoudeh, Shawkat & Shahzad, Syed Jawad Hussain & Shahbaz, Muhammad

2017 Bank-sovereign contagion in the Eurozone: A panel VAR Approach
by Georgoutsos, Dimitris & Moratis, George

2017 An analysis of the literature on systemic financial risk: A survey
by Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim

2017 Does institutional trading drive commodities prices away from their fundamentals: Evidence from a nonparametric causality-in-quantiles test
by Babalos, Vassilios & Balcilar, Mehmet

2017 Nonparametric tolerance limits for pair trading
by Chen, Cathy W.S. & Lin, Tsai-Yu

2017 In search of hedges and safe havens: Revisiting the relations between gold and oil in the rolling regression framework
by Śmiech, Sławomir & Papież, Monika

2017 Is hedging the crack spread no longer all it's cracked up to be?
by Liu, Pan & Vedenov, Dmitry & Power, Gabriel J.

2017 The relationship between oil prices and rig counts: The importance of lags
by Khalifa, Ahmed & Caporin, Massimiliano & Hammoudeh, Shawkat

2017 Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model
by Herrera, Rodrigo & Rodriguez, Alejandro & Pino, Gabriel

2017 Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets
by Kang, Sang Hoon & McIver, Ron & Yoon, Seong-Min

2017 Wavelet-based test of co-movement and causality between oil and renewable energy stock prices
by Reboredo, Juan C. & Rivera-Castro, Miguel A. & Ugolini, Andrea

2017 Consistent nonparametric specification tests for stochastic volatility models based on the return distribution
by Zu, Yang & Boswijk, H. Peter

2017 Time-varying continuous and jump betas: The role of firm characteristics and periods of stress
by Alexeev, Vitali & Dungey, Mardi & Yao, Wenying

2017 The kidnapping of Europe: High-order moments' transmission between developed and emerging markets
by Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier

2017 Volatility spillover and hedging effectiveness among China and emerging Asian Islamic equity indexes
by Majdoub, Jihed & Ben Sassi, Salim

2017 The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test
by Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur M.

2017 Chasing volatility
by Caporin, Massimiliano & Rossi, Eduardo & Santucci de Magistris, Paolo

2017 Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
by Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard

2017 Estimation of integrated quadratic covariation with endogenous sampling times
by Potiron, Yoann & Mykland, Per A.

2017 Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading
by Hounyo, Ulrich

2017 Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
by Boudt, Kris & Laurent, Sébastien & Lunde, Asger & Quaedvlieg, Rogier & Sauri, Orimar

2017 Tests for conditional ellipticity in multivariate GARCH models
by Francq, C. & Jiménez-Gamero, M.D. & Meintanis, S.G.

2017 Asymptotics for recurrent diffusions with application to high frequency regression
by Kim, Jihyun & Park, Joon Y.

2017 Inference and testing on the boundary in extended constant conditional correlation GARCH models
by Pedersen, Rasmus Søndergaard

2017 Cross-country determinants of economic policy uncertainty spillovers
by Balli, Faruk & Uddin, Gazi Salah & Mudassar, Hasan & Yoon, Seong-Min

2017 The Amiti–Weinstein estimator: An equivalence result
by Tielens, Joris & Van Hove, Jan

2017 Pair trading based on quantile forecasting of smooth transition GARCH models
by Chen, Cathy W.S. & Wang, Zona & Sriboonchitta, Songsak & Lee, Sangyeol

2017 Political stability and growth: An application of dynamic GMM and quantile regression
by Uddin, Md Akther & Ali, Md Hakim & Masih, Mansur

2017 Asset prices and economic fluctuations: The implications of stochastic volatility
by Chen, Junping & Xiong, Xiong & Zhu, Jie & Zhu, Xiaoneng

2017 Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market
by Nonejad, Nima

2017 Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data
by Lee, Kyungsub & Seo, Byoung Ki

2017 Adjusting Consumption Based Capital Asset Pricing Model within the Framework of an Open Economy: The Case of Iran
by Jaber Bahrami & Mosayeb Pahlavani & Reza Roshan & Saeed Rasekhi

2017 An Analysis of Determinants Affecting the Returns of Dow Jones Sustainability Index United States
by Electra Pitoska & Androniki Katarachia & Grigoris Giannarakis & Charalampos Tsilikas

2017 Dividend Payment and its Impact on the Value of Firms Listed on Istanbul Stock Exchange: A Residual Income Approach
by Akram Budagaga

2017 Sutte Indicator: A Technical Indicator in Stock Market
by Ansari Saleh Ahmar

2017 Identifying the Main Emitters of Carbon Dioxide in Mexico: A Multi-Sectoral Study
by Joana Chapa & Araceli Ortega

2017 Pérdidas esperadas y detrimento patrimonial por hurto de vehículos en Colombia
by Santiago Medina Hurtado & Jorge Restrepo-Morales & Alejandro Bedoya

2017 A semiparametric nonlinear quantile regression model for financial returns
by Avdulaj Krenar & Barunik Jozef

2017 Specification analysis in regime-switching continuous-time diffusion models for market volatility
by Bu Ruijun & Cheng Jie & Hadri Kaddour

2017 Does intense monitoring matter? A quantile regression approach
by Fekri Ali Shawtari & Buerhan Saiti & Muslim Har Sani Mohamad & Hafiz Majdi Abdul Rashid

2017 The Development And The Current Status Of The Capital Market Hypotheses: A Few Benchmarks
by BRATIAN Vasile & BUCUR Amelia

2017 The Impact of Taxation of the Domestic Economic Transactions on the Vat Collection Through Electronic Fiscal Devices
by Ionel Bostan & Cristian Popescu & Costel Istrate & Ioan-Bogdan Robu

2016 The Relationship between Stock Market Volatility and Trading Volume: Evidence from South Africa
by Pramod Kumar Naik & Rangan Gupta & Puja Padhi

2016 Credit Risk Decomposition for Asset Allocation
by Chamizo Cana, Álvaro & Novales Cinca, Alfonso

2016 Beyond sorting: a more powerful test for cross-sectional anomalies
by Olivier Ledoit & Michael Wolf & Zhao Zhao

2016 Large dynamic covariance matrices
by Robert F. Engle & Olivier Ledoit & Michael Wolf

2016 Do they still matter? – Impact of Fossil Fuels on Electricity Prices in the Light of Increased Renewable Generation
by Lips, Johannes

2016 Interconnectedness in the global financial market
by Raddant, Matthias & Kenett, Dror

2016 Calculating Joint Bands for Impulse Response Functions using Highest Density Regions
by Winker, Peter & Lütkepohl, Helmut & Staszewska-Bystrova, Anna

2016 Macroeconomic expectations and the time-varying stock-bond correlation: international evidence
by Conrad, Christian & Loch, Karin

2016 A note on optimal portfolios under regime-switching
by Haas, Markus

2016 Systemic co-jumps
by Caporin, Massimiliano & Kolokolov, Alexey & Renò, Roberto

2016 Policy uncertainty and international financial markets: The case of Brexit
by Belke, Ansgar & Dubova, Irina & Osowski, Thomas

2016 Beyond dimension two: A test for higher-order tail risk
by Bormann, Carsten & Schaumburg, Julia & Schienle, Melanie

2016 Multivariate GARCH for a large number of stocks
by Raddant, Matthias & Wagner, Friedrich

2016 Die Bewertung von Aktienanleihen mit Barriere: Eine Fallstudie für die Easy-Aktienanleihe der Deutschen Bank
by Hofmann, Maurice & Rottmann, Horst

2016 Measuring the frequency dynamics of financial and macroeconomic connectedness
by Barunik, Jozef & Krehlik, Tomas

2016 Money growth and aggregate stock returns
by Böing, Tobias & Stadtmann, Georg

2016 Asymmetric Exchange Rate Exposure of Stock Returns: Empirical Evidence from Chinese Industries
by Cuestas, Juan Carlos & Tang, Bo

2016 One-Day Prediction of State of Turbulence for Portfolio. Models for Binary Dependent Variable
by Marcin Chlebus

2016 Networks in risk spillovers: a multivariate GARCH perspective
by Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon

2016 Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices
by Chia-Lin Chang & Michael McAleer & Yu-Ann Wang

2016 A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies
by David E. Allen & Michael McAleer & Abhay K. Singh

2016 Tourism stocks in times of crises: An econometric investigation of non-macro factors
by Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer

2016 Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events
by David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh

2016 Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
by Manabu Asai & Chia-Lin Chang & Michael McAleer

2016 Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes
by Manabu Asai & Michael McAleer

2016 An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors
by Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang

2016 Volatility spillovers for spot, futures, and ETF prices in energy and agriculture
by Chia-Lin Chang & Michael McAleer & Chia-Ping Liu

2016 Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances
by Chia-Lin Chang & Michael McAleer & Yanghuiting Wang

2016 Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China
by Chia-Lin Chang & Michael McAleer & Jiarong Tian

2016 Estimating and forecasting generalized fractional Long memory stochastic volatility models
by Shelton Peiris & Manabu Asai & Michael McAleer

2016 Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models
by Jinghui Chen & Masahito Kobayashi & Michael McAleer

2016 Modelling volatility spillovers for bio-ethanol, sugarcane and corn
by Chia-Lin Chang & Michael McAleer & Yu-Ann Wang

2016 How are VIX and Stock Index ETF Related?
by Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer

2016 Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?
by Massimiliano Caporin & Chia-Lin Chang & Michael McAleer

2016 The Dynamic Factor Network Model with an Application to Global Credit-Risk
by Falk Bräuning & Siem Jan Koopman

2016 Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors
by Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer

2016 A Simple Test for Causality in Volatility
by Chia-Lin Chang & Michael McAleer

2016 Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events
by David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh

2016 Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models
by Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger

2016 Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
by Manabu Asai & Chia-Lin Chang & Michael McAleer

2016 Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes
by Manabu Asai & Michael McAleer

2016 Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns
by Andre Lucas & Anne Opschoor

2016 A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics
by Manabu Asai & Michael McAleer

2016 Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model
by Peter Reinhard Hansen & Pawel Janus & Siem Jan Koopman

2016 Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China
by Chia-Lin Chang & Michael McAleer & Jiarong Tian

2016 An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors
by Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang

2016 Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances
by Chia-Lin Chang & Michael McAleer & Yanghuiting Wang

2016 Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture
by Chia-Lin Chang & Chia-Ping Liu & Michael McAleer

2016 Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
by Shelton Peiris & Manabu Asai & Michael McAleer

2016 Bayesian Dynamic Modeling of High-Frequency Integer Price Changes
by Istvan Barra & Siem Jan Koopman

2016 Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models
by Jinghui Chen & Masahito Kobayashi & Michael McAleer

2016 Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices
by Chia-Lin Chang & Michael McAleer & Yu-Ann Wang

2016 Connecting VIX and Stock Index ETF
by Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer

2016 Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?
by Massimiliano Caporin & Chia-Lin Chang & Michael McAleer

2016 Does the Yuan's Overseas Expansion Increase the Currency Exposure of Chinese Financial Firms?
by Juan Carlos Cuestas & Ying Sophie Huang & Bo Tang

2016 Impact Of The Global Financial Crises On The Major Asian Countries And Usa Stock Markets And Inter-Linkages Among Them
by Cenk Gokce ADAS & Bibigul Tussupova

2016 Portfolio analysis in jump-diffusion model with power-law tails
by Pawe? Kliber

2016 Stylized Facts And Weak-Form Efficiency In Turkish Stock Market
by Hasan A?an Karaduman

2016 How Do Exchange Rate Movements Affect Stock Prices? The Case of Turkey
by Fela Özbey & Erhan ??can & Mehmet Fatih Tra?

2016 Market Discipline Working for and Against Financial Stability: The Two Faces of Equity Capital in U.S. Commercial Banking
by Joseph P. Hughes & Loretta J. Mester & Choon-Geol Moon

2016 Measuring Agency Costs and the Value of Investment Opportunities of U.S. Bank Holding Companies with Stochastic Frontier Estimation
by Joseph P. Hughes & Loretta J. Mester & Choon-Geol Moon

2016 Estimation Of Star-Garch Models With Iteratively Weighted Least Squares
by Murat Midilic

2016 Forecast Combinations For Realized Volatility In Presence Of Structural Breaks
by Davide De Gaetano

2016 Policy uncertainty and international financial markets: the case of Brexit
by Ansgar Belke & Irina Dubova & Thomas Osowski

2016 The Linear Regression Of Weighted Segments
by Mateescu, Dan

2016 Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets
by Chris Bardgett & Elise Gourier & Markus Leippold

2016 A study of long- run theoretical relationship between ASEAN stock market indices and developed stock market indices of US and Japan
by Majeed, Ayesha & Masih, Mansur

2016 Expect the unexpected: housing price bubble on the horizon in Malaysia
by Naseer, Areef Ahmed & Masih, Mansur

2016 Fat Tails and Spurious Estimation of Consumption-Based Asset Pricing Models
by Toda, Alexis Akira & Walsh, Kieran James

2016 Oil Price Shocks and Stock Market Performance in Emerging Economies: Some Evidence using FAVAR Models
by Naser, Hanan & Ahmed, Abdul Rashid

2016 Rating Transition Probability Models and CCAR Stress Testing: Methodologies and implementations
by Yang, Bill Huajian & Du, Zunwei

2016 Assessing portfolio market risk in the BRICS economies: use of multivariate GARCH models
by Bonga-Bonga, Lumengo & Nleya, Lebogang

2016 Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models
by Aknouche, Abdelhakim & Al-Eid, Eid & Demouche, Nacer

2016 How financially integrated are trading blocs in Africa?
by Bonga-Bonga, Lumengo & Mabe, Queen Magadi

2016 International Equity Markets Interdependence: Bigger Shocks or Contagion in the 21st Century?
by Bua, Giovanna & Trecroci, Carmine

2016 Structural VAR analysis of monetary transmission mechanism and central bank’s response to equity volatility shock in Taiwan
by Lo, Chi-Sheng

2016 Testing Non-Linear Dynamics, Long Memory and Chaotic Behaviour of Energy Commodities
by Gencer, Murat & Unal, Gazanfer

2016 Nonparametric Dynamic Conditional Beta
by Maheu, John M & Shamsi, Azam

2016 Ispitivanje kalendarskih sezonaliteta na hrvatskom tržištu kapitala
by Tomić, Bojan

2016 Risk adjustment of the credit-card augmented Divisia monetary aggregates
by Barnett, William & Su, Liting

2016 Nowcasting nominal gdp with the credit-card augmented Divisia monetary aggregates
by Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting

2016 The credit-card-services augmented Divisia monetary aggregates
by Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting

2016 Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility
by Escribano, Alvaro & Sucarrat, Genaro

2016 Evidence of cross-country portfolio diversification benefits: The case of Saudi Arabia
by Ali, Hakim & Masih, Mansur

2016 Do changes in shariah screening methodology make islamic indices substitutes or complements? an application of MGARCH-DCC and markov switching analysis
by Mantai, Mohammed Mahmoud & Masih, Mansur

2016 Fast profits in a fasting month? A markov regime switching approach in search of ramadan effect on stock markets
by Hasbullah, Faruq & Masih, Mansur

2016 Does microfinance affect economic growth? Evidence from Bangladesh based on ARDL approach
by Sultan, Yousuf & Masih, Mansur

2016 Is financial sector development an engine of economic growth? evidence from India
by Ziaurrahman, Muhammad & Masih, Mansur

2016 What drives banks’ willingness to lend to SMEs? An ARDL approach
by Lokman, Azarahiah & Masih, Mansur

2016 The impact of real estate, inequality and current account imbalances on excessive credit: A cross country analysis
by Halim, Asyraf Abdul & Ariff, Muhammad & Masih, A. Mansur M.

2016 Role of instability in affecting capital flight magnitude: An ARDL bounds testing approach
by Hasnul, Al Gifari & Masih, Mansur

2016 Socioeconomic Development and Its Effect on Performance of Islamic Banks: Dynamic Panel Approaches
by Chowdhury, M. Ashraful Ferdous & Haque, M. Mahmudul & Alhabshi, Syed Othman & Masih, Abul Mansur M.

2016 A New Factor to Explain Implied Volatility Smirk
by fajardo, José

2016 How is the European debt crisis affecting islamic equity? challenges in portfolio diversification within the eurozone: A markov switching and continuous wavelet transform analysis
by Shakir, Zeeniya & Masih, Mansur

2016 Shariah stocks as an inflation hedge in Malaysia
by Haniff, Norazza Mohd & Masih, Mansur

2016 Risk-sharing deposits in islamic banks: do interest rates have any influence on them?
by Tariq, Anam & Masih, Mansur

2016 War and peace: why is political stability pivotal for economic growth of OIC countries?
by Uddin, Md Akther & Masih, Mansur

2016 Bayesian Nonparametric Estimation of Ex-post Variance
by Griffin, Jim & Liu, Jia & Maheu, John M

2016 Does the Yuan’s Overseas Expansion Increase the Currency Exposure of Chinese Financial Firms?
by Cuestas, Juan Carlos & Huang, Ying & Tang, Bo

2016 On the reactions of sectoral equity returns to oil price in France: Implications for portfolio allocation
by Bouoiyour, Jamal & Selmi, Refk & Miftah, Amal

2016 The infernal couple China-Oil Price and the Responses of G7 Equities: A QQ Approach
by Bouoiyour, Jamal & Selmi, Refk

2016 Do spot and future palm oil prices influence the stock market prices of a major palm oil producer? the Malaysian experience
by Mohammad Nor, Karina & Masih, Mansur

2016 Impact of Oil Price and Its Volatility on CPI of Pakistan: Bivariate EGARCH Model
by Naurin, Abida & Qayyum, Abdul

2016 Home financing loans and their relationship to real estate bubble: An analysis of the U.S. mortgage market
by Asadov, Alam & Masih, Mansur

2016 Exploring the nexus between income inequality and financial indicators: endemic to the Indian economy?
by Ahsan, Zainab Fida & Masih, Mansur

2016 Does consumer sentiment predict consumer spending in Malaysia? an autoregressive distributed lag (ARDL) approach
by Mohd Haniff, NorAzza & Masih, Mansur

2016 An empirical investigation of causal linkages between domestic terrorism and macroeconomic variables: a case for Pakistan
by Bukhari, Naseem & Masih, Mansur

2016 Dutch disease or Nigerian disease: a prima facie? New evidence from ARDL bound test analysis
by Mustapha, Ishaq Muhammad & Masih, Mansur

2016 Is energy a stimulus for economic growth? A focused study on Malaysia using the auto regressive distributed lag technique
by Abarahan, Amnisuhailah Binti & Masih, Mansur

2016 Models of Financial Return With Time-Varying Zero Probability
by Sucarrat, Genaro & Grønneberg, Steffen

2016 Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan
by Naqi Shah, Sadia & Qayyum, Abdul

2016 Application of DCC-GARCH Model for Analysis of Interrelations Among Capital Markets of Poland, Czech Republic and Germany
by Marek Zinecker & Adam P. Balcerzak & Marcin Faldzinski & Michal Bernad Pietrzak & Tomáš Meluzin

2016 Interdependence among Capital Markets of Germany, Poland and Baltic States
by Tomas Meluzin & Marek Zinecker & Michal Bernard Pietrzak & Marcin Faldzinski & Adam P. Balcerzak

2016 Value-at-Risk with Application of DCC-GARCH Model
by Tomas Meluzin & Marek Zinecker & Michal Bernard Pietrzak & Marcin Faldzinski & Adam P. Balcerzak

2016 Cointegration of Interdependencies Among Capital Markets of Chosen Visegrad Countries and Germany
by Marcin Faldzinski & Adam P. Balcerzak & Tomas Meluzin & Michal Bernard Pietrzak & Marek Zinecker

2016 Do WTO Rulings Really Matter? Evidence from the Rare Earth Elements Market
by Juliane Proelss & Denis Schweizer & Volker Seiler

2016 Do WTO Rulings Really Matter? Evidence from the Rare Earth Elements Market
by Juliane Proelss & Denis Schweizer & Volker Seiler

2016 The multivariate nature of systemic risk: direct and common exposures
by Paolo Giudici & Peter Sarlin & Alessandro Spelta

2016 European lending channel: differences in transmission mechanisms due to the global financial crisis
by Tomáš Heryán & Panayiotis G. Tzeremes & Roman Matousek

2016 Term Structure of Uncertainty in the Macroeconomy
by Jaroslav Borovička & Lars Peter Hansen

2016 A critical appraisal of studies analyzing co-movement of international stock markets with a focus on East-Asian indices
by Jan F. Kiviet & Zhenxi Chen

2016 Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
by Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin

2016 Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models
by Gael M. Martin & Brendan P.M. McCabe & David T. Frazier & Worapree Maneesoonthorn & Christian P. Robert

2016 A note on normalization schemes:The case of generalized forecast error variance decompositions
by Francesco Giuseppe Caloia & Andrea Cipollini & Silvia Muzzioli

2016 The impact of credit supply shocks and a new FCI based on a FAVAR approach
by Zsuzsanna Hosszú

2016 Linkages between CDS, bond and stock markets: Evidence from Europe
by Veronika Kajurova & Jana Hvozdenska

2016 Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID
by Anastasios Demertzidis & Vahidin Jeleskovic

2016 Intraday volatility, trading volume and trading intensity in the interbank market e-MID
by Markus Engler & Vahidin Jeleskovic

2016 A new approach to volatility modeling: the High-Dimensional Markov model
by Arnaud Dufays & Maciej Augustyniak & Luc Bauwens

2016 Convergence rates of sums of α-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes
by Shin Kanaya

2016 Networks of volatility spillovers among stock markets
by Eduard Baumohl & Evzen Kocenda & Stefan Lyocsa & Tomas Vyrost

2016 Frequency aspects of information transmission in a network of three Western equity markets
by Harald Schmidbauer & Angi Rosch & Erhan Uluceviz

2016 Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates
by William Barnett & Liting Su

2016 Nowcasting Nominal GDP with the Credit-Card Augmented Divisia Monetary Aggregates
by William Barnett & Marcelle Chauvet & Danilo Leiva-Leon & Liting Su

2016 The Credit-Card-Services Augmented Divisia Monetary Aggregates
by William Barnett & Marcelle Chauvet & Danilo Leiva-Leon & Liting Su

2016 Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues
by Langedijk, Sven & Monokroussos, George & Papanagiotou, Evangelia

2016 Market Liquidity and Systemic Risk in Government Bond Markets: A Network Analysis and Agent-Based Model Approach
by Toshiyuki Sakiyama & Tetsuya Yamada

2016 Historical Events and the Gold Price
by Shubhasis Dey

2016 Risk and Return Spillovers among the G10 Currencies
by Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Barry Rafferty

2016 Leveraged ETF options implied volatility paradox: a statistical study
by Wolfgang Karl Härdle & Sergey Nasekin & Zhiwu Hong &

2016 Convergence rates of sums of α-mixing triangular arrays : with an application to non-parametric drift function estimation of continuous-time processes
by Kanaya, Shin

2016 Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations
by Liu, Yuna

2016 Stock exchange integration and price jump risks - The case of the OMX Nordic exchange mergers
by Liu, Yuna

2016 Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets
by Green, Rikard & Larsson, Karl & Lunina, Veronika & Nilsson, Birger

2016 A Dynamic Analysis of the Determinants of the Greek Credit Default Swaps
by Maria do Rosario Correia & Christian Gokus & Andrew Hughes Hallett & Christian Richter

2016 Copula--based Specification of vector MEMs
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo

2016 Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears
by Francesco Calvori & Matteo Dentella & Giampiero M. Gallo

2016 Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM
by Giampiero M. Gallo & Edoardo Otranto

2016 Median Response to Shocks: A Model for VaR Spillovers in East Asia
by Fabrizio Cipollini & Giampiero Gallo & Andrea Ugolini

2016 Global variance term premia and intermediary risk appetite
by Van Tassel, Peter & Vogt, Erik

2016 The Term Structure and Inflation Uncertainty
by Breach , Tomas & D'Amico, Stefania & Orphanides, Athanasios

2016 Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance
by Prono, Todd

2016 Time-varying Volatility and the Power Law Distribution of Stock Returns
by Missaka Warusawitharana

2016 Undiversifying during Crises: Is It a Good Idea?
by Giuzio, Margherita & Paterlini, Sandra

2016 The dynamic factor network model with an application to global credit risk
by Brauning, Falk & Koopman, Siem Jan

2016 Tourism Stocks in Times of Crises: an Econometric Investigation of Non-macro Factors
by Zopiatis, A. & Savva, C.S. & Lambertides, N. & McAleer, M.J.

2016 A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies
by Allen, D.E. & McAleer, M.J. & Singh, A.K.

2016 Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices
by Chang, C-L. & McAleer, M.J. & Wang, Y-A.

2016 Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
by Asai, M. & Chang, C-L. & McAleer, M.J.

2016 A Simple Test for Causality in Volatility
by Chang, C-L. & McAleer, M.J.

2016 Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events
by Allen, D.E. & McAleer, M.J. & Powell, R.J. & Singh, A.K.

2016 Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes
by Asai, M. & McAleer, M.J.

2016 A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics
by Asai, M. & McAleer, M.J.

2016 An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors
by Chang, C-L. & McAleer, M.J. & Wang, C-H.

2016 Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China
by Chang, C-L. & McAleer, M.J. & Tian, J.

2016 Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances
by Chang, C-L. & McAleer, M.J. & Wang, Y.

2016 Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture
by Chang, C-L. & Liu, C-P. & McAleer, M.J.

2016 Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
by Peiris, S. & Asai, M. & McAleer, M.J.

2016 Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models
by Chen, J. & Kobayashi, M. & McAleer, M.J.

2016 Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn
by Chang, C-L. & McAleer, M.J. & Wang, Y-A.

2016 How are VIX and Stock Index ETF Related?
by Chang, C-L. & Hsieh, T-L. & McAleer, M.J.

2016 Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?
by Caporin, M. & Chang, C-L. & McAleer, M.J.

2016 Causalidad en Segundos Momentos: Una aplicación a la volatilidad bursátil en México, Estados Unidos y Australia
by Omar Alejandro González Rivas

2016 Relaciones entre los mercados bursátiles de México y Estados Unidos: Evidencia de cointegración y Causalidad de Granger
by Juan Carlos Bonifacio Ramírez

2016 Analysing the Determinants of Credit Risk for General Insurance Firms in the UK
by Guglielmo Maria Caporale & Mario Cerrato & Xuan Zhang

2016 Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility
by Sucarrat, Genaro & Escribano, Álvaro

2016 The Term Structure and Inflation Uncertainty
by Breach, Tomas & D'Amico, Stefania & Orphanides, Athanasios

2016 Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case
by HAFNER, Christian M. & LINTON, Oliver B. & TANG, Haihan

2016 A New Approach to Volatility Modeling : The High-Dimensional Markov Model
by AUGUSTYNIAK, Maciej & BAUWENS, Luc & DUFAYS, Arnaud

2016 A Simple Model for Now-Casting Volatility Series
by BREITUNG, Jörg & HAFNER, Christian M.

2016 Modelling the Impacts of a Cut to Company Tax in Australia
by J.M. Dixon & J. Nassios

2016 Pronóstico del volumen de negociación del mercado secundario de renta fija en Colombia: a través de la modelación no lineal star
by Miller Ariza

2016 Network externalities across financial institutions
by Carlos Castro & Juan S. Ordoñez & Sergio Preciado

2016 Comparing Ask and Transaction Prices in the Swiss Housing Market
by Ahmed Ahmed & Diego Ardila & Dorsa Sanadgol & Didier Sornette

2016 A Diagnostic Criterion for Approximate Factor Structure
by Patrick Gagliardini & Elisa Ossola & O. Scaillet

2016 Price Impact of Aggressive Liquidity Provision
by Ramazan Gencay & Soheil Mahmoodzadeh & Jakub Rojcek & Michael C Tseng

2016 Analysing the Determinants of Credit Risk for General Insurance Firms in the UK
by Guglielmo Maria Caporale & Mario Cerrato & Xuan Zhang

2016 Stylized Facts and Simulating Long Range Financial Data
by Laurie Davies & Walter Kraemer

2016 Implied Volatility Around the World : Geographical Markets and Asset Classes
by Julian P. Veley & Brian C. Payne & Jiri Tresl & Wilfredo Toledo

2016 Forecasting the equity risk premium with frequency-decomposed predictors
by Gonçalo Faria & Fabio Verona

2016 A Semiparametric Intraday GARCH Model
by Peter Malec

2016 Asymptotic Theory for Beta-t-GARCH
by Ryoko Ito

2016 Spline-DCS for Forecasting Trade Volume in High-Frequency Finance
by Ito, R.

2016 Realised Variance Forecasting Under Box-Cox Transformations
by Nick Taylor

2016 High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models
by F. Lilla

2016 The re-pricing of sovereign risks following the global financial crisis
by Dimitris Malliaropulos & Petros M. Migiakis

2016 Systematic tail risk
by Harris, Richard & Stoja, Evarist & Nguyen, Linh

2016 Contagion, spillover and interdependence
by Rigobon, Roberto

2016 Neural Nets for Indirect Inference
by Michael Creel

2016 An Early Warning System for Macro-prudential Policy in France
by V. Coudert & J. Idier

2016 Exchange Rate Risk Premium: An Analysis of its Determinants for the Mexican Peso-USD
by Benavides Guillermo

2016 Measuring Systemic Risk Across Financial Market Infrastructures
by Fuchun Li & Héctor Pérez Saiz

2016 Credit Risk and Collateral Demand in a Retail Payment System
by Héctor Pérez Saiz & Gabriel Xerri

2016 Long and short-run components in explanatory variables and different panel-data estimates
by Alfonso Ugarte

2016 The Drift Burst Hypothesis
by Kim Christensen & Roel Oomen & Roberto Renò

2016 Convergence rates of sums of a-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes
by Shin Kanaya

2016 Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach
by Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante

2016 Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions
by Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg

2016 Dynamic Global Currency Hedging
by Bent Jesper Christensen & Rasmus T. Varneskov

2016 Cointegration of Interdependencies Among Capital Markets of Chosen Visegrad Countries and Germany
by Marcin Faldzinski & Adam P. Balcerzak & Tomas Meluzin & Michal Bernard Pietrzak & Marek Zinecker

2016 Application of DCC-GARCH model for analysis of Interrelations among Capital Markets of Poland, Czech Republic and Germany
by Marek Zinecker & Adam P. Balcerzak & Marcin Faldzinski & Tomas Meluzin & Michal Bernard Pietrzak

2016 Agrarrohstoffpreise und Lebensmittelpreise in armen Ländern
by Holtemöller, Oliver

2016 Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
by Siem Jan Koopman & André Lucas & Marcel Scharth

2016 On the relationship between healthcare expenditure and longevity: evidence from the continuous wavelet analyses
by Wen-Yi Chen & Miin-Jye Wen & Yu-Hui Lin & Yia-Wun Liang

2016 Modeling Jumps and Volatility of the Indian Stock Market Using High-Frequency Data
by Rituparna Sen & Pulkit Mehrotra

2016 A learning-augmented approach to pricing risk in South Africa
by Jacques Peeperkorn & Yudhvir Seetharam

2016 Asymmetry with respect to the memory in stock market volatilities
by Carl Lönnbark

2016 The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets
by Mehmet Fatih Öztek & Nadir Öcal

2016 Ripple effect and contagious effect in the US regional housing markets
by Ming-Chu Chiang & I-Chun Tsai

2016 Impact Of The Global Financial Crises On The Major Asian Countries And Usa Stock Markets And Inter-Linkages Among Them
by Cenk Gokce ADAS

2016 Копулярные Модели Совместного Распределения Курсов Валют
by Антонов И. Н. & Князев А. Г. & Лепёхин О. А.

2016 Heterogeneous Market Hypothesis Evaluations using Various Jump-Robust Realized Volatility
by Chin Wen CHEONG & Lee Min CHERNG & Grace Lee Ching YAP

2016 Statistical Assessment of the Value Relevance of Financial Information Reported by Romanian Listed Companies
by Elisabeta Jaba & Ioan-Bogdan Robu & Costel Istrate & Christiana Brigitte Balan & Mihai Roman

2016 Long-Memory in Volatilities of CDS Spreads: Evidences from the Emerging Markets
by Samet Günay & Yanlin Shi

2016 Estimación de la volatilidad del tipo de cambio en México y Brasil. Un enfoque con modelos Markov Switching Garch
by Caballero Martínez, Rolando & Caballero Claure, Benigno

2016 Determining the Firm Specific Factors Affecting the Capital Increase
by Tuna, İsmail & Karaca, Süleyman Serdar

2016 Joint distribution of stock indices: Methodological aspects of construction and selection of copula models
by Knyazev, Alexander & Lepekhin, Oleg & Shemyakin, Arkady

2016 Short-term Impacts of the 2004 Indian Ocean Tsunami on Stock Markets: A DCC-GARCH Analysis
by Erwan le Saout & Sébastien Ganneval

2016 Investigating a Fund Return Distribution when the Value of the Fund under Management is Irregularly Observed
by KiHoon Jimmy Hong & Stephen Satchell

2016 Hybrid MSV-MGARCH Models – General Remarks and the GMSF-SBEKK Specification
by Jacek Osiewalski & Krzysztof Osiewalski

2016 Bayesian SVLEDEJ Model for Detecting Jumps in Logarithmic Growth Rates of One Month Forward Gas Contract Prices
by Maciej Kostrzewski

2016 The UHF-GARCH-Type Model in the Analysis of Intraday Volatility and Price Durations – the Bayesian Approach
by Roman Huptas

2016 Vliv korupčního prostředí na efektivitu firem v nových zemích Evropské unie
by Jan Hanousek & Anastasiya Shamshur & Jiří Trešl

2016 Shluková analýza skoků na kapitálových trzích
by Jan Hanousek & Evžen Kočenda & Jan Novotný

2016 Dynamic Nexus between Exchange Rate and Stock Prices in the Major East European Economies
by Dejan Živkov & Jovan Njegić & Vera Mirović

2016 Exchange Rate Volatility and Uncovered Interest Rate Parity in the European Emerging Economies
by Dejan Živkov & Jovan Njegić & Mirela Momčilović & Ivan Milenković

2016 Performance Of American And Russian Joint Stock Companies On Financial Market. A Microstructure Perspective
by Magdalena Osinska & Andrzej Dobrzynski & Yochanan Shachmurove

2016 Volatility Of Yields Of Government Bonds Among Giips Countries During The Sovereign Debt Crisis In The Euro Area
by Tomas Heryan & Jan Ziegelbauer

2016 Análisis de combustibles fósiles en el mercado de generación de energía eléctrica en Colombia: un contraste entre modelos de volatilidad || Analysis of Fossil Fuels in the Market for Electricity Generation in Colombia: A Contrast between Models of Volatility
by Arango A., Mónica Andrea & Arroyave O., Santiago

2016 Analysis of Correlation Between Gross Domestic Product and Corporate Income Tax in the European Union Countries
by Ionela Cornelia Cioca

2016 South African Exchange Rate After 2000s: An Econometric Investigation
by Leleng KEBALO

2016 A Regime Switching Explanation of the Reactions of Market Participant during the Crisis
by Bachar FAKHRY

2016 Financial and Econometric Study of the Sustainability and Evaluation of Scenarios of Reforms for the Civil Regime of Moroccan
by Latifa AITOUTOUHEN & Faris HAMZA

2016 Testing the Efficiency of the GIPS Sovereign Debt Markets using an Asymmetrical Volatility Test
by Christian Rudolf RICHTER & Bachar FAKHRY

2016 A Dynamic Analysis of the Determinants of the Greek Credit Default Swaps
by Maria do Rosario CORREIA & Christian GOKUS & Andrew Hughes HALLETT & Christian R. RICHTER

2016 A befektetői túlreagálás empirikus vizsgálata a Budapesti Értéktőzsdén
by Lakatos, Máté

2016 A nonparametric approach to measuring the sensitivity of an asset’s return to the market
by Thomas A. Severini

2016 A Quantile Regression Approach to the Multiple Period Value at Risk Estimation
by Chi Ming Wong & Lei Lam Olivia Ting

2016 Dependence between stock market and foreign exchange market in South Asia: A Copula-Garch approach
by Javed Bin Kamal & A.K. Enamul Haque

2016 Predicted Possibility of Implementing Financial Potential at Agricultural Micro-Level
by Nataliya Trusova

2016 Volatilidad cambiaria estocástica: un enfoque Switching Garch para Bolivia
by Benigno Caballero Claure & Rolando Caballero Martínez

2016 Online Monitoring of Russia's Economic Outlook
by Arseny Mamedov & Evgenia Fomina & Mikhail Khromov & Natalia Shagaida & Natalia Zubarevich & Pavel Pavlov & Vasily Uzun

2016 Online Monitoring of Russia's Economic Outlook
by Arseny Mamedov & Evgenia Fomina & Alexandra Bozhechkova & Sergey Tsukhlo & Pavel Trunin & Victor Lyashok

2016 Online Monitoring of Russia's Economic Outlook
by Arseny Mamedov & Evgenia Fomina & Mikhail Khromov & Andrei Kaukin & Natalia Shagaida & Natalia Zubarevich & Pavel Pavlov & Vasily Uzun

2016 Online Monitoring of Russia's Economic Outlook
by Arseny Mamedov & Evgenia Fomina & Alexandra Bozhechkova & Sergey Tsukhlo & Pavel Trunin & Victor Lyashok

2016 The Russian Stock Market during the Ukrainian Crisis: A Network Perspective
by Harald Schmidbauer & Angi Rösch & Erhan Uluceviz & Narod Erkol

2016 Dinámicas del tipo de cambio nominal y del IPC, 1991-2014: una especificación que combina los modelos ARFIMA y GARCH
by Héctor F. Salazar-Núñez. & Francisco Venegas Martínez.

2016 Is the Effect of Risk on Stock Returns Different in Up and Down Markets? A Multi-Country Study
by Srikanta Kundu & Nityananda Sarkar

2016 Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study
by M. Hakan Eratalay

2016 Isletmelerin Finansal Basarili ve Basarisiz Olma Durumlarinin Veri Madenciligi ve Lojistik Regresyon Analizi Ile Tahmin Edilebilirligi
by Ceyda YERDELEN KAYGIN & Alper TAZEGUL & Hakan YAZARKAN

2016 Are there profit (returns) in Shariah-compliant exchange traded funds? The multiscale propensity
by Farouk, Faizal & Masih, Mansur

2016 An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries
by Yavas, Burhan F. & Dedi, Lidija

2016 Time-varying co-movements and volatility spillovers among financial sector CDS indexes in the UK
by Tamakoshi, Go & Hamori, Shigeyuki

2016 Extreme risk spillover effects in world gold markets and the global financial crisis
by Wang, Gang-Jin & Xie, Chi & Jiang, Zhi-Qiang & Stanley, H. Eugene

2016 Information transmission and dynamics of stock price movements: An empirical analysis of BRICS and US stock markets
by Bhuyan, Rafiqul & Robbani, Mohammad G. & Talukdar, Bakhtear & Jain, Ajeet

2016 Option-implied probability distributions: How reliable? How jagged?
by Taboga, Marco

2016 Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach
by Reboredo, Juan C. & Uddin, Gazi Salah

2016 Facts or fates of investors' losses during crises? Evidence from REIT-stock volatility and tail dependence structures
by Huang, MeiChi & Wu, Chih-Chiang & Liu, Shih-Min & Wu, Chang-Che

2016 Analyzing an elder’s desire for a reverse mortgage using an economic model that considers house bequest motivation, random death time and stochastic house price
by Chiang, Shu Ling & Tsai, Ming Shann

2016 Gold, oil, and stocks: Dynamic correlations
by Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš

2016 Realized correlation analysis of contagion
by Vortelinos, Dimitrios I.

2016 Do global financial distress and uncertainties impact GCC and global sukuk return dynamics?
by Naifar, Nader & Hammoudeh, Shawkat

2016 A time-varying copula approach for modelling dependency: New evidence from commodity and stock markets
by Charfeddine, Lanouar & Benlagha, Noureddine

2016 The informative role of trading volume in an expanding spot and futures market
by Bhaumik, S. & Karanasos, M. & Kartsaklas, A.

2016 Exact and asymptotic tests on a factor model in low and large dimensions with applications
by Bodnar, Taras & Reiß, Markus

2016 Does variance risk have two prices? Evidence from the equity and option markets
by Barras, Laurent & Malkhozov, Aytek

2016 Short interest and aggregate stock returns
by Rapach, David E. & Ringgenberg, Matthew C. & Zhou, Guofu

2016 Systemic risk and the macroeconomy: An empirical evaluation
by Giglio, Stefano & Kelly, Bryan & Pruitt, Seth

2016 Price and volatility co-jumps
by Bandi, F.M. & Renò, R.

2016 To debt or not to debt: Are Islamic banks less risky than conventional banks?
by Sorwar, Ghulam & Pappas, Vasileios & Pereira, John & Nurullah, Mohamed

2016 Price discontinuities in the market for RINs
by Mason, Charles F. & Wilmot, Neil A.

2016 Evaluating Value-at-Risk forecasts: A new set of multivariate backtests
by Wied, Dominik & Weiß, Gregor N.F. & Ziggel, Daniel

2016 Predictability in bond returns using technical trading rules
by Shynkevich, Andrei

2016 When does the stock market listen to economic news? New evidence from copulas and news wires
by Medovikov, Ivan

2016 Forecasting realized volatility in a changing world: A dynamic model averaging approach
by Wang, Yudong & Ma, Feng & Wei, Yu & Wu, Chongfeng

2016 Downside and upside risk spillovers between exchange rates and stock prices
by Reboredo, Juan C. & Rivera-Castro, Miguel A. & Ugolini, Andrea

2016 Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds
by Racicot, François-Éric & Théoret, Raymond

2016 Nonparametric long term prediction of stock returns with generated bond yields
by Scholz, Michael & Sperlich, Stefan & Nielsen, Jens Perch

2016 An order of asymmetry in copulas, and implications for risk management
by Siburg, Karl Friedrich & Stehling, Katharina & Stoimenov, Pavel A. & Weiß, Gregor N.F.

2016 Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers
by Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš

2016 On the weight sign of the global minimum variance portfolio
by Chiu, Wan-Yi & Jiang, Ching-Hai

2016 A note on optimal portfolios under regime–switching
by Haas, Markus

2016 Dynamic spillovers between Shanghai and London nonferrous metal futures markets
by Kang, Sang Hoon & Yoon, Seong-Min

2016 Analysts' forecast dispersion and stock returns: a panel threshold regression analysis based on conditional limited market participation hypothesis
by Li, Leon & Chen, Carl R.

2016 Identifying portfolio-based systematic risk factors in equity markets
by Grobys, Klaus & Haga, Jesper

2016 Tsallis entropy: Do the market size and liquidity matter?
by Gurdgiev, Constantin & Harte, Gerard

2016 Efficient estimation of unconditional capital by Monte Carlo simulation
by Ferrer, Alex & Casals, José & Sotoca, Sonia

2016 Adoption of the International Financial Reporting Standards (IFRS) on companies’ financing structure in emerging economies
by dos Santos, Marco Aurélio & Fávero, Luiz Paulo Lopes & Distadio, Luiz Fernando

2016 Risk-adjusting the returns of private equity using the CAPM and multi-factor extensions
by Buchner, Axel

2016 What drives asymmetric dependence structure of asset return comovements?
by Poshakwale, Sunil S. & Mandal, Anandadeep

2016 Are Japanese margin buyers informed?
by Lee, Bong-Soo & Ko, Kwangsoo

2016 Forecasting spot oil price in a dynamic model averaging framework — Have the determinants changed over time?
by Drachal, Krzysztof

2016 Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis
by Nazlioglu, Saban & Gormus, N. Alper & Soytas, Uğur

2016 Explosive oil prices
by Gronwald, Marc

2016 Electricity price forecasting using sale and purchase curves: The X-Model
by Ziel, Florian & Steinert, Rick

2016 On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes
by Berger, Theo & Uddin, Gazi Salah

2016 A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility
by Liu, Wei-han

2016 Quantile dependence of oil price movements and stock returns
by Reboredo, Juan C. & Ugolini, Andrea

2016 Evolution of the world crude oil market integration: A graph theory analysis
by Ji, Qiang & Fan, Ying

2016 A compound duration model for high-frequency asset returns
by Aldrich, Eric M. & Heckenbach, Indra & Laughlin, Gregory

2016 Duality in mean-variance frontiers with conditioning information
by Peñaranda, Francisco & Sentana, Enrique

2016 Strict stationarity, persistence and volatility forecasting in ARCH(∞) processes
by Davidson, James & Li, Xiaoyu

2016 Bank fragility and contagion: Evidence from the bank CDS market
by Ballester, Laura & Casu, Barbara & González-Urteaga, Ana

2016 An infinite hidden Markov model for short-term interest rates
by Maheu, John M. & Yang, Qiao

2016 Stochastic correlation and risk premia in term structure models
by Chiarella, Carl & Hsiao, Chih-Ying & Tô, Thuy-Duong

2016 Dynamic conditional correlation multiplicative error processes
by Bodnar, Taras & Hautsch, Nikolaus

2016 The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility
by Byun, Sung Je

2016 Linkages in the term structure of interest rates across sovereign bond markets
by Sowmya, Subramaniam & Prasanna, Krishna & Bhaduri, Saumitra

2016 Do sovereign rating announcements have an impact on regional stock market co-movements? The case of Central and Eastern Europe
by Sensoy, Ahmet & Eraslan, Veysel & Erturk, Mutahhar

2016 Unravelling the asymmetric volatility puzzle: A novel explanation of volatility through anchoring
by Ormos, Mihály & Timotity, Dusan

2016 Spillover dynamics for systemic risk measurement using spatial financial time series models
by Blasques, Francisco & Koopman, Siem Jan & Lucas, Andre & Schaumburg, Julia

2016 Robust inference of risks of large portfolios
by Fan, Jianqing & Han, Fang & Liu, Han & Vickers, Byron

2016 Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
by Kim, Donggyu & Wang, Yazhen

2016 The large-sample distribution of the maximum Sharpe ratio with and without short sales
by Maller, Ross & Roberts, Steven & Tourky, Rabee

2016 Modeling covariance breakdowns in multivariate GARCH
by Jin, Xin & Maheu, John M.

2016 High-dimensional copula-based distributions with mixed frequency data
by Oh, Dong Hwan & Patton, Andrew J.

2016 Exploiting the errors: A simple approach for improved volatility forecasting
by Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier

2016 Long memory affine term structure models
by Goliński, Adam & Zaffaroni, Paolo

2016 Heavy tails and copulas: Limits of diversification revisited
by Ibragimov, Rustam & Prokhorov, Artem

2016 Tail relation between return and volume in the US stock market: An analysis based on extreme value theory
by Longin, François & Pagliardi, Giovanni

2016 Time-varying price shock transmission and volatility spillover in foreign exchange, bond, equity, and commodity markets: Evidence from the United States
by Tian, Shuairu & Hamori, Shigeyuki

2016 Fractional integration in daily stock market indices at Jordan's Amman stock exchange
by Al-Shboul, Mohammad & Anwar, Sajid

2016 Solvency capital requirement for a temporal dependent losses in insurance
by Araichi, Sawssen & Peretti, Christian de & Belkacem, Lotfi

2016 How is China's coke price related with the world oil price? The role of extreme movements
by Guo, Yanfeng & Wen, Xiaoqian & Wu, Yanrui & Guo, Xiumei

2016 Evidence of cross-asset contagion in U.S. markets
by Chang, Guang-Di & Cheng, Po-Ching

2016 Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach
by Hoang, Thi Hong Van & Lahiani, Amine & Heller, David

2016 A new approach to risk-return trade-off dynamics via decomposition
by Frazier, David T. & Liu, Xiaochun

2016 Tax reforms and stock return volatility: The case of Japan
by Hayashida, Minoru & Ono, Hiroyuki

2016 The Analysis of Regional Development on the Basis of Corporate Structures’ Activity
by Anvar V. Gumerov & Tatiana I. Ladykova & Venera N. Minsabirova & Ruslan R. Temirbulatov & Marina Yu. Mitrofanova & Elena M. Litvinova & Liliia Yu. Makhotkina & Guzyal M. Kharisova

2016 The Relationship between Oil Prices and Exchange Rate in Russia
by Tatiana K. Blokhina & Oksana A. Karpenko & Andrey V. Guirinskiy

2016 Carbon Future Price Return, Oil Future Price Return and Stock Index Future Price Return in the U.S
by Ching-Chun Wei & Ya-Ling Lin

2016 Oil Price and Exchange Rates: A Wavelet Analysis for Organisation of Oil Exporting Countries Members
by Basheer H. M. Altarturi & Ahmad Alrazni Alshammri & Tuan Muhd Tau ik Tuan Hussin & Buerhan Saiti

2016 The Effect of Crude Oil Price Moments on Socially Responsible Firms in Eurozone
by Nikolaos Sariannidis & Grigoris Giannarakis & Eleni Zafeiriou & Ioannis Billias

2016 Indexing Oil from a Financial Point of View: A Comparison between Brent and West Texas Intermediate
by Cem Berk

2016 Examining the Relationship of Crude Oil Future Price Return and Agricultural Future Price Return in US
by Ching-Chun Wei & Shu-Min Chen

2016 The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic approach to investigating the foreign exchange forward premium volatility
by Nessrine Hamzaoui & Boutheina Regaieg

2016 Market Interactions in Gold and Stock Markets: Evidences from Saudi Arabia
by E.M. Afsal & Mohammad Imdadul Haque

2016 Exploration of the Foreign Exchange Forward Premiums and the Spot Exchange Return: A Multivariate Approach
by Nessrine Hamzaoui & Boutheina Regaieg

2016 Investigation of Turkey Credit Default Swaps with Entropy Concept
by Nurbanu Bursa & Gamze Özel Kadýlar

2016 Conditional Correlation Coefficient As A Tool For Analysis Of Contagion In Financial Markets And Real Economy Indexes Based On The Synthetic Ratio
by Rafał SIEDLECKI & Daniel PAPLA

2016 Volatility Estimators With High-Frequency Data From Bucharest Stock Exchange
by Virgil DAMIAN & Cosmin – Octavian CEPOI

2016 Higher Order Adaptive Kalman Filter For Time Varying Alpha And Cross Market Beta Estimation In Indian Market
by Atanu DAS

2016 GARCH DIFFUSION MODEL, iVIX, AND VOLATILITY RISK PREMIUM
by Xinyu WU & Hailin ZHOU

2016 Analysis of the Relationship between Market Volatility and Firms Volatility on the Polish Capital Market
by Aneta Wlodarczyk & Iwona Otola

2016 Using the First Passage Times in Markov Chain model to support financial decisions on the stock exchange
by Józef Stawicki

2016 The share of European economies in the process of convergence of long-term interest rates in the EU in the period of 2006–2016
by Elzbieta Szulc & Karolina Gorna & Dagna Wleklinska

2016 Análisis de procesos explosivos en el precio de los activos financieros: evidencia alrededor del mundo
by Julián Fernández Mejía & Jorge Mario Uribe

2016 Uncovering the portfolio balance channel with the use of sovereign credit ratings
by Laura Andrade-Pardo & Oscar Valencia-Arana & Diego Vásquez-Escobar & Mauricio Villamizar-Villegas

2016 The Informational Content of Trades on Foreign Exchange Futures: an Application to the Brazilian Market
by Vanessa Neumann Sulzbach & João Mergulhão & Pedro L. Valls Pereira

2016 The place of gold in the cross-market dependencies
by Aboura Sofiane & Chevallier Julien & Jammazi Rania & Tiwari Aviral Kumar

2016 Contagion in the EMU – The Role of Eurobonds with OMTs
by Favero Carlo A. & Missale Alessandro

2016 The impact of crude oil price on Islamic stock indices of South East Asian countries: Evidence from MGARCH-DCC and wavelet approaches
by Ahmad Monir Abdullah & Buerhan Saiti & Mansur Masih

2016 Unit root modeling for trending stock market series
by Afees A. Salisu & Umar B. Ndako & Tirimisiyu F. Oloko & Lateef O. Akanni

2016 Finance-growth nexus: Insights from an application of threshold regression model to Malaysia's dual financial system
by Alaa Alaabed & Mansur Masih

2016 Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach
by Škrinjarić Tihana & Šego Boško

2016 Uncovering the portfolio balance channel with the use of sovereign credit ratings
by Laura Andrade-Pardo & Oscar Valencia-Arana & Diego Vásquez-Escobar & Mauricio Villamizar-Villegas

2016 A Potential Contradiction Between Economic Theory and Applied Finance
by Shlomo Yitzhaki

2016 The Effect of the Auditors’ Rotation on the Accounting Quality in the Case of Romanian Listed Companies under the Transition to IFRS
by Ioan-Bogdan ROBU & Maria GROSU & Costel ISTRATE

2016 Non-Maturity Deposit Modeling in the Framework of Asset Liability Management
by Saâd Benbachir & Mohammed Mehdi El Hamzi

2016 CoVaR
by Tobias Adrian & Markus K. Brunnermeier

2016 Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels
by Christian Francq & Jean-Michel Zakoïan

2016 Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models
by Anne Péguin-Feissolle & Bilel Sanhaji

2016 Currency Risk: Comovements and Intraday Cojumps
by Jérôme Lahaye

2016 Systemic Tail Risk Distribution
by Alexis Bienvenüe & Christian Y. Robert

2016 Hedging of Time Discrete Auto-Regressive Stochastic Volatility Options
by Alexandru Badescu & Joan del Castillo & Juan-Pablo Ortega

2016 Intrinsic Liquidity in Conditional Volatility Models
by Serge Darolles & Gaëlle Le Fol & Christian Francq & Jean-Michel Zakoïan

2016 Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices
by Luc Bauwens & Manuela Braione & Giuseppe Storti

2015 The Impact of Economic Policy Uncertainty on US Real Housing Returns and their Volatility: A Nonparametric Approach
by Christophe André & Lumengo Bonga-Bonga & Rangan Gupta & John W. Muteba Mwamba

2015 On Economic Uncertainty, Stock Market Predictability and Nonlinear Spillover Effects
by Stelios Bekiros & Rangan Gupta & Clement Kyei

2015 Predicting Stock Returns and Volatility Using Consumption-Aggregate Wealth Ratios: A Nonlinear Approach
by Stelios Bekiros & Rangan Gupta

2015 Non-parameteric news impact curve: a variational approach
by Matthieu Garcin & Clément Goulet

2015 A fully non-parametric heteroskedastic model
by Matthieu Garcin & Clément Goulet

2015 Misspecification Testing in GARCH-MIDAS Models
by Conrad, Christian & Schienle, Melanie

2015 Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets
by Haas, Markus & Liu, Ji-Chun

2015 Time-scale analysis of sovereign bonds market co-movement in the EU
by Smolik, Filip & Vacha, Lukas

2015 Modeling and forecasting persistent financial durations
by Zikes, Filip & Barunik, Jozef & Shenai, Nikhil

2015 Systemic risk of UCITS investment funds and financial market stability tested using MRS model
by Jakša Krišto & Alen Stojanović & Hrvoje Filipović

2015 Volatility spillovers across petroleum markets
by Jozef Baruni & Evzen Kocenda & Lukas Vacha

2015 Bivariate GARCH models for single asset returns
by Tomasz Skoczylas

2015 Something in the Air: Information Density, News Surprises, and Price Jumps
by Fuess, Roland & Grabellus, Markus & Mager, Ferdinand & Stein, Michael

2015 Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models
by Fengler, Matthias R. & Herwartz, Helmut

2015 Testing the lag structure of assets’ realized volatility dynamics
by Audrino, Francesco & Camponovo, Lorenzo & Roth, Constantin

2015 Identification of Mixed Causal-Noncausal Models : How Fat Should We Go?
by Hecq A.W. & Lieb L.M. & Telg J.M.A.

2015 Long memory through marginalization of large systems and hidden cross-section dependence
by Chevillon G. & Hecq A.W. & Laurent S.F.J.A.

2015 Multivariate Volatility Impulse Response Analysis of GFC News Events
by David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh

2015 Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice
by Chia-Lin Chang & Yiying Li & Michael McAleer

2015 Frontiers in Time Series and Financial Econometrics: An Overview
by Shiqing Ling & Michael McAleer & Howell Tong

2015 On the Invertibility of EGARCH(p,q)
by Guillaume Gaetan Martinet & Michael McAleer

2015 The Impact of Jumps and Leverage in Forecasting Co-Volatility
by Manabu Asai & Michael McAleer

2015 The Fundamental Equation in Tourism Finance
by Michael McAleer

2015 Multivariate Volatility Impulse Response Analysis of GFC News Events
by David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh

2015 Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice
by Chia-Lin Chang & Yiying Li & Michael McAleer

2015 Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model
by Siem Jan Koopman & Rutger Lit & Andre Lucas

2015 Cyclicality in Losses on Bank Loans
by Bart Keijsers & Bart Diris & Erik Kole

2015 Testing for Stock Market Contagion: A Quantile Regression Approach
by Sungyong Park & Wendun Wang & Naijing Huang

2015 In-Sample Bounds for Time-Varying Parameters of Observation Driven Models
by Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & André Lucas

2015 Frontiers in Time Series and Financial Econometrics: An Overview
by Shiqing Ling & Michael McAleer & Howell Tong

2015 On the Invertibility of EGARCH(p,q)
by Guillaume Gaetan Martinet & Michael McAleer

2015 The Impact of Jumps and Leverage in Forecasting Co-Volatility
by Manabu Asai & Michael McAleer

2015 Importance of Foreign Ownership and Staggered Adjustment of Capital Outflows
by Ozgur Ozel & Mustafa Utku Ozmen & Erdal Yilmaz

2015 The Dynamic Relationship Between Stock, Bond and Foreign Exchange Markets
by Suleyman Hilmi Kal & Ferhat Arslaner & Nuran Arslaner

2015 The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements
by Yao, Wenying & Tian, Jing

2015 High frequency characterization of Indian banking stocks
by Sayaeed, Mohammad Abu & Dungey, Mardi & Yao, Wenying

2015 Limit Theory for Continuous Time Systems with Mildly Explosive Regressors
by Peter C. B. Phillips & Ye Chen & Jun Yu

2015 Macro-Micro Models
by John Cockburn & Luc Savard & Luca Tiberti

2015 Inflation targeting or Exchange Rate Targeting: Which Framework Supports The Goal of Price Stability in Emerging Market Economics?
by Nora Abu Asab & Juan Carlos Cuestas & Alberto Montagnoli

2015 Exchange Rate Changes and Stock Returns in China: A Markov Switching SVAR Approach
by Juan Carlos Cuestas & Bo Tang

2015 Asymmetric Exchange Rate Exposure of Stock Returns: Empirical Evidence from Chinese Industries
by Juan Carlos Cuestas & Bo Tang

2015 Effect of Housing on Net Error Omissions: An Application to Turkey Case
by Dilek ALTAS & Gulen Arikan

2015 Time-varying Multivariate Extension of the Linear Market Model for Developed and Emerging Markets
by SERDAR NESL?HANO?LU

2015 Linear and Non-linear Market Model Specifications for Developed and Emerging Markets
by SERDAR NESL?HANO?LU

2015 Portfolio Optimization of Global REITs Returns: High-Dimensional Copula-Based Approach
by ROENGCHAI TANSUCHAT

2015 Modeling Dependency and Conditional Volatility between Asian Economic Community (AEC) Country Exchange Rate and Inflation Using the Copula-GARCH Model
by KANTA TANNIYOM & Paponpat Taveeapiradeecharoen & Prapatchon Jariyapan

2015 The Performance of Conditional CAPMs based on Evidence from the European Union?s (EU) Financial Stock Markets before and after the Eurozone Financial Crisis
by Serdar Neslihanoglu

2015 Financial Stock Market Co-movement and Correlation: Evidence in the European Union (EU) Area Before and After the October 2008 Financial Crisis
by Serdar Neslihanoglu

2015 The Relationship Between Credit Default Swap Spreads, Equity Indices and Sector Equity Indices: An Empirical Study on Istanbul Stock Exchange
by AYBEN KOY

2015 Capital Structure Dynamics and Sensitivity Analysis: A Case of Developing Country?
by Muhammad Naveed

2015 Large Scale Covariance Estimates for Portfolio Selection
by Francesco Lautizi

2015 On the Selection of Common Factors for Macroeconomic Forecasting
by Alessandro Giovannelli & Tommaso Proietti

2015 A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices
by Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith

2015 A New Regression-Based Tail Index Estimator: An Application to Exchange Rates
by João Nicolau & Paulo M.M. Rodrigues

2015 Causal Effects of the United States and Japan on Pacific-Rim Stock Markets: Nonparametric Quantile Causality Approach
by Mehmet Balcilar & Rangan Gupta & Duc K. Nguyen & Mark E. Wohar

2015 US stock market regimes and oil price shocks
by Angelidis, Timotheos & Degiannakis, Stavros & Filis, George

2015 How Do Different Oil Price Shocks Affect the Relationship Between Oil and Stock Markets?
by Heidari, Hassan & Ebrahimi Torki, Mahyar & Babaei Balderlou, Saharnaz

2015 A Nonparametric Option Pricing Model Using Higher Moments
by Cayton, Peter Julian & Ho, Kin-Yip

2015 Analysing correlation between the MSE index and global stock markets
by Ellul, Reuben

2015 Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models
by Fengler, Matthias R. & Herwartz, Helmut

2015 Improving Markov switching models using realized variance
by Liu, Jia & Maheu, John M

2015 Gold-oil prices co-movements and portfolio diversification implications
by Chkili, Walid

2015 Joint inference on market and estimation risks in dynamic portfolios
by Francq, Christian & Zakoian, Jean-Michel

2015 On The Term Structure of South African Interest Rates: Cointegration and Threshold Adjustment
by Njindan Iyke, Bernard

2015 Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

2015 Tests for sphericity in multivariate garch models
by Francq, Christian & Jiménez Gamero, Maria Dolores & Meintanis, Simos

2015 On Capturing the Spreading Dynamics over Trading Prices in the Market
by Situngkir, Hokky

2015 Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels
by Francq, Christian & Zakoian, Jean-Michel

2015 Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns
by Francq, Christian & Sucarrat, Genaro

2015 Macroeconomic risk and firms financing decision: An empirical panel data investigation using system GMM
by Sinha, Pankaj & Agnihotri, Shalini

2015 Quantum microeconomics theory
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

2015 Sukuk pricing dynamics - factors influencing yield curve of the Malaysian Sukuk
by Awaludin, Fadhlee & Masih, Mansur

2015 Uncovering equity market contagion among BRICS countries: an application of the multivariate GARCH model
by Bonga-Bonga, Lumengo

2015 Determining the relationship between financial development and economic growth: An application of ARDL technique to Singapore
by Jailani, Mohamad Zaky & Masih, Mansur

2015 Does the conventional benchmark prop up non-performing loans in Islamic banks? A case study of Malaysia with ARDL Approach
by Shamsudheen, Shinaj Valangattil & Masih, Mansur

2015 Islamic banking: 40 years later, still interest-based? Evidence from Malaysia
by Gulzar, Rosana & Masih, Mansur

2015 Remittances and economic growth nexus: Do financial development and investment act as transmission channels? An ARDL bounds approach
by Najibullah, Syed & Masih, Mansur

2015 Do US policy uncertainty, leveraging costs and global risk aversion impact emerging market equities? An application of bounds testing approach to the BRICS
by Momin, Ebaad & Masih, Mansur

2015 Causality between financial development and economic growth, and the Islamic finance imperative: A case study of Indonesia
by Ismail, Mohamed Ayaz Mohamed & Masih, Mansur

2015 Socially responsible investment and Shariah-compliant investment compared: Can investors benefit from diversification? An ARDL approach
by Chowdhury, Mohammad Ashraful Ferdous & Masih, Mansur

2015 Analyzing the impact of financial sector growth on female empowerment: A focus on the United States of America
by Tariq, Anam & Masih, Mansur

2015 Finance, growth and human development: An Islamic economic development perspective
by Uddin, Md Akther & Masih, Mansur

2015 New Fractional Dickey and Fuller Test
by Bensalma, Ahmed

2015 Should investors diversify their portfolios with stocks from major trading countries? A comparative multivariate GARCH-DCC and wavelet correlation analysis
by Dwihasri, Dhaifina & Masih, Mansur

2015 Islamic versus conventional stock market and its co-movement with crude oil: a wavelet analysis
by Kamarudin, Eka Azrin & Masih, Mansur

2015 Is Islamic stock index secured against interest rate risk? Evidence from Wavelet analysis
by Rahim, Yasmin Abd & Masih, Mansur

2015 Religiosity and threshold effect in social and financial performance of microfinance institutions: System GMM and non-linear threshold approaches
by Mobin, Mohammad Ashraful & Alhabshi, Syed Othman & Masih, Mansur

2015 Islamic REIT response to macroeconomic factors: a markov regime switching auto regressive approach
by Morad, Shahidah Nailul & Masih, Mansur

2015 Stock market volatility and exchange rates: MGARCH-DCC and wavelet approaches
by Hashim, Khairul Khairiah & Masih, Mansur

2015 Impact of Arab uprising on Portfolio diversification benefits at different investment horizons for the Turkish investors in relation to the regional stock markets: Multivariate GARCH-DCC and Wavelet coherence approaches
by Buriev, Abdul Aziz & Masih, Mansur

2015 Risk sharing financing of Islamic banks: interest free or interest based?
by Seho, Mirzet & Masih, Mansur

2015 Do profit and loss sharing (PLS) deposits also affect PLS financing? Evidence from Malaysia based on DOLS, FMOLS and system GMM techniques
by Othman, Arshad Nuval & Masih, Mansur

2015 Testing for the Presence of Asymmetric Information in the Oil Market: A VAR Approach
by Troug, Haytem Ahmed & Sbia, Rashid

2015 The Relationship between Banking Competition and Stability in Developing Countries: The Case of Libya
by Troug, Haytem Ahmed & Sbia, Rashid

2015 Autocorrelation in an unobservable global trend: Does it help to forecast market returns?
by Peresetsky, Anatoly & Yakubov, Ruslan

2015 Influence of Macroeconomic Variable on Indian Stock Movement: Cointegration Approach
by Vardhan, Harsh & Sinha, Pankaj

2015 Is gold good for hedging? lessons from the Malaysian sectoral stock indices
by Rahim, Yasmin & Masih, Mansur

2015 Does the shariah index move together with the conventional equity indexes?
by Park, Kwang Suk & Masih, Mansur

2015 A Nonparametric Option Pricing Model Using Higher Moments
by Cayton, Peter Julian

2015 Forecasting Coherent Volatility Breakouts
by Didenko, Alexander & Dubovikov, Michael & Poutko, Boris

2015 The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa
by Bonga-Bonga, Lumengo & Umoetok, Ekerete

2015 Beyond location and dispersion models: The Generalized Structural Time Series Model with Applications
by Djennad, Abdelmajid & Rigby, Robert & Stasinopoulos, Dimitrios & Voudouris, Vlasios & Eilers, Paul

2015 Predictability of the daily high and low of the S&P 500 index
by Jones, Clive

2015 Product market performance and capital structure: A Hierarchical Bayesian semi-parametric panel regression model
by Mukhoti, Sujay & Guhathakurta, Kousik

2015 An Infinite Hidden Markov Model for Short-term Interest Rates
by Maheu, John M & Yang, Qiao

2015 Investor Sentiment and Irrational Speculative Bubble Model
by Hu, Zongyi & Li, Chao

2015 A multivariate model for the prediction of stock returns in an emerging market: A comparison of parametric and non-parametric models
by Bonga-Bonga, Lumengo & Mwamba, Muteba

2015 Exchange Rate Determination and Out of Sample Forecasting: Cointegration Analysis
by Hina, Hafsa & Qayyum, Abdul

2015 Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues
by Langedijk, Sven & Monokroussos, George & Papanagiotou, Evangelia

2015 An iterative plug-in algorithm for realized kernels
by Yuanhua Feng & Chen Zhou

2015 A generic approach to investment modelling in recursive dynamic CGE models
by Hom M Pant

2015 Asset Allocation Strategies Based On Penalized Quantile Regression
by Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini

2015 Dynamic Principal Components: a New Class of Multivariate GARCH Models
by Gian Piero Aielli & Massimiliano Caporin

2015 Los impactos económicos de las restricciones al transporte de gas natural en el Perú: Un análisis de equilibrio general computable
by Omar O. Chisari & Leonardo J. Mastronardi & Arturo Leonardo Vásquez Cordano & Carlos A. Romero

2015 Principal Component Analysis of High Frequency Data
by Yacine Aït-Sahalia & Dacheng Xiu

2015 The Pricing of Short-Term market Risk: Evidence from Weekly Options
by Torben G. Andersen & Nicola Fusari & Viktor Todorov

2015 Backtesting Strategies Based on Multiple Signals
by Robert Novy-Marx

2015 Systemic Risk and the Macroeconomy: An Empirical Evaluation
by Stefano Giglio & Bryan T. Kelly & Seth Pruitt

2015 Financialisation of the commodity markets. Conclusions from the VARX DCC GARCH
by Karol Szafranek

2015 FloGARCH : Realizing long memory and asymmetries in returns volatility
by Harry Vander Elst

2015 FloGARCH : Realizing long memory and asymmetries in returns volatility
by Harry Vander Elst

2015 FloGARCH : Realizing long memory and asymmetries in returns volatility
by Harry Vander Elst

2015 A New Class of Bivariate Threshold Cointegration Models
by Biqing Cai & Jiti Gao & Dag Tjostheim

2015 Non-parameteric news impact curve: a variational approach
by Matthieu Garcin & Clément Goulet

2015 A Practical Approach to Financial Crisis Indicators Based on Random Matrices
by Antoine Kornprobst & Raphael Douady

2015 The Financial Econometrics of Price Discovery and Predictability
by Seema Narayan & Russell Smyth

2015 Financial connectedness among European volatility risk premia
by Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli

2015 The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries
by Andrea BASTIANIN & Francesca CONTI & Matteo MANERA

2015 How Does Stock Market Volatility React to Oil Shocks?
by Andrea BASTIANIN & Matteo MANERA

2015 Complexity and Model Comparison in Agent Based Modeling of Financial Markets
by Alexandru Mandes & Peter Winker

2015 Evolutionary Sequential Monte Carlo Samplers for Change-point Models
by Arnaud Dufays

2015 Evolutionary Sequential Monte Carlo Samplers for Change-point Models
by Arnaud Dufays

2015 Inference and testing on the boundary in extended constant conditional correlation GARCH models
by Rasmus Søndergaard Pedersen

2015 Equity Prices and Fundamentals: a DDM-APT Mixed Approach
by & Fredj Jawadi & Georges Prat

2015 Nonparametric stochastic discount factor decomposition
by Timothy M. Christensen

2015 Estimation of stochastic volatility models by nonparametric filtering
by Shin Kanaya & Dennis Kristensen

2015 Factor structural time series models for official statistics with an application to hours worked in Germany
by Weigand, Roland & Wanger, Susanne & Zapf, Ines

2015 Measuring Connectedness of Euro Area Sovereign Risk
by Rebekka Gätjen & Melanie Schienle & &

2015 Predicting Interest Rate Volatility: Using Information on the Yield Curve
by Takamizawa, Hideyuki

2015 Mozambican Monetary Policy and the Yield Curve of Treasury Bills - An Empirical Study
by Machava, Agostinho & Brännäs, Kurt

2015 Time Series Modelling of Daily Metical/Rand Exchange Rate Returns, 1996-2014
by Brännäs, Kurt & Machava, Agostinho

2015 Legal Risk Premia During the Euro-Crisis: The Role of Credit and Redenomination Risk
by Nordvig, Jens

2015 How Low Can House Prices Go? Estimating a Conservative Lower Bound
by Alexander N. Bogin & Stephen D. Bruestle & William M. Doerner

2015 Portfolio Management With Higher Moments: The Cardinality Impact
by Rui Pedro Brito & Hélder Sebastião & Pedro Godinho

2015 Efficient Skewness/Semivariance Portfolios
by Rui Pedro Brito & Hélder Sebastião & Pedro Godinho

2015 Size Distribution of Portuguese Firms between 2006 and 2012
by Mário Augusto & Rui Pascoal & Ana Margarida Monteiro

2015 Truncated Realized Covariance when prices have infinite variation jumps
by Cecilia Mancini

2015 The equity risk premium: a review of models
by Duarte, Fernando M. & Rosa, Carlo

2015 High-Dimensional Copula-Based Distributions with Mixed Frequency Data
by Oh, Dong Hwan & Patton, Andrew J.

2015 Bayesian Estimation of Time-Changed Default Intensity Models
by Gordy, Michael B. & Szerszen, Pawel J.

2015 The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries
by Andrea Bastianin & Francesca Conti & Matteo Manera

2015 Flexibility in the Market for International Carbon Credits and Price. Dynamics Difference with European Allowances
by Claire Gavard & Djamel Kirat

2015 How Does Stock Market Volatility React to Oil Shocks?
by Andrea Bastianin & Matteo Manera

2015 GARCH Models, Tail Indexes and Error Distributions: An Empirical Investigation
by Roman Horváth & Boril Sopov

2015 The Fundamental Equation in Tourism Finance
by McAleer, M.J.

2015 Multivariate Volatility Impulse Response Analysis of GFC News Events
by Allen, D.E. & McAleer, M.J. & Powell, R.J. & Singh, A.K.

2015 Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice
by Chang, C-L. & Li, Y. & McAleer, M.J.

2015 On the Invertibility of EGARCH(p,q)
by Martinet, G.G. & McAleer, M.J.

2015 Frontiers in Time Series and Financial Econometrics
by Ling, S. & McAleer, M.J. & Tong, H.

2015 The Impact of Jumps and Leverage in Forecasting Co-Volatility
by Asai, M. & McAleer, M.J.

2015 The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling
by Joshua C.C. Chan

2015 Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence
by Chevillon, Guillaume & Hecq , Alain & Laurent, Sébastien

2015 Relation entre le prix du pétrole et les cours boursiers des grandes compagnies pétrolières mondiales
by Declerck , Francis & Indjehagopian , Jean-Pierre & Bellocq , Flavien

2015 Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices
by Adam Goliński & João Madeira & Dooruj Rambaccussing

2015 Equity Prices and Fundamentals: a DDM-APT Mixed Approach
by Fredj Jawadi & Georges Prat

2015 MGARCH models: tradeoff between feasibility and flexibility
by Ruiz, Esther & Hotta, Luiz & Almeida, Daniel De

2015 Estimating rational stock-market bubbles with sequential Monte Carlo methods
by Benedikt Rotermann & Bernd Wilfling

2015 Regression Based Estimation of Dynamic Asset Pricing Models
by Adrian, Tobias & Crump, Richard K. & Moench, Emanuel

2015 A Simple Model for Now-Casting Volatility Series
by BREITUNG, Jörg & HAFNER, Christian M.

2015 Alternative Formulation of the Leverage Effect in a Stochastic Volatility Model with Asymmetric Heavy-Tailed Errors
by Deschamps, P.

2015 Autoregressive moving average infinite hidden markov-switching models
by Bauwens, Luc & Carpantier, Jean-François & Dufays, Arnaud

2015 The Europe 2020 Strategy and Skill Mismatch
by G.A. Meagher & R.A. Wilson & Hector Pollitt

2015 An Approach About Monetary Policy Risk Balance In Colombia: A Multivariate Analysis Based On Time Series
by Fernando Uscátegui & Mike Woodcock & Carlos Méndez

2015 Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo
by Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno

2015 Portfolio Selection with Active Risk Monitoring
by Marc S. PAOLELLA & Pawel POLAK

2015 Gold, Oil, and Stocks: Dynamic Correlations
by Jozef Baruník & Evžen Kocenda & Lukáš Vácha

2015 Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover
by Jozef Baruník & Evžen Kocenda & Lukáš Vácha

2015 Extreme Downside Risk and Market Turbulence
by Richard Harris & Linh Nguyen & Evarist Stoja

2015 Volatility contagion: new evidence from market pricing of volatility risk
by Raczko, Marek

2015 Extreme downside risk and financial crises
by Harris, Richard D. F. & Nguyen, Linh H & Stoja, Evarist

2015 Filtered historical simulation Value-at-Risk models and their competitors
by Gurrola-Perez, Pedro & Murphy, David

2015 Tail comovement in option-implied inflation expectations as an indicator of anchoring
by Sara Cecchetti & Filippo Natoli & Laura Sigalotti

2015 Modelo de supervivencia empresarial a partir del índice Z de Altman
by Luis Varona Castillo

2015 Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix)
by Anne Péguin-Feissolle & Bilel Sanhaji

2015 Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach
by Shin Kanaya

2015 Parametric Portfolio Policies with Common Volatility Dynamics
by Yunus Emre Ergemen & Abderrahim Taamouti

2015 Nonlinear dynamic interrelationships between real activity and stock returns
by Markku Lanne & Henri Nyberg

2015 Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination
by Bent Jesper Christensen & Rasmus T. Varneskov

2015 Validity of Edgeworth expansions for realized volatility estimators
by Ulrich Hounyo & Bezirgen Veliyev

2015 A Martingale Decomposition of Discrete Markov Chains
by Peter Reinhard Hansen

2015 Counting Processes for Retail Default Modeling
by Nicholas M. Kiefer & C. Erik Larson

2015 Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets
by Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou

2015 Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting
by Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg

2015 Dynamic Factor Models for the Volatility Surface
by Michel van der Wel & Sait R. Ozturk & Dick van Dijk

2015 Unbalanced Regressions and the Predictive Equation
by Daniela Osterrieder & Daniel Ventosa-Santaulària & J. Eduardo Vera-Valdés

2015 Analyse et mesure du risque systémique
by Héam, Jean-Cyprien

2015 Measuring Dynamics of Risk and Performance of Sector Indices on Zagreb Stock Exchange
by Škrinjarić Tihana

2015 Do The News Affect The Eur/All Exchange Rate Volatility?
by Gentjan ÇERA & Eda Dokle & Edmond Çera

2015 Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility
by Andrew J. Patton & Kevin Sheppard

2015 Empirical Analysis of Herd Behavior in Borsa Istanbul
by Hilal Hümeyra Özsu

2015 Selected Techniques Of Detecting Structural Breaks In Financial Volatility
by Bartosz Stawiarski

2015 SMEs’ insolvency analysis in Romania in the year 2010. A microeconomic logistic approach
by Marusa Beca & Irina Maria Dragan

2015 Impact Of Structural Shifts on Variance Persistence in Asymmetric Garch Models: Evidence From Emerging Asian and European Markets
by Altaf Muhammad & Zhang Shuguang

2015 Nonlinear A Djustment To The Long-Run Equilibrium Between The Reit And The Stock Markets In Japan And Singapore
by Tsang-Yao CHANG & Hao FANG & Yen-Hsien LEE

2015 European Stock Markets Correlations In A Markov Switching Framework
by Iulia LUPU

2015 The Impact of Trade Announcements on Financial Markets. An Event Study Analysis
by Adrian Cantemir CALIN

2015 International Interactions between Index Futures Markets: Testing Meteor Shower and Heat Wave Hypotheses on Turkey and US Markets
by Gök, İbrahim Yaşar & Kalaycı, Şeref

2015 Analysis of Forecasting Performance of Investors in Turkey Within Framework of the Random Walk Model (Türkiye’de Yatırımcıların Öngörü Performanslarının Rassal Yürüyüş Modeli Çerçevesinde Analizi)
by Tanrıöver, Banu & Çöllü, Duygu Arslantürk

2015 Extraction of market expectations from risk-neutral density
by Josip Arneric & Zdravka Aljinovic & Tea Poklepovic

2015 Modeling FDI Flows from the USA to Canada:Two Main International Financial Variables Affect the Long-Run Economic Growth
by Ghada Gomaa A. Mohamed & Morrison Handley-Schachler

2015 Quantitative Easing and the U.S. Stock Market: A Decision Tree Analysis
by Ramaprasad Bhar & A.G. Malliaris & Mary Malliaris

2015 Financial Regulations and Procyclicality
by Stéphane Auray & Christian Gouriéroux

2015 Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes
by Maciej Kostrzewski

2015 Využití modelu BGM při řízení úrokového rizika v českém prostředí v období po finanční krizi
by Dana Cíchová Králová

2015 The Capital Structure Management in Companies of Selected Business Branches of Building in Conditions of the Czech Republic
by Růčková Petra & Heryán Tomáš

2015 Portfolio Selection with Uncertainty Measures Consistent with Additive Shifts
by Rosella Giacometti & Sergio Ortobelli & Tomáš Tichý

2015 Metal Returns, Stock Returns and Stock Market Volatility
by Mauricio Zeballos & Carlos del Carpio

2015 Analysis of Correlation between Gross Domestic Product and Value Added Tax in the European Union Countries
by Cioca Ionela Cornelia

2015 Ligações e transmissão de volatilidade intradiária entre mercados bolsistas europeus no âmbito da crise financeira global [Connections and transmission of intraday volatility among European stock markets within the global financial crisis]
by Vítor Manuel de Sousa Gabriel & José Ramos Pires Manso

2015 Log-volatility enhanced GARCH models for single asset returns
by Tomasz Skoczylas

2015 El mercado de los fondos de pensión en Méxi-co: Del reparto a la capitalización/Pension Funds Market in Mexico: From Pay-As-You-Go to a Fully Funded Plan
by MARTÍNEZ-PREECE, MARISSA R. & VENEGAS-MARTÍNEZ, FRANCISCO

2015 High-Mixed-Frequency Dynamic Latent Factor Forecasting Models for GDP in the Philippines/Modelos de factores dinámicos latentes con datos mixtos de alta frecuencia aplicados a la predicción del PIB en Filipinas
by MARIANO, ROBERTO S. & OZMUCUR, SULEYMAN

2015 Características financieras de las empresas escindidas en España: Aproximación mediante un modelo logit/Financial Characteristics of Spin-Off Companies in Spain: An Approach through Logit Model
by MÍNGUEZ CONDE, JOSÉ LUIS & RAMOS SÁNCHEZ, SOFÍA & RODRÍGUEZ FERNÁNDEZ, JOSÉ MIGUEL

2015 Unit-Linked Life Insurance Products Versus Other Alternative Investments
by Cristina Ciumas & Diana-Maria Chis

2015 The Steel European Stock Market Efficiency
by Viorica CHIRILA & Ciprian CHIRILA

2015 Estimation of Generalized Realized Stochastic Volatility Model: An Application to Calendar Effect of Nikkei 225
by Ishihara, Tsunehiro

2015 The equity risk premium: a review of models
by Duarte, Fernando M. & Rosa, Carlo

2015 Oil and Macroeconomic Uncertianty
by Andrea Bastianin & Matteo Manera

2015 Bidirectional Volatility Spillover Effect between the Exchange Rate and Stocks in the Presence of Structural Breaks in Selected Eastern European Economies
by Dejan Zivkov & Jovan Njegic & Ivan Milenkovic

2015 Central and Eastern European Stock Exchanges under Stress: A Range-Based Volatility Spillover Framework
by Sercan Demiralay & Selcuk Bayraci

2015 International Dependence and Contagion across Asset Classes: The Case of Poland
by Michal Adam & Piotr Banbula & Michal Markun

2015 The Capital Markets Research Based on the Financial Quantitative Models
by Antoniade Ciprian ALEXANDRU & Nicoleta CARAGEA

2015 Market-timing the business cycle
by Peláez, Rolando F.

2015 Split ratings and debt-signaling in bond markets: A note
by Ismail, Ashraf & Oh, Seunghack & Arsyad, Nuruzzaman

2015 Realized range volatility forecasting: Dynamic features and predictive variables
by Caporin, Massimiliano & Velo, Gabriel G.

2015 Determinants of the banking spread in the Brazilian economy: The role of micro and macroeconomic factors
by Almeida, Fernanda Dantas & Divino, José Angelo

2015 Managing financial risk in Chinese stock markets: Option pricing and modeling under a multivariate threshold autoregression
by Li, Johnny Siu-Hang & Ng, Andrew C.Y. & Chan, Wai-Sum

2015 Modelling a latent daily Tourism Financial Conditions Index
by Chang, Chia-Lin

2015 Advances in financial risk management and economic policy uncertainty: An overview
by Hammoudeh, Shawkat & McAleer, Michael

2015 The extreme-value dependence between the crude oil price and Chinese stock markets
by Chen, Qian & Lv, Xin

2015 The response of stock market volatility to futures-based measures of monetary policy shocks
by Gospodinov, Nikolay & Jamali, Ibrahim

2015 Islamic calendar anomalies: Evidence from Pakistani firm-level data
by Halari, Anwar & Tantisantiwong, Nongnuch & Power, David. M. & Helliar, Christine

2015 Alternative errors-in-variables models and their applications in finance research
by Chen, Hong-Yi & Lee, Alice C. & Lee, Cheng-Few

2015 Causal interrelations among market fundamentals: Evidence from the European Telecommunications sector
by Agiakloglou, Christos & Gkouvakis, Michail

2015 Why do issuers issue Sukuk or conventional bond? Evidence from Malaysian listed firms using partial adjustment models
by Mohamed, Hisham Hanifa & Masih, Mansur & Bacha, Obiyathulla I.

2015 Combining momentum, value, and quality for the Islamic equity portfolio: Multi-style rotation strategies using augmented Black Litterman factor model
by Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur. M.

2015 Dynamic factors and asset pricing: International and further U.S. evidence
by He, Zhongzhi (Lawrence) & Zhu, Jie & Zhu, Xiaoneng

2015 Cross-sectoral interactions in Islamic equity markets
by Yilmaz, Mustafa K. & Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk

2015 Dynamic relationships between spot and futures prices. The case of energy and gold commodities
by Nicolau, Mihaela & Palomba, Giulio

2015 Dynamic convergence of commodity futures: Not all types of commodities are alike
by Sensoy, Ahmet & Hacihasanoglu, Erk & Nguyen, Duc Khuong

2015 Evaluating the performance of futures hedging using multivariate realized volatility
by Ubukata, Masato & Watanabe, Toshiaki

2015 Intra-daily volatility spillovers in international stock markets
by Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman

2015 Macroannouncements, bond auctions and rating actions in the European government bond spreads
by Boffelli, Simona & Urga, Giovanni

2015 Orthogonalized regressors and spurious precision, with an application to currency exposures
by Liu, Fang & Sercu, Piet & Vandebroek, Martina

2015 Systemic risk in European sovereign debt markets: A CoVaR-copula approach
by Reboredo, Juan C. & Ugolini, Andrea

2015 How past market movements affect correlation and volatility
by Becker, Christoph & Schmidt, Wolfgang M.

2015 Regression-based estimation of dynamic asset pricing models
by Adrian, Tobias & Crump, Richard K. & Moench, Emanuel

2015 Modeling financial contagion using mutually exciting jump processes
by Aït-Sahalia, Yacine & Cacho-Diaz, Julio & Laeven, Roger J.A.

2015 Good and bad uncertainty: Macroeconomic and financial market implications
by Segal, Gill & Shaliastovich, Ivan & Yaron, Amir

2015 Why do term structures in different currencies co-move?
by Jotikasthira, Chotibhak & Le, Anh & Lundblad, Christian

2015 Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH
by Dark, Jonathan

2015 Linear programming-based estimators in nonnegative autoregression
by Preve, Daniel

2015 Multi-factor volatility and stock returns
by He, Zhongzhi (Lawrence) & Zhu, Jie & Zhu, Xiaoneng

2015 New methodology for constructing real estate price indices applied to the Singapore residential market
by Jiang, Liang & Phillips, Peter C.B. & Yu, Jun

2015 Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data
by Audrino, Francesco & Fengler, Matthias R.

2015 Modeling interest rate volatility: A Realized GARCH approach
by Tian, Shuairu & Hamori, Shigeyuki

2015 The role of the variance premium in Jump-GARCH option pricing models
by Byun, Suk Joon & Jeon, Byoung Hyun & Min, Byungsun & Yoon, Sun-Joong

2015 Trading strategies with implied forward credit default swap spreads
by Leccadito, Arturo & Tunaru, Radu S. & Urga, Giovanni

2015 The LIX: A model-independent liquidity index
by Guillaume, F.

2015 Reward-risk momentum strategies using classical tempered stable distribution
by Choi, Jaehyung & Kim, Young Shin & Mitov, Ivan

2015 Stock market volatility: Identifying major drivers and the nature of their impact
by Mittnik, Stefan & Robinzonov, Nikolay & Spindler, Martin

2015 Economic links and credit spreads
by Gençay, Ramazan & Signori, Daniele & Xue, Yi & Yu, Xiao & Zhang, Keyi

2015 Mixture pair-copula-constructions
by Weiß, Gregor N.F. & Scheffer, Marcus

2015 Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates
by Siburg, Karl Friedrich & Stoimenov, Pavel & Weiß, Gregor N.F.

2015 Capital requirements for over-the-counter derivatives central counterparties
by Lin, Li & Surti, Jay

2015 Testing the mixture of distributions hypothesis on target stocks
by Carroll, Rachael & Kearney, Colm

2015 Trends and convergence in global housing markets
by Yunus, Nafeesa

2015 Liquidity shocks and stock bubbles
by Nneji, Ogonna

2015 Nonparametric prediction of stock returns based on yearly data: The long-term view
by Scholz, Michael & Nielsen, Jens Perch & Sperlich, Stefan

2015 US stock market regimes and oil price shocks
by Angelidis, Timotheos & Degiannakis, Stavros & Filis, George

2015 Predictability of stock returns of financial companies and the role of investor sentiment: A multi-country analysis
by Kadilli, Anjeza

2015 Trading price jump clusters in foreign exchange markets
by Novotný, Jan & Petrov, Dmitri & Urga, Giovanni

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2015 Sample dependency during unconditional credit capital estimation
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2015 Higher order comoments of multifactor models and asset allocation
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2015 Testing for asymmetric causality between U.S. equity returns and commodity futures returns
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2015 Political uncertainty and the 2012 US presidential election: A cointegration study of prediction markets, polls and a stand-out expert
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2015 How performance of risk-based strategies is modified by socially responsible investment universe?
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2015 Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle
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2015 Oil prices and financial stress: A volatility spillover analysis
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2015 Pricing of forwards and other derivatives in cointegrated commodity markets
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2015 Value-at-Risk estimation of energy commodities: A long-memory GARCH–EVT approach
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2015 Oil volatility shocks and the stock markets of oil-importing MENA economies: A tale from the financial crisis
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2015 Extreme risk spillovers between crude oil and stock markets
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2015 Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets
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2015 A unit root model for trending time-series energy variables
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2015 Analyzing volatility spillovers and hedging between oil and stock markets: Evidence from wavelet analysis
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2015 Is there dependence and systemic risk between oil and renewable energy stock prices?
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2015 Efficient modeling and forecasting of electricity spot prices
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2015 A spot-forward model for electricity prices with regime shifts
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2015 Forecasting ability of the investor sentiment endurance index: The case of oil service stock returns and crude oil prices
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2015 The economic value of volatility timing with realized jumps
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2015 Volatility co-movements: A time-scale decomposition analysis
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2015 Long memory in log-range series: Do structural breaks matter?
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2015 The frequency of regime switching in financial market volatility
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2015 Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms
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2015 It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model
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2015 Heuristic learning in intraday trading under uncertainty
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2015 Dynamic copula models and high frequency data
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2015 Are Sharia stocks, gold and U.S. Treasury hedges and/or safe havens for the oil-based GCC markets?
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2015 Testing the liquidity preference hypothesis using survey forecasts
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2015 Functional index coefficient models with variable selection
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2015 Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
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2015 Frontiers in Time Series and Financial Econometrics: An overview
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2015 Specification and structural break tests for additive models with applications to realized variance data
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2015 Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
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2015 Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
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2015 A non-linear dynamic model of the variance risk premium
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2015 Option pricing with non-Gaussian scaling and infinite-state switching volatility
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2015 Market-based estimation of stochastic volatility models
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2015 Nonparametric specification tests for stochastic volatility models based on volatility density
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2015 Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
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2015 Learning, confidence, and option prices
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2015 Nonparametric tests for constant tail dependence with an application to energy and finance
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2015 Risks of large portfolios
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2015 Through the looking glass: Indirect inference via simple equilibria
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2015 Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
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2015 Multi-scale tests for serial correlation
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2015 Risk-parameter estimation in volatility models
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2015 A simple and focused backtest of value at risk
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2015 Bias in the estimation of mean reversion in continuous-time Lévy processes
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2015 Copula-MGARCH with continuous covariance decomposition
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2015 A martingale decomposition of discrete Markov chains
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2015 The variance risk premium and fundamental uncertainty
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2015 Predicting stock returns and volatility using consumption-aggregate wealth ratios: A nonlinear approach
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2015 An ARCH model without intercept
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2015 Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange
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2015 Estimation of correlations in portfolio credit risk models based on noisy security prices
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2015 Unfolded GARCH models
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2015 Relationships among CO2 Emissions, Economic Growth and Foreign Direct Investment and the Environmental Kuznets Curve Hypothesis in Turkey
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2015 Markov Regime Switching Generalized Autoregressive Conditional Heteroskedastic Model and Volatility Modeling for Oil Returns
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2015 Modeling of the Dynamics Relationship between World Crude Oil Prices and the Stock Market in Indonesia
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2015 Crude Oil Price Shocks and Stock Returns: Evidences from Turkish Stock Market under Global Liquidity Conditions
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2015 The Relationship between Banking Competition and Stability in Developing Countries: The Case of Libya
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2015 Testing for the Presence of Asymmetric Information in the Oil Market: A Vector Autoregression Approach
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2015 A Generalized Autoregressive Conditional Heteroskedasticity Examination of the Relationship between Trading Volume and Conditional Volatility in the Tunisian Stock Market: Evidence for the Information Flow Paradigm
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2015 Effectiveness of technical analysis indicators over stock return: A Panel Data Approach
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2015 Spatio-temporal Analysis of Convergence of Development Level of Selected Stock Exchanges in the Period of 2004–2012
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2015 Day-of-the-Week Effects in Liquidity on the Warsaw Stock Exchange
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2015 Modelling The Guarantee Liability Under Unit-Linked Contracts
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2015 Title: analysis of term structure of interest rates in Latin America countries from 2006 to 2014
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2015 Evaluating interest rate term-structure using extensions of the Diebold and Li three factors model
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2015 Numerical evaluation of likelihood inferences in Beta-t-Skew-EGARCH models
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2015 Financial integration in emerging market economies: Effects on volatility transmission and contagion
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2015 Impact Of The Transition To Ifrs For The Romanian Listed Companies In Financial Distress
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2015 Time-varying Industrial Portfolio Betas under the Regime-switching Model: Evidence from the Stock Exchange of Thailand
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2015(XXV) The Impact of Solvency II Directive upon the Perspectives of the Horizon 2020 Programme
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2014 Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?
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2014 Volatility Spillover between Energy and Financial Markets
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2014 Testing for Leverage Effect in Financial Returns
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2014 Multifractional processes in finance
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2014 The extent of price misalignment in prediction markets
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2014 Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks
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2014 Spillover dynamics for systemic risk measurement using spatial financial time series models
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2014 Consumption-Based Asset Pricing with Rare Disaster Risk: A Simulated Method of Moments Approach
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2014 Give me strong moments and time - Combining GMM and SMM to estimate long-run risk asset pricing models
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2014 The portfolio structure of German households: A multinomial fractional response approach with unobserved heterogeneity
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2014 The impact of the financial crisis on transatlantic information flows: An intraday analysis
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2014 Gold, Oil, and Stocks
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2014 Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?
by Barunik, Jozef & Kočenda, Evžen & Vácha, Lukáš

2014 Consumption-based asset pricing with rare disaster risk
by Grammig, Joachim & Sönksen, Jantje

2014 Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing models
by Grammig, Joachim & Schaub, Eva-Maria

2014 Estimating the spot covariation of asset prices: Statistical theory and empirical evidence
by Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus

2014 Consumption-based asset pricing with rare disaster risk
by Grammig, Joachim & Sönksen, Jantje

2014 Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing
by Grammig, Joachim & Schaub, Eva-Maria

2014 Inflation, deflation, and uncertainty: What drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?
by Scharnagl, Michael & Stapf, Jelena

2014 Risk Analysis for Three Precious Metals: An Application of Extreme Value Theory
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2014 A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities
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2014 A note on the estimation of a Gamma-Variance process: Learning from a failure
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2014 Precious Metals Under the Microscope: A High-Frequency Analysis
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2014 Modeling Intraday Stochastic Volatility and Conditional Duration Contemporaneously with Regime Shifts
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2014 Multivariate Stochastic Volatility with Dynamic Cross Leverage
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2014 A simple and general approach to fitting the discount curve under no-arbitrage constraints
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2014 An Empirical Analysis of the Ross Recovery Theorem
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2014 Exact Distribution of the Mean Reversion Estimator in the Ornstein-Uhlenbeck Process
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2014 Forecasting Realized Volatility Using Subsample Averaging
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2014 Econometric Analysis of Financial Derivatives: An Overview
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2014 A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
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2014 On the Invertibility of EGARCH
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2014 Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
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2014 Advances in Financial Risk Management andEconomic Policy Uncertainty: An Overview
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2014 Asymmetric Realized Volatility Risk
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2014 A One Line Derivation of EGARCH
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2014 Linking the problems of estimating and allocating unconditional capital
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2014 Conditional coverage and its role in determining and assessing long-term capital requirements
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2014 A new approach to the unconditional measurement of default risk
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2014 Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
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2014 Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series
by David E. Allen & Michael McAleer & Abhay K. Singh

2014 Econometric Analysis of Financial Derivatives: An Overview
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2014 Asymmetry and Leverage in Conditional Volatility Models
by Michael McAleer

2014 Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models
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2014 Volatility Spillovers from Australia's Major Trading Partners across the GFC
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2014 On the Invertibility of EGARCH
by Guillaume Gaetan Martinet & Michael McAleer

2014 Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities
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2014 A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
by Christian M. Hafner & Michael McAleer

2014 Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview
by Shawkat Hammoudeh & Michael McAleer

2014 Asymmetric Realized Volatility Risk
by David E. Allen & Michael McAleer & Marcel Scharth

2014 New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels
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2014 A One Line Derivation of EGARCH
by Michael McAleer & Christian M. Hafner

2014 Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
by Lukasz Gatarek & Lennart Hoogerheide & Herman K. van Dijk

2014 Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
by Manabu Asai & Michael McAleer

2014 The Dynamic Skellam Model with Applications
by Siem Jan Koopman & Rutger Lit & André Lucas

2014 Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
by Michael McAleer

2014 Optimal Hedging with the Vector Autoregressive Model
by Lukasz Gatarek & Søren Johansen

2014 Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series
by David E. Allen & Michael McAleer & Abhay K. Singh

2014 The Responses of the Prime Rate to a Change in Policies of the Federal Reserve
by Joseph Friedman & Yochanan Shachmurove

2014 A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market
by Liang Jiang & Peter C.B. Phillips & Jun Yu

2014 Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models
by Sainan Jin & Liangjun Su & Yonghui Zhang

2014 Should a skeptical portfolio insurer use an optimal or a risk-based multiplier?
by Maxime Bonelli & Daniel Mantilla-Garcia

2014 Is Barrier version of Merton model more realistic? Evidence from Europe
by Petra Andrlikova

2014 The Role of Information in Stock Market
by Mahmood Mahmoodzadeh & Saleh Ghavidel & Mir Hosein Mousavi

2014 Modelling Stock Return Volatility Dynamics in Selected African Markets
by Daniel King and Ferdi Botha

2014 Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market
by George Kapetanios & Michael Neumann & George Skiadopoulos

2014 Fiscal policy, output and financial stress in the case of developing and emerging European economies: a threshold VAR approach
by Shijaku, Gerti

2014 Stock Market Indexes: A random walk test with ARCH (q) disturbances
by Ben Naceur, Hassen

2014 اختبار القدرة على التنبؤ بعوائد مؤشر سوق الدار البيضاء المالي من 2007 إلى 2011
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2014 The predictability of asset returns in the BRICS countries: a nonparametric approach
by Muteba Mwamba, John Weirstrass & Webb, Daniel

2014 Testing the Effect of the Conflict in Georgia in 2008 on Energy Market
by Izatov, Asset

2014 New GMM Estimators for Dynamic Panel Data Models
by Youssef, Ahmed H. & El-Sheikh, Ahmed A. & Abonazel, Mohamed R.

2014 Enhancing Estimation for Interest Rate Diffusion Models with Bond Prices
by Zou, Tao & Chen, Song Xi

2014 Exchange Rate Exposure of Chinese Firms at the Industry and Firm level
by Tang, Bo

2014 Modelling the short-term interest rate with stochastic differential equation in continuous time: linear and nonlinear models
by Muteba Mwamba, John & Thabo, Lethaba & Uwilingiye, Josine

2014 The different impact of conventional interest rates on Islamic stock market, Islamic banking and Islamic insurance: evidence from Malaysia
by Othman, Arshad Nuval & Masih, Mansur

2014 Size and Volatility: new evidence from an application of wavelet approach to the emerging Islamic mutual funds’ industry
by Alaabed, Alaa & Masih, Mansur

2014 Finance-growth nexus: insights from an application of threshold regression model to Malaysia’s dual financial system
by Alaaabed, Alaa & Masih, Mansur

2014 Predicting the direction of US stock markets using industry returns
by Pönkä, Harri

2014 Non-Stationary Stochastic Volatility Model for Dynamic Feedback and Skewness
by Mukhoti, Sujay

2014 Which type of government revenue leads government expenditure?
by Abdi, Zeinab & Masih, Mansur

2014 What causes economic growth in Malaysia: exports or imports ?
by Hashim, Khairul & Masih, Mansur

2014 Increasing household debts and its relation to GDP, interest rate and house price: Malaysia’s perspective
by Rahman, Sharezan & Masih, Mansur

2014 Exploring portfolio diversification opportunities through venture capital financing
by Jaffar, Yusuf & Masih, Mansur

2014 Do the macroeconomic variables have any impact on the Islamic bank deposits?An application of ARDL approach to the Malaysian market
by Mobin, Mohammad Ashraful & Masih, Mansur

2014 On the fundamentals of winning virtuous strategies creation toward leveraged buyout transactions implementation during private equity investment in conditions of resonant absorption of discrete information in diffusion - type financial system with induced nonlinearities
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

2014 Bank investment attractiveness and the methodology for its assessment at mergers and acquisitions
by Yaremenko, Nataliia

2014 An inquiry into the stability of Islamic Financial Services Institutions in terms of volatility, risk and correlations: A case study of Malaysia employing M-GARCH t-DCC and MODWT Wavelet approaches
by Kamaruzdin, Thaqif & Masih, Mansur

2014 Is there any causality between inflation and FDI in an ‘inflation targeting’ regime? Evidence from South Africa
by Valli, Mohammed & Masih, Mansur

2014 On the fundamentals of winning virtuous strategies creation toward leveraged buyout transactions implementation during private equity investment in conditions of resonant absorption of discrete information in diffusion - type financial system with induced nonlinearities
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

2014 Bayesian Semiparametric Modeling of Realized Covariance Matrices
by Jin, Xin & Maheu, John M

2014 On the fundamentals of winning virtuous strategies creation toward leveraged buyout transactions implementation during private equity investment in conditions of resonant absorption of discrete information in diffusion - type financial system with induced nonlinearities
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

2014 Modeling and Forecasting Volatility – How Reliable are modern day approaches?
by Mehta, Anirudh & Kanishka, Kunal

2014 On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

2014 What Drives Profitability of Banks: Do Interest rate, and Fee and Commissions impact the profitability of Banks? Evidence from the European Countries
by el Alaoui, AbdelKader & Diwandaru, Ginanjar & Rosly, Saiful Azhar & Masih, Mansur

2014 How do Macroeconomic Changes Impact Islamic and Conventional Equity Prices? Evidence from Developed and Emerging Countries
by Dewandaru, Ginanjar & Rizvi, Syed Aun & Sarkar, Kabir & Bacha, Obiyathulla & Masih, Mansur

2014 Unveiling the House Price Movements and Financial Development
by Akcay, Belgin & Yucel, Eray

2014 Rescue costs and financial risk
by Estrada, Fernando

2014 On the Sources of Uncertainty in Exchange Rate Predictability
by Byrne, Joseph P & Korobilis, Dimitris & Ribeiro, Pinho J

2014 Portfolio diversification strategy for Malaysia: International and sectoral perspectives
by Hakim, Idwan & Masih, Mansur

2014 Portfolio Diversification Benefits of Islamic Stocks and Malaysia’s Major Trading Partners:MGARCH-DCC and Wavelet Correlation Approaches
by Rahim, Adam Mohamed & Masih, Mansur

2014 Comovement of East and West Stock Market Indexes
by Yusoff, Yuzlizawati & Masih, Mansur

2014 Are There Profit (Returns) in Shariah-Compliant Exchange Traded Funds? The Multiscale Propensity
by Farouk, Faizal & Masih, Mansur

2014 Uncertainty and Volatility in MENA Stock Markets During the Arab Spring
by Al Shugaa, Ameen & Masih, Mansur

2014 Estimating and Forecasting Conditional Volatility and Correlations of the Dow Jones Islamic Stock Market Index Using Multivariate GARCH-DCC
by Omer, Gamal Salih & Masih, Mansur

2014 Effects of Political Turmoil (Arab Spring) on Portfolio Diversification Benefits: Perspectives of the Moroccan Islamic Stock investors
by Rahim, Adam Mohamed & Masih, Mansur

2014 Does Indian Stock Market Provide Diversification Benefits Against Oil Price Shocks? A Sectoral Analysis
by Ali, Mohsin & Masih, Mansur

2014 Is the Central and Eastern European banking systems stable? Evidence from the recent financial crisis
by Karkowska, Renata

2014 Integration and Comovement of Developed and Emerging Islamic Stock Markets: A Case Study of Malaysia
by Naseri, Marjan & Masih, Mansur

2014 Estimation of Fractal Parameters of Tehran Stock Market Groups Time Series Using Discrete Wavelet Transform
by Golmohammadpoor Azar, Kamran

2014 Fractional Integration of the Price-Dividend Ratio in a Present-Value Model
by Golinski, Adam & Madeira, Joao & Rambaccussing, Dooruj

2014 Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India
by Hiremath, Gourishankar S & Kumari, Jyoti

2014 Recent Developments in Quantitative Finance: An Overview
by Chang, Chia-Lin & Hu, Shing-Yang & Yu, Shih-Ti

2014 The Effect of Recent Financial Crisis over Global Portfolio Diversification Opportunities – Empirical Evidence A Comparative Multivariate GARCH-DCC, MODWT and Wavelet Correlation Analysis
by Yildirim, Ramazan & Masih, A. Mansur M.

2014 Dynamic causal chain of money, output, interest rate, exchange rate and prices: Nigeria as a case study
by Masih, Mansur & AbdulKarim, Fatima

2014 Multi-jumps
by Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto

2014 Leverage, return, volatility and contagion: Evidence from the portfolio framework
by el Alaoui, AbdelKader & Masih, Mansur & Bacha, Obiyathulla & Asutay, Mehmet

2014 Are Islamic Banks Truly Shariah Compliant? An Application of Time Series Multivariate Forecasting Techniques to Islamic Bank Financing
by Rafi, Umar & Masih, Mansur

2014 Causality in distribution between European stock markets and commodity prices: Using independence test based on the empirical copula
by Wanat, Stanisław & Papież, Monika & Śmiech, Sławomir

2014 Are The Profit Rates of the Islamic Investment Deposit Accounts Truly Performance Based? A Case Study of Malaysia
by Hussan, Subithabhanu & Masih, Mansur

2014 Do Portfolio Diversification Opportunities exist across the Euro Zone Islamic Equity Markets? MGARCH-DCC and Wavelet Correlation Analysis
by Ilhan, Bilal & Masih, Mansur

2014 Leverage, Sensitivity to Market Risk and Contagion: A Multi-Country Analysis for Shari’ah(Islamic) Stock Screening
by el Alaoui, AbdelKader & Masih, Mansur & Bacha, Obiyathulla & Asutay, Mehmet

2014 Leverage versus volatility: Evidence from the Capital Structure of European Firms
by el Alaoui, AbdelKader & Masih, Mansur & Bacha, Obiyathulla & Asutay, Mehmet

2014 Selected Macroeconomic Variables and Stock Market Movements: Empirical evidence from Thailand
by Forson, Joseph Ato & Janrattanagul, Jakkaphong

2014 On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

2014 Dynamic Integration of Domestic Equity Price, Foreign Equity Price and Macroeconomic Indicators: Evidence from Malaysia
by Kabir, Sarkar Humayun & Masih, Mansur

2014 Oil price shocks and GCC capital markets: who drives whom?
by Rizvi, Aun & Masih, Mansur

2014 The Co-movement of Selective Conventional and Islamic Stock Markets in East Asia: Is there any Impact on Shariah Compliant Equity Investment in China?
by Saiti, Buerhan & Masih, Mansur

2014 The Impact of Crude Oil Price on Islamic Stock Indices of Gulf Cooperation Council (GCC) Countries: A Comparative Analysis
by Rithuan, Syahidah Hanis Meor & Abdullah, Ahmad Monir & Masih, Abul Mansur M.

2014 Diversification in Crude Oil and Other Commodities: A Comparative Analysis
by Abdullah, Ahmad Monir & Saiti, Buerhan & Masih, Abul Mansur M.

2014 Causality between Stock Market Index and Macroeconomic Variables: A Case Study for Malaysia
by Abdullah, Ahmad Monir & Saiti, Buerhan & Masih, Abul Mansur M.

2014 The Impact of Crude Oil Price on Macroeconomic Variables: New Evidence from Malaysia
by Abdullah, Ahmad Monir & Masih, Abul Mansur M.

2014 Risk Taking Behavior and Capital Adequacy in a Mixed Banking System: New Evidence from Malaysia using Dynamic OLS and Two-step Dynamic System GMM Estimators
by Abdul Wahab, Hishamuddin & Rosly, Saiful Azhar & Masih, Abul Mansur M.

2014 The Impact of Crude Oil Price on Islamic Stock Indices of South East Asian (SEA) Countries: A Comparative Analysis
by Abdullah, Ahmad Monir & Saiti, Buerhan & Masih, Abul Mansur M.

2014 Testing the Conventional and Islamic Financial Market Contagion: Evidence from Wavelet Analysis
by Saiti, Buerhan & Bacha, Obiyathulla & Masih, Mansur

2014 Stock Market Co-movement and Shock Transmission: Islamic versus Conventional Equity Indices
by Dewandaru, Ginanjar & Alaoui, AbdelKader & Bacha, Obiyathulla & Masih, Mansur

2014 Dynamic State-Space Models
by Karapanagiotidis, Paul

2014 Dynamic modeling of commodity futures prices
by Karapanagiotidis, Paul

2014 Forecasting conditional volatility on the RIN market using MS GARCH model
by Kakorina, Ekaterina

2014 The conditional dependence structure between precious metals: a copula-GARCH approach
by Wanat, Stanisław & Papież, Monika & Śmiech, Sławomir

2014 Asymmetric Information and IPO Size
by Miglo, Anton & Wu, Congsheng

2014 Sensitivity of Value at Risk estimation to NonNormality of returns and Market capitalization
by Sinha, Pankaj & Agnihotri, Shalini

2014 Can Analysts Predict Rallies Better Than Crashes?
by Medovikov, Ivan

2014 Bayesian Averaging of Classical Estimates in Asymmetric Vector Autoregressive (AVAR) Models
by Albis, Manuel Leonard F. & Mapa, Dennis S.

2014 Forecasting Time-Varying Correlation using the Dynamic Conditional Correlation (DCC) Model
by Mapa, Dennis S. & Paz, Nino Joseph I. & Eustaquio, John D. & Mindanao, Miguel Antonio C.

2014 The Time-Varying Risk and Return Trade Off in Indian Stock Markets
by Mohanty, Roshni & P, Srinivasan

2014 Stock Market Development and Economic growth in India: An Empirical Analysis
by P., Srinivasan

2014 Modeling Covariance Breakdowns in Multivariate GARCH
by Jin, Xin & Maheu, John M

2014 Modelling a Latent Daily Tourism Financial Conditions Index
by Chang, Chia-Lin

2014 Stochastic conditonal range, a latent variable model for financial volatility
by Galli, Fausto

2014 Stochastic conditonal range, a latent variable model for financial volatility
by Galli, Fausto

2014 A non parametric ACD model
by Cosma, Antonio & Galli, Fausto

2014 Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates
by Zhu, Ke & Li, Wai Keung & Yu, Philip L.H.

2014 Strategies on initial public offering of company equity at stock exchanges in imperfect highly volatile global capital markets with induced nonlinearities
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

2014 Influence of Foreign Institutional Investments (FIIs) on the Indian stock market
by Vardhan, Harsh & Sinha, Pankaj

2014 Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis
by El Ghini, Ahmed & Saidi, Youssef

2014 Value-at-risk Predictions of Precious Metals with Long Memory Volatility Models
by Demiralay, Sercan & Ulusoy, Veysel

2014 A new Pearson-type QMLE for conditionally heteroskedastic models
by Zhu, Ke & Li, Wai Keung

2014 Mergers and acquisitions transactions strategies in diffusion - type financial systems in highly volatile global capital markets with nonlinearities
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

2014 Chasing Volatility. A Persistent Multiplicative Error Model With Jumps
by Massimiliano Caporin & Eduardo Rossi & Paolo Santucci De Magistris

2014 Factor High-Frequency Based Volatility (HEAVY) Models
by Kevin Sheppard

2014 . . . and the Cross-Section of Expected Returns
by Campbell R. Harvey & Yan Liu & Heqing Zhu

2014 Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
by Frank Schorfheide & Dongho Song & Amir Yaron

2014 On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers
by Arnaud Dufays

2014 On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers
by Arnaud Dufays

2014 On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers
by Arnaud Dufays

2014 Hong Kong: A Bridge Connecting Mainland China and the International Market
by Zhenxi CHEN & Jan F. KIVIET & Weihong Huang

2014 Indirect Inference Estimation of Nonlinear Dynamic General Equilibrium Models : With an Application to Asset Pricing under Skewness Risk
by Francisco RUGE-MURCIA

2014 Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
by Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin

2014 Approximate Bayesian Computation in State Space Models
by Gael M. Martin & Brendan P.M. McCabe & Worapree Maneesoonthorn & Christian P. Robert

2014 Volatility risk premia and financial connectedness
by Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli

2014 Volatility risk premia and financial connectedness
by Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli

2014 Water, Food, Energy: Searching for the Economic Nexus
by Massimo PERI & Daniela VANDONE & Lucia BALDI

2014 Optimal hedging with the cointegrated vector autoregressive model
by Lukasz Gatarek & Søren Johansen

2014 Targeting estimation of CCC-Garch models with infinite fourth moments
by Rasmus Søndergaard Pedersen

2014 Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management
by Riadh Aloui & Mohamed Safouane Ben Aïssa & Shawkat Hammoudeh & Duc Khuong Nguyen

2014 Can Economic Uncertainty, Financial Stress and Consumer Senti-ments Predict U.S. Equity Premium?
by Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen

2014 On the detection of extreme movements and persistent behavior in Mediterranean stock markets: a wavelet-based approach
by Chaker Aloui & Duc Khuong Nguyen

2014 The shift-contagion effect of global financial crisis and the European debt crisis on OECD Countries
by Irfan Akbar Kazi & Mohamed Mehanaoui & Farhan Akbar

2014 Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence
by Markus Bibinger & Markus Reiss & Nikolaus Hautsch & Peter Malec &

2014 Beyond dimension two: A test for higher-order tail risk
by Carsten Bormann & Melanie Schienle & Julia Schaumburg &

2014 Localising Forward Intensities for Multiperiod Corporate Default
by Dedy Dwi Prastyo & Wolfgang Karl Härdle & &

2014 TEDAS - Tail Event Driven ASset Allocation
by Wolfgang Karl Härdle & Sergey Nasekin & David Lee Kuo Chuen & Phoon Kok Fai

2014 Nonparametric Test for a Constant Beta over a Fixed Time Interval
by Markus Reiß & Viktor Todorov & George Tauchen &

2014 Nonparametric Estimates for Conditional Quantiles of Time Series
by Jürgen Franke & Peter Mwita & Weining Wang &

2014 The Fluke Of Stochastic Volatility Versus Garch Inevitability : Which Model Creates Better Forecasts?
by Valeria V. Lakshina

2014 Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
by Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun

2014 Financial Market Contagion during the Global Financial Crisis
by Mollah, Sabur & Zafirov, Goran & Quoreshi, AMM Shahiduzzaman

2014 Credit Risk Modeling under Conditional Volatility
by Rohde, Johannes & Sibbertsen, Philipp

2014 Portfolio Choice under Parameter Uncertainty: Bayesian Analysis and Robust Optimization Comparison
by António Alberto Santos & Ana Margarida Monteiro & Rui Pascoal

2014 Does U.S. Monetary Policy Affect Crude Oil Future Price Volatility? An Empirical Investigation
by Alessandra Amendola & Vincenzo Candila & Antonio Scognamillo

2014 Forecasting Realized Volatility with Changes of Regimes
by Giampiero M. Gallo & Edoardo Otranto

2014 Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares
by Francesco Calvori & Fabrizio Cipollini & Giampiero M. Gallo

2014 Option-implied term structures
by Vogt, Erik

2014 The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited
by Lahaye, Jerome & Neely, Christopher J.

2014 Texas Manufacturing Outlook Survey: survey methodology and performance
by Canas, Jesus & Kerr, Emily

2014 The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks
by Gospodinov, Nikolay & Jamali, Ibrahim

2014 Range-based Volatility Estimation and Forecasting
by Daniel Bencik

2014 On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model
by Jozef Baruník & Frantisek Cech

2014 Is Barrier version of Merton model more realistic? Evidence from Europe
by Petra Andrlíková

2014 Econometric Analysis of Financial Derivatives
by Chang, C-L. & McAleer, M.J.

2014 Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion
by Joshua C.C. Chan & Angelia L. Grant

2014 Currency hedge – walking on the edge?
by Fabio Filipozzi & Kersti Harkmann

2014 A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market
by Liang Jiang & Peter C.B. Phillips & Jun Yu

2014 Outliers in multivariate Garch models
by Veiga, Helena & Martín-Barragán, Belén & Grané, Aurea

2014 Multi-level Conditional VaR Estimation in Dynamic Models
by Christian Francq & Jean-Michel Zakoian

2014 Multi-level Conditional VaR Estimation in Dynamic Models
by Christian Francq & Jean-Michel Zakoian

2014 A simple model for now-casting volatility series
by Hafner, Christian M. & Breitung, Jörg

2014 Construction of value-at-risk forecasts under different distributional assumptions within a BEKK framework
by Braione, Manuela & Scholtes, Nicolas K.

2014 Forecasting comparison of long term component dynamic models for realized covariance matrices
by BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe

2014 Specific Markov-switching behaviour for ARMA parameters
by CARPANTIER, Jean-François & DUFAYS, Arnaud

2014 Emerging Structural Pressures in European Labour Markets
by G.A. Meagher & R.A.Wilson & E.Yerushalmi

2014 Interfacing a CGE Labour Market Model with the E3ME Multi-Sector Macroeconomic Model
by G.A. Meagher & Felicity Pang & R.A. Wilson

2014 Scale-free tails in Colombian financial indexes: a primer
by Carlos León

2014 The Economics of Bitcoins - Market Characteristics and Price Jumps
by Marc Gronwald

2014 A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices
by Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith

2014 Asymptotic Properties of Imputed Hedonic Price Indices
by Olivier Schöni

2014 Econometric Analysis of Financial Derivatives: An Overview
by Chia-Lin Chang & Michael McAleer

2014 Asymmetry and Leverage in Conditional Volatility Models
by Michael McAleer

2014 Volatility Spillovers from Australia's major trading partners across the GFC
by David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh

2014 On the Invertibility of EGARCH
by Guillaume Gaetan Martinet & Michael McAleer

2014 Asymmetric Realized Volatility Risk
by David E. Allen & Michael McAleer & Marcel Scharth

2014 A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
by Christian M. Hafner & Michael McAleer

2014 Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview
by Shawkat Hammoudeh & Michael McAleer

2014 A One Line Derivation of EGARCH
by Michael McAleer & Christian M. Hafner

2014 Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
by Manabu Asai & Michael McAleer

2014 Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
by Michael McAleer

2014 Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series
by David E. Allen & Michael McAleer & Abhay K. Singh

2014 Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence
by Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss

2014 A multiple testing approach to the regularisation of large sample correlation matrices
by Natalia Bailey & Vanessa Smith & M. Hashem Pesaran

2014 A Compound Multifractal Model for High-Frequency Asset Returns
by Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin

2014 Expectations, risk premia and information spanning in dynamic term structure model estimation
by Guimarães, Rodrigo

2014 Interventions and Expected Exchange Rates in Emerging Market Economies
by Santiago García-Verdú & Manuel Ramos Francia

2014 Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis
by Juan R. Hernández

2014 Calibrating the Italian smile with time-varying volatility and heavy-tailed models
by Michele Leonardo Bianchi & Frank J. Fabozzi & Svetlozar T. Rachev

2014 Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure
by Soloschenko, Max & Weber, Enzo

2014 Matrix Box-Cox Models for Multivariate Realized Volatility
by Weigand, Roland

2014 Matrix Box-Cox Models for Multivariate Realized Volatility
by Roland Weigand

2014 Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections
by Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis

2014 Supervivencia de las empresas según indicadores empresariales. Modelo lineal mixto con datos de panel, período 2004 al 2008, caso de España
by Luis Varona Castillo & Laura Gismera Tierno & Ricardo Gimeno Nogues

2014 The Impact of Political Majorities on Firm Value: Do Electoral Promises or Friendship Connections Matter?
by Renaud Coulomb & Marc Sangnier

2014 Indirect inference with time series observed with error
by Eduardo Rossi & Paolo Santucci de Magistris

2014 On the Selection of Common Factors for Macroeconomic Forecasting
by Alessandro Giovannelli & Tommaso Proietti

2014 Optimal hedging with the cointegrated vector autoregressive model
by Søren Johansen & Lukasz Gatarek

2014 Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
by Ulrich Hounyo

2014 Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500
by Massimiliano Caporin & Luca Corazzini & Michele Costola

2014 Chasing volatility - A persistent multiplicative error model with jumps
by Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris

2014 Volatility jumps and their economic determinants
by Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris

2014 Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets
by Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor

2014 Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
by Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou

2014 Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity
by Kris Boudt & Sébastien Laurent & Asger Lunde & Rogier Quaedvlieg

2014 Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange
by Asger Lunde & Kasper V. Olesen

2014 High-Frequency Trading and Probability Theory
by Zhaodong Wang & Weian Zheng

2014 Econometric Methods and Their Applications in Finance, Macro and Related Fields
by

2014 Technical Analysis and Financial Asset Forecasting:From Simple Tools to Advanced Techniques
by Raymond Hon Fu Chan & Spike Tsz Ho Lee & Wing-Keung Wong

2014 Particularities Of Transfer Channel In The Financial Network Modeling
by DIMITRIU, Mihail

2014 A Tale Of Two Euro-Zones. Banks' Funding, Sovereign Risk And Unconventional Monetary Policies
by Nicolas FULLI-LEMAIRE

2014 Effects of the Public Sector downsizing on Social Security and public finance
by Ioannis Vogiatzis & Costas Siriopoulos & Nikolaos Frangos

2014 Impact Of The Fii'S Indian Equity Investment Behavior On The Bric Countries' Stock Market Volatility During The Subprime Crisis. An Empirical Investigation
by AMANJOT SINGH & PARNEET KAUR

2014 Generating Covariances in multifactor CIR model
by Wojciech Szatzschneider

2014 Obtaining and Predicting the Bounds of Realized Correlations
by Lidan Grossmass

2014 Estimation Of Risk Neutral Measure For Polish Stock Market
by Pawe³ Kliber

2014 A Comparison of the Long Term Interdependence of Southeast Asian Equity Markets
by Islam , Raisul

2014 Is it possible to break the «curse of dimensionality»? Spatial specifications of multivariate volatility models
by Lakshina, Valeriya

2014 Autocorrelation in the global stochastic trend
by Durdyev, Ruslan & Peresetsky, Anatoly

2014 Investment portfolio risk modelling based on hierarchical copulas
by Penikas, Henry

2014 Comparing «Realized volatility» models in the VaR calculation for the Russian equity market
by Shcherba, Alexandr

2014 A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation
by Monica Billio & Lorenzon Frattarolo & Lauriana Pelizzon

2014 Higher order conditional moment dynamics and forecasting value-at-risk (in Russian)
by Grigory Franguridi

2014 Time varying vine copulas for multivariate returns (in Russian)
by Oleg Groshev

2014 Bayesian Estimation and Prediction for ACD Models in the Analysis of Trade Durations from the Polish Stock Market
by Roman Huptas

2014 Simulating Bivariate Stationary Processes with Scale-Specific Characteristics
by Milan Bašta

2014 Análisis de la volatilidad del índice principal del mercado bursátil mexicano, del índice de riesgo país y de la mezcla mexicana de exportación mediante un modelo GARCH trivariado asimétrico || Volatility Analysis of the Core Mexican Stock Market Index, the Country Risk Index, and the Mexican Oil Basket Using an Asymmetric Trivariate GARCH Model
by Villalba Padilla, Fátima Irina & Flores-Ortega, Miguel

2014 Mutations Driven by the Global Financial Crisis on the Hierarchy of Monetary Policy Transmission Mechanism Channels in CEE Countries
by Popescu Iulian Vasile

2014 Analysis of the Banking System Performance in Romania During 2000-2012
by Cioca Ionela Cornelia

2014 Pricing And Assessing Unit-Linked Insurance Contracts With Investment Guarantees
by Ciumas Cristina & Chis Diana-Maria

2014 The Empirical Analysis of Liquidity
by Craig W. Holden & Stacey Jacobsen & Avanidhar Subrahmanyam

2014 Is illiquidity risk priced? The case of the Polish medium-size emerging stock market
by Joanna Olbryœ

2014 “Every move you make, every step you take, I’ll be watching you” – the quest for hidden orders in the interbank FX spot market
by Katarzyna Bień-Barkowska

2014 Análisis del riesgo de mercado de los fondos de pensión en México Un enfoque con modelos autorregresivos
by Martínez Preece Marissa R. & Venegas Martínez Francisco

2014 The Role of Information Asymmetry in Financing Methods
by Mahdi Salehi & Vahab Rostami & Hamid Hesari

2014 Financial crises and volatility spillovers among emerging European equity markets
by Ugur Ergun & Zehra Mahmutović

2014 Analysis of the Behavior of Volatility in Crude Oil Price
by Fernando Antonio Lucena Aiube & Tara Keshar Nanda Baidya

2014 Financial bubbles and recent behaviour of the Latin American stock markets
by Jorge Uribe & Julián Fernández

2014 A study of the relation between inflation and exchange rates in the Fiji islands: a cointegration and vector error correction approach
by Muthucattu Thomas Paul & Yih Pin Tang & Markand Bhatt

2014 On the Hook for Impaired Bank Lending: Do Sovereign-Bank Interlinkages Affect the Net Cost of a Fiscal Stimulus?
by Robert Kelly & Kieran McQuinn

2014 Value at Risk Estimation for Heavy Tailed Distributions
by Imed Gammoudi & Lotfi BelKacem & Mohamed El Ghourabi

2014 Modeling Risk Convergence for European Financial Markets
by Radu Lupu & Adrian Cantemir Calin & Iulia Lupu & Oana Cristina Popovici

2014 The Dynamics of Sovereign Credit Default Swaps and the Evolution of the Financial Crisis in Selected Central European Economies
by Agata Kliber

2014 Uretim Isletmelerinde Firma Karliliginin Finansal Belirleyicileri ve BIST Imalat Sanayi Uygulamasi
by Ozge KORKMAZ & Suleyman Serdar KARACA

2014 The effects of news events on market contagion: Evidence from the 2007–2009 financial crisis
by Chevapatrakul, Thanaset & Tee, Kai-Hong

2014 On cross-currency transmissions between US dollar and euro LIBOR-OIS spreads
by Tamakoshi, Go & Hamori, Shigeyuki

2014 Gold and exchange rates: Downside risk and hedging at different investment horizons
by Reboredo, Juan C. & Rivera-Castro, Miguel A.

2014 Determining what drives stock returns: Proper inference is crucial: Evidence from the UK
by Ma, Jun & Wohar, Mark E.

2014 A view to the long-run dynamic relationship between crude oil and the major asset classes
by Turhan, M. Ibrahim & Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk

2014 Wavelet-based evidence of the impact of oil prices on stock returns
by Reboredo, Juan C. & Rivera-Castro, Miguel A.

2014 The impact of political majorities on firm value: Do electoral promises or friendship connections matter?
by Coulomb, Renaud & Sangnier, Marc

2014 Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors
by Hammoudeh, Shawkat & Mensi, Walid & Reboredo, Juan Carlos & Nguyen, Duc Khuong

2014 Currency jumps and crises: Do developed and emerging market currencies jump together?
by Chan, Kam Fong & Powell, John G. & Treepongkaruna, Sirimon

2014 Are Japanese short sellers information detectives?
by Lee, Bong-Soo & Ko, Kwangsoo

2014 Impacts of the financial crisis on eurozone sovereign CDS spreads
by Gündüz, Yalin & Kaya, Orcun

2014 Cross-hedging strategies between CDS spreads and option volatility during crises
by Da Fonseca, José & Gottschalk, Katrin

2014 System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies
by Gnabo, Jean-Yves & Hvozdyk, Lyudmyla & Lahaye, Jérôme

2014 A new set of improved Value-at-Risk backtests
by Ziggel, Daniel & Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik

2014 Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?
by Jung, R.C. & Maderitsch, R.

2014 Yes, the CAPM is testable
by Guermat, Cherif

2014 Integration of European bond markets
by Christiansen, Charlotte

2014 The dynamics of spillover effects during the European sovereign debt turmoil
by Alter, Adrian & Beyer, Andreas

2014 An analysis of price discovery from panel data models of CDS and equity returns
by Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan Sivananthan

2014 Cojumps in stock prices: Empirical evidence
by Gilder, Dudley & Shackleton, Mark B. & Taylor, Stephen J.

2014 Riskiness-minimizing spot-futures hedge ratio
by Chen, Yi-Ting & Ho, Keng-Yu & Tzeng, Larry Y.

2014 Industry co-movement and cross-listing: Do home country factors matter?
by Lee, Chien-Chiang & Chen, Mei-Ping & Chang, Chi-Hung

2014 Instabilities in the relationships and hedging strategies between crude oil and US stock markets: Do long memory and asymmetry matter?
by Chkili, Walid & Aloui, Chaker & Nguyen, Duc Khuong

2014 Financial linkages between US sector credit default swaps markets
by Arouri, Mohamed & Hammoudeh, Shawkat & Jawadi, Fredj & Nguyen, Duc Khuong

2014 A comparative analysis of the dynamic relationship between oil prices and exchange rates
by Turhan, M. Ibrahim & Sensoy, Ahmet & Hacihasanoglu, Erk

2014 Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises
by Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia

2014 Outperformance in exchange-traded fund pricing deviations: Generalized control of data snooping bias
by Kearney, Fearghal & Cummins, Mark & Murphy, Finbarr

2014 Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks
by Boudt, Kris & Petitjean, Mikael

2014 Constructing a financial fragility index for emerging countries
by Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk

2014 Can analysts predict rallies better than crashes?
by Medovikov, Ivan

2014 Foreign exchange customers and dealers: Who’s driving whom?
by Gradojevic, Nikola

2014 Contagion effect on bond portfolio risk measures in a hybrid credit risk model
by Boudreault, Mathieu & Gauthier, Geneviève & Thomassin, Tommy

2014 Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets
by Bekiros, Stelios D.

2014 Financial crisis, Value-at-Risk forecasts and the puzzle of dependency modeling
by Berger, T. & Missong, M.

2014 Energy price dynamics in the U.S. market. Insights from a heterogeneous multi-regime framework
by Dias, José G. & Ramos, Sofia B.

2014 Jump processes in natural gas markets
by Mason, Charles F. & A. Wilmot, Neil

2014 Heterogeneous price dynamics in U.S. regional electricity markets
by Dias, José G. & Ramos, Sofia B.

2014 Wavelet dynamics for oil-stock world interactions
by Madaleno, Mara & Pinho, Carlos

2014 Futures pricing in electricity markets based on stable CARMA spot models
by Benth, Fred Espen & Klüppelberg, Claudia & Müller, Gernot & Vos, Linda

2014 The switching relationship between natural gas and crude oil prices
by Brigida, Matthew

2014 Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management
by Aloui, Riadh & Aïssa, Mohamed Safouane Ben & Hammoudeh, Shawkat & Nguyen, Duc Khuong

2014 An empirical Bayesian approach to stein-optimal covariance matrix estimation
by Gillen, Benjamin J.

2014 Diagnosing the distribution of GARCH innovations
by Sun, Pengfei & Zhou, Chen

2014 On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets
by Conrad, Christian & Loch, Karin & Rittler, Daniel

2014 A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models
by Bauwens, Luc & De Backer, Bruno & Dufays, Arnaud

2014 Modelling stock volatilities during financial crises: A time varying coefficient approach
by Karanasos, Menelaos & Paraskevopoulos, Alexandros G. & Menla Ali, Faek & Karoglou, Michail & Yfanti, Stavroula

2014 Measuring and testing for the systemically important financial institutions
by Castro, Carlos & Ferrari, Stijn

2014 Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis
by Dewandaru, Ginanjar & Rizvi, Syed Aun R. & Masih, Rumi & Masih, Mansur & Alhabshi, Syed Othman

2014 Does the information content of payout initiations and omissions influence firm risks?
by von Eije, Henk & Goyal, Abhinav & Muckley, Cal B.

2014 Improved inference in the evaluation of mutual fund performance using panel bootstrap methods
by Blake, David & Caulfield, Tristan & Ioannidis, Christos & Tonks, Ian

2014 Modeling multivariate extreme events using self-exciting point processes
by Grothe, Oliver & Korniichuk, Volodymyr & Manner, Hans

2014 Estimating spot volatility with high-frequency financial data
by Zu, Yang & Peter Boswijk, H.

2014 Testing stationarity of functional time series
by Horváth, Lajos & Kokoszka, Piotr & Rice, Gregory

2014 Multivariate rotated ARCH models
by Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin

2014 On implied volatility for options—Some reasons to smile and more to correct
by Chen, Song Xi & Xu, Zheng

2014 Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
by Jensen, Mark J. & Maheu, John M.

2014 Marginal likelihood for Markov-switching and change-point GARCH models
by Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K.

2014 Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence
by Kim, Hyun Hak & Swanson, Norman R.

2014 Time-varying sparsity in dynamic regression models
by Kalli, Maria & Griffin, Jim E.

2014 Can we reject linearity in an HAR-RV model for the S&P 500? Insights from a nonparametric HAR-RV
by Lahaye, Jerome & Shaw, Philip

2014 Non-linear volatility dynamics and risk management of precious metals
by Demiralay, Sercan & Ulusoy, Veysel

2014 The conditional dependence structure of insurance sector credit default swap indices
by Tamakoshi, Go & Hamori, Shigeyuki

2014 Islamic equity market integration and volatility spillover between emerging and US stock markets
by Majdoub, Jihed & Mansour, Walid

2014 The symmetrical and positive relationship between crude oil and nominal exchange rate returns
by Chang, Kuang-Liang

2014 Detecting predictable non-linear dynamics in Dow Jones Islamic Market and Dow Jones Industrial Average indices using nonparametric regressions
by Álvarez-Díaz, Marcos & Hammoudeh, Shawkat & Gupta, Rangan

2014 Statistics of extreme events in risk management: The impact of the subprime and global financial crisis on the German stock market
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2014 Volatility spillovers between the oil market and the European Union carbon emission market
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2014 Quadratic hedging schemes for non-Gaussian GARCH models
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2014 Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models
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2014 The significance of distance between stock exchanges undergoing the process of convergence: An analysis of selected world stock exchanges during the period of 2004-2012
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2014 Burbujas financieras y comportamiento reciente de los mercados de acciones en América Latina
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2014 Riesgo sistémico en el mercado de acciones colombiano: alternativas de diversificación bajo eventos extremos
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2014 The diversification benefits from Islamic investment during the financial turmoil: The case for the US-based equity investors
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2014 Price jumps on European stock markets
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2014 Measuring the degree of integration within a group of stock markets
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2014 Volatility Linkage of Nominal and Index-linked Bond Returns: A Multivariate BEKK-GARCH Approach
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2014 The Value Relevance of Financial Distress Risk in the Case of RASDAQ Companies
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2014 Monetary Policy Transmission Mechanism And Dynamic Factor Models
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2014 Estimating a Structural Model of Herd Behavior in Financial Markets
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2013 Detecting Predictable Non-linear Dynamics in Dow Jones Industrial Average and Dow Jones Islamic Market Indices using Nonparametric Regressions
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2013 Volatility Transmission between Islamic and Conventional Equity Markets: Evidence from Causality-in-Variance Test
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2013 The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models
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2013 Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model
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2013 Co-movements of Shanghai and New York Stock Prices by Time-varying Regressions
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2013 Gecelik Kur Takasi Faizleri ve BIST Gecelik Repo Faizleri
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2013 Systemic Risk Analysis of Turkish Financial Institutions with Systemic Expected Shortfall
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2013 Systemic Risk, Sovereign Yields and Bank Exposures in the Euro Crisis
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2013 Price Formation and Intertemporal Arbitrage within a Low-Liquidity Framework: Empirical Evidence from European Natural Gas Markets
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2013 Decoupling and the Spillover Effects of the US Financial Crisis: Evidence from the BRIC Markets
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2013 Liquidity Shocks and Stock Bubbles
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2013 Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets
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2013 Nonparametric approach to portfolio diversification: the case of Australian equity market
by Trofimov, Ivan D.

2013 Relationship between regional Shariah stock markets: The cointegration and causality
by Yildirim, Ramazan & Masih, Mansur

2013 Financial Spillovers Across Countries: Measuring shock transmissions
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2013 A component model for Dynamic Conditional Correlations: Disentangling interdependence from contagion
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2013 Periodic autoregressive stochastic volatility
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2013 International diversification and dependence structure of equity portfolios during market crashes: the Archimedean copula approach
by Muteba Mwamba, John & Mokwena, Paula

2013 Relationship between macroeconomic variables and stock market index: evidence from India
by Pathan, Rubina & Masih, Mansur

2013 Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise
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2013 Are investments in islamic REITs susceptible to forex uncertainty: wavelet analysis
by Mokhtar, Maznita & Masih, Mansur

2013 Housing finance and financial stability: evidence from Malaysia, Thailand and Singapore
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2013 Determinants of cost of equity: The case of Shariah-compliant Malaysian firms
by Shafaai, Shafizal & Masih, Mansur

2013 Stock market and crude oil relationship: A wavelet analysis
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2013 An application of MGARCH-DCC analysis on selected currencies in terms of gold Price
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2013 Gold price movements in selected currencies: wavelet approach
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2013 Empirical study on the correlation of corporate social responsibility with the banks efficiency and stability
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2013 Causality between Malaysian Islamic Stock Market and Macroeconomic Variables
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2013 The Relationship between Exchange Rates and Islamic Indices in Malaysia FTSE Market: A Wavelet Based Approach
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2013 Qualitative variables and their reduction possibility. Application to time series models
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2013 Essays on Expectations and the Econometrics of Asset Pricing
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2013 The Volatility and Correlations of Stock Returns of Some Crisis-Hit Countries: US, Greece, Thailand and Malaysia: Evidence from MGARCH-DCC applications
by Masih, Mansur & Majid, Hamdan Abdul

2013 Interest Rate, Exchange Rate, and Stock Prices of Islamic Banks: A Panel Data Analysis
by Ayub, Aishahton & Masih, Mansur

2013 The Role of Gold as a Hedge and Safe Haven in Shariah-Compliant Portfolios
by Nagayev, Ruslan & Masih, Mansur

2013 Should Shariah-compliant investors include commodities in their portfolios? New evidence
by Nagayev, Ruslan & Masih, Mansur

2013 The Impact of Debt on Economic Growth: A Case Study of Indonesia
by Swastika, Purti & Dewandaru, Ginanjar & Masih, Mansur

2013 Does Restricted Short Selling Bring Benefit to Stocks Listed in Islamic Capital Market? New Evidence from Malaysia based on Dynamic Panel Heterogeneous Techniques
by Swastika, Putri & Dewandaru, Ginanjar & Masih, Mansur

2013 The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility
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2013 Comovement of Selected International Stock Market Indices:A Continuous Wavelet Transformation and Cross Wavelet Transformation Analysis
by Masih, Mansur & Majid, Hamdan Abdul

2013 Stock Price and Industrial Production in Developing Countries: A Dynamic Heterogeneous Panel Analysis
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2013 Do Shariah (Islamic) Indices Provide a Safer Avenue in Crisis? Empirical Evidence from Dow Jones Indices using Multivariate GARCH-DCC
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2013 Comovement and resiliency of Islamic equity market: Evidence from GCC Islamic equity index based on wavelet analysis
by Dewandaru, Ginanjar & Alaoui, Abdelkader & Masih, A. Mansur M. & Alhabshi, Syed Othman

2013 Empirical evidence for nonlinearity and irreversibility of commodity futures prices
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2013 Markov-Switching Quantile Autoregression
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2013 Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery
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2013 A new Pearson-type QMLE for conditionally heteroskedastic models
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2013 An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation
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2013 Venture capital optimal investment portfolio strategies selection in diffusion - type financial systems in global capital markets with nonlinearities
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

2013 Liquidity Issues in Indian Sovereign Bond Market
by Nath, Golaka

2013 Long Memory Processes and Structural Breaks in Stock Returns and Volatility: Evidence from the Egyptian Exchange
by Ezzat, Hassan

2013 An optimal three-way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality
by Pinelis, Iosif

2013 Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified
by El Ghourabi, Mohamed & Francq, Christian & Telmoudi, Fedya

2013 On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratanovich – Kalman – Bucy filters for Gaussian linear investment returns distribution and 2. Particle filters for non-Gaussian non-linear investment returns distribution
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

2013 Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises
by Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia

2013 Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns
by Sucarrat, Genaro & Escribano, Alvaro

2013 On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

2013 A Conditional Value-at-Risk Based Portfolio Selection With Dynamic Tail Dependence Clustering
by De Luca, Giovanni & Zuccolotto, Paola

2013 Cross-Hedging of Inflation Derivatives on Commodities: The Informational Content of Futures Markets
by Fulli-Lemaire, Nicolas & Palidda, Ernesto

2013 A Tale of Two Eurozones: Banks’s Funding, Sovereign Risk & Unconventional Monetary Policies
by Fulli-Lemaire, Nicolas

2013 Exchange rate volatility and exchange rate uncertainty in Nigeria: a financial econometric analysis (1970- 2012)
by nnamdi, Kelechi & ifionu, Ebele

2013 Detección de caídas en mercados financieros mediante análisis multifractal (exponentes locales y puntuales de Hölder): Índice accionario IPC y tipo de cambio USD/MXN
by Rendón, Stephanie

2013 DOW effects in returns and in volatility of stock markets during quiet and turbulent times
by Dumitriu, Ramona & Stefanescu, Razvan

2013 Bubbles, shocks and elementary technical trading strategies
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2013 Estimating Money Demand Function by a Smooth Transition Regression Model: An Evidence for Turkey
by Sahin, Afsin

2013 The Effects of Additional Monetary Tightening on Exchange Rates
by Ermişoğlu, Ergun & Akçelik, Yasin & Oduncu, Arif & Taşkın, Temel

2013 Does long memory matter in forecasting oil price volatility?
by Delavari, Majid & Gandali Alikhani, Nadiya & Naderi, Esmaeil

2013 Long Memory Analysis: An Empirical Investigation
by Nazarian, Rafik & Naderi, Esmaeil & Gandali Alikhani, Nadiya & Amiri, Ashkan

2013 A Hybrid Approach for Forecasting of Oil Prices Volatility
by Komijani, Akbar & Naderi, Esmaeil & Gandali Alikhani, Nadiya

2013 Risks of large portfolios
by Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng

2013 Modeling and Estimating Volatility of Options on Standard & Poor’s 500 Index
by Boleslaw Borkowski & Monika Krawiec & Yochanan Shachmurove

2013 Separating the impact of macroeconomic variables and global frailty in event data
by James Wolter

2013 Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes
by Kevin Sheppard & Lily Liu & Andrew J. Patton

2013 Martingale unobserved component models
by Neil Shephard

2013 Hedge Fund Contagion and Risk-adjusted Returns: A Markov-switching Dynamic Factor Approach
by Ozgur Akay & Zeynep Senyuz & Emre Yoldas

2013 Martingale unobserved component models
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2013 Maximum likelihood estimation of the equity premium
by Efstathios Avdis & Jessica A. Wachter

2013 Wall Street vs. Main Street: An Evaluation of Probabilities
by Robin L. Lumsdaine & Rogier J.D. Potter van Loon

2013 Fiscal Stability of High-Debt Nations under Volatile Economic Conditions
by Robert E. Hall

2013 Dependence and contagion between asset prices in Poland and abroad. A copula approach
by Michał Adam & Piotr Bańbuła & Michał Markun

2013 Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institution Investment Decisions
by Dominique Guegan & Bertrand K. Hassani & Xin Zhao

2013 Volatility co-movements: a time scale decomposition analysis
by Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli

2013 A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises
by Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli

2013 Clean Energy Industries and Rare Earth Materials: Economic and Financial Issues
by Lucia BALDI & Massimo PERI & Daniela VANDONE

2013 Financial Crises, Financialization of Commodity Markets and Correlation of Agricultural Commodity Index with Precious Metal Index and S&P500
by M.Fatih Oztek & Nadir Ocal

2013 Risk Modelling and Management: An Overview
by Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral

2013 Ten Things You Should Know About the Dynamic Conditional Correlation Representation
by Massimiliano Caporin & Michael McAleer

2013 Ten Things You Should Know About DCC
by Massimiliano Caporin & Michael McAleer

2013 Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
by Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer

2013 The Effects of Monetary Policy Shocks on a Panel of Stock Market Volatilities: A Factor-Augmented Bayesian VAR Approach
by Fady Barsoum

2013 Finding a Connection Between Exchange Rates and Fundamentals, How Should We Model Revisions to Forecasting Strategies?
by Peter H. Sullivan

2013 Agricultural Commodity Price Volatility and Its Macroeconomic Determinants: A GARCH-MIDAS Approach
by Emiliano Magrini & Ayca Donmez

2013 Foreign exchange customers and dealers: Who’s driving whom?
by Nikola Gradojevic

2013 Revenues from storage in a competitive electricity market: Empirical evidence from Great Britain
by Monica Giulietti & Luigi Grossi

2013 ECB monetary policy surprises: identification through cojumps in interest rates
by Lars winkelmann & Markus Bibinger & Tobias Linzert &

2013 Analysis of Deviance in Generalized Partial Linear Models
by Wolgang Karl Härdle & Li-Shan Huang & &

2013 State Price Densities implied from weather derivatives
by Wolfgang Karl Härdle & Brenda López-Cabrera & Huei-Wen Teng &

2013 Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency
by Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss

2013 Quantitative forward guidance and the predictability of monetary policy - A wavelet based jump detection approach -
by Lars Winkelmann & & &

2013 Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?
by Nikolaus Hautsch & Lada M. Kyj & Peter Malec &

2013 Composite Quantile Regression for the Single-Index Model
by Yan Fan & Wolfgang Karl Härdle & Weining Wang & Lixing Zhu

2013 Inference for Multi-Dimensional High-Frequency Data: Equivalence of Methods, Central Limit Theorems, and an Application to Conditional Independence Testing
by Markus Bibinger & Per A. Mykland & &

2013 Political Aversion To a Multilateral Fiscal Rule: The Dynamic Commitment Problem in European Fiscal Governance
by Matthias Bauer

2013 The Number of Traded Shares: A Time Series Modelling Approach
by Brännäs, Kurt

2013 Textbook Estimators of Multiperiod Optimal Hedging Ratios: Methodological Aspects and Application to the European Wheat Market
by Gianluca Stefani & Marco Tiberti

2013 The Economic Valuation of Variance Forecasts: An Artificial Option Market Approach
by Radovan Parrák

2013 Systemic Risk and Home Bias in the Euro Area
by Niccolò Battistini & Marco Pagano & Saverio Simonelli

2013 Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence
by Joshua C C Chan & Cody Y L Hsiao

2013 Through the Looking Glass: Indirect Inference via Simple Equilibria
by Calvet , Laurent & Czellar, Veronika

2013 Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model
by Banerjee, Anurag N. & Chevillon, Guillaume & Kratz, Marie

2013 Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads
by Dong Hwan Oh & Andrew J. Patton

2013 Dynamic Copula Models and High Frequency Data
by Irving Arturo De Lira Salvatierra & Andrew J. Patton

2013 Asymptotic Inference about Predictive Accuracy Using High Frequency Data
by Jia Li & Andrew J. Patton

2013 Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data
by Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum

2013 Testing for the Systemically Important Financial Institutions: a Conditional Approach
by Sessi Tokpavi

2013 A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis
by Henri Audigé

2013 A wavelet-based copula approach for modeling market risk in agricultural commodity markets
by RIADH ALOUI & MOHAMED SAFOUANE BEN AISSA & DUC KHUONG NGUYEN

2013 Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns
by Escribano, Álvaro & Sucarrat, Genaro

2013 The systemic risk of energy markets
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2013 Modeling the dependence of conditional correlations on volatility
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2013 Testing for multiple bubbles with daily data
by Uribe Gil, Jorge Mario

2013 Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory
by Narcisa Kadlcakova & Lubos Komarek & Zlatuse Komarkova & Michal Hlavacek

2013 The Micro Dynamics of Macro Announcements
by Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe

2013 Explosive Oil Prices
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2013 Forecasting Exchange Rates: An Investor Perspective
by Michael Melvin & John Prins & Duncan Shand

2013 Risk Modeling and Management: An Overview
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2013 Ten Things You Should Know About the Dynamic Conditional Correlation Representation
by Massimiliano Caporin & Michael McAleer

2013 Ten Things You Should Know About DCC
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2013 Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
by Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer

2013 On the hook for impaired bank lending: Do sovereign-bank inter-linkages affect the fiscal multiplier?
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2013 Modeling Dynamic Diurnal Patterns in High-Frequency Financial Data
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2013 Oil price shocks and volatility do predict stock market regimes
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2013 Extracting global stochastic trend from non-synchronous data
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2013 Likelihood inference in non-linear term structure models: the importance of the lower bound
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2013 Term structure estimation, liquidity-induced heteroskedasticity and the price of liquidity risk
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2013 A Distributional Approach to Realized Volatility
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2013 Volatility Forecasting when the Noise Variance Is Time-Varying
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2013 Volatility and Liquidity Costs
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2013 Are Futures Prices Influenced by Spot;Prices or Vice-versa? An Analysis of Crude;Oil, Natural Gas and Gold Markets
by Mihaela NICOLAU & Giulio PALOMBA & Ilaria TRAINI

2013 Assessing Measures of Order Flow Toxicity via Perfect Trade Classification
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2013 Bootstrapping realized volatility and realized beta under a local Gaussianity assumption
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2013 Bootstrapping pre-averaged realized volatility under market microstructure noise
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2013 Interest Rates with Long Memory: A Generalized Affine Term-Structure Model
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2013 Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns
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2013 It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model
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2013 Causality between Regional Stock Markets: A Frequency Domain Approach
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2013 The Application of Data Envelopment Analysis Based Malmquist Total Factor Productivity Index: Empirical Evidence in Turkish Banking Sector
by Yasemin Keskin Benli & Suleyman Degirmen

2013 Stock Market Volatility and Macroeconomic Fundamentals
by Robert F. Engle & Eric Ghysels & Bumjean Sohn

2013 Stock Return Co-movement and Systemic Risk in the Turkish Banking System
by Mahir Binici & Bulent Koksal & Cuneyt Orman

2013 Systemic Risk Analysis of Turkish Financial Institutions with Systemic Expected Shortfall
by Irem Talasli

2013 Reserve Options Mechanism : A New Macroprudential Tool to Limit the Adverse Effects of Capital Flow Volatility on Exchange Rates
by Arif Oduncu & Yasin Akcelik & Ergun Ermisoglu

2013 Aplicación del modelo Weibull en el análisis de eventos críticos en precios bursátiles
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2013 Nonparametric Approach to Portfolio Diversification: The Case of Australian Equity Market - Un approccio non-parametrico alla diversificazione del portafoglio: il caso del mercato azionario australiano
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2013 Estimation Fractional Integration Parameter and an Application to Major Turkish Financial Time Series
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2013 Using news analytics data in GARCH models
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2013 A Long-Run Relationship between Daily Prices on Two Markets: The Bayesian VAR(2)–MSF-SBEKK Model
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2013 Analýza státních dluhopisů jako indikátoru pro akciový trh
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2013 Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition?
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2013 Firm Financial Performance: An Empirical Investigation on Romanian SMEs
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2013 A Model To Minimize Multicollinearity Effects
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2013 Testing The Long Range-Dependence For The Central Eastern European And The Balkans Stock Markets
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2013 Use Of The Macroeconomic Models In The Analysis Of The Balance Value
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2013 Aplicación de bicorrelación cruzada al rendimiento diario del precio del café
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2013 Herding, Information Cascades and Volatility Spillovers in Futures Markets
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2013 Analysis Of The Returns And Volatility Of The Environmental Stock Leaders
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2013 The Influences of Greed And Fear on Fund Performance
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2013 Estimation And Inference In Predictive Regressions
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2013 Irrational fads, short-term memory emulation, and asset predictability
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2013 Nonlinear analysis among crude oil prices, stock markets' return and macroeconomic variables
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2013 Fast clustering of GARCH processes via Gaussian mixture models
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2013 Dynamic relationship between precious metals
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2013 Is gold a hedge or safe haven against oil price movements?
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2013 Dynamic stock market covariances in the Eurozone
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2013 Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach
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2013 Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs
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2013 Time-series momentum as an intra- and inter-industry effect: Implications for market efficiency
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2013 Risk contagion in the north-western and southern European stock markets
by de Araújo, André da Silva & Garcia, Maria Teresa Medeiros

2013 Saving-based asset-pricing
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2013 Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration
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2013 Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas
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2013 A tale of two regimes: Theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications
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2013 On the role of the estimation error in prediction of expected shortfall
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2013 Reject inference in consumer credit scoring with nonignorable missing data
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2013 Portfolio selection: An extreme value approach
by DiTraglia, Francis J. & Gerlach, Jeffrey R.

2013 On the predictability of stock prices: A case for high and low prices
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2013 Forecasting EUR–USD implied volatility: The case of intraday data
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2013 Long-term bank balance sheet management: Estimation and simulation of risk-factors
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2013 Dynamic factor Value-at-Risk for large heteroskedastic portfolios
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2013 Pricing inflation products with stochastic volatility and stochastic interest rates
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2013 Impact of volatility estimation method on theoretical option values
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2013 Does order flow in the European Carbon Futures Market reveal information?
by Kalaitzoglou, Iordanis & Ibrahim, Boulis M.

2013 Performance hypothesis testing with the Sharpe ratio: The case of hedge funds
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2013 Does the source of oil price shocks matter for South African stock returns? A structural VAR approach
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2013 Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals
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2013 A time-varying copula approach to oil and stock market dependence: The case of transition economies
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2013 Volatility spillover between oil and agricultural commodity markets
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2013 Do oil prices respond to real interest rates?
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2013 Modeling EU allowances and oil market interdependence. Implications for portfolio management
by Reboredo, Juan C.

2013 Linear-price term structure models
by Gourieroux, C. & Monfort, A.

2013 Modeling the relationship between European carbon permits and certified emission reductions
by Koop, Gary & Tole, Lise

2013 Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach
by Akay, Ozgur (Ozzy) & Senyuz, Zeynep & Yoldas, Emre

2013 Multi-period credit default prediction with time-varying covariates
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2013 Stressing correlations and volatilities — A consistent modeling approach
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2013 Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices
by Perron, Pierre & Chun, Sungju & Vodounou, Cosme

2013 Modelling and forecasting government bond spreads in the euro area: A GVAR model
by Favero, Carlo A.

2013 Monetary policy regimes and the term structure of interest rates
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2013 Analysis of non-stationary dynamics in the financial system
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2013 Spurious persistence in stochastic volatility
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2013 A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
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2013 On existence of moment of mean reversion estimator in linear diffusion models
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2013 News impact curve for stochastic volatility models
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2013 Decomposing abnormal returns in stochastic linear models
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2013 Reexamining the time-varying volatility spillover effects: A Markov switching causality approach
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2013 Forecasting volatility with the realized range in the presence of noise and non-trading
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2013 A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management
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2013 Dynamic price integration in the global gold market
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2013 Probability of default in collateralized credit operations
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2013 Equity and CDS sector indices: Dynamic models and risk hedging
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2013 Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options
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2013 Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue
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2013 Macro fundamentals as a source of stock market volatility in China: A GARCH-MIDAS approach
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2013 An automatic bias correction procedure for volatility estimation using extreme values of asset prices
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2013 Open source information, investor attention, and asset pricing
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2013 On the predictability of realized volatility using feasible GLS
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2013 Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises
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2013 The Determinants of Stock Market Index: VAR Approach to Turkish Stock Market
by Esref Savas BASCI & Süleyman Serdar KARACA

2013 Co-movement of Index linked bonds and conventional bonds in France: Subprime crisis and Structural Break, 2003-01, 2012-04
by Benlagha, N.

2013 The Dynamics and Strength of Linkages between the Stock Markets in the Czech Republic, Hungary and Poland after their EU Accession
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2013 Asymmetric impact of innovations on volatility in the case of the US and CEEC-3 markets: EGARCH based approach
by Joanna Olbrys

2013 Cuantificación del riesgo de incumplimiento en créditos de libre inversión: un ejercicio econométrico para una entidad bancaria del municipio de Popayán, Colombia
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2013 Empleo del comportamiento estacional para mejorar el pronóstico de un commodity: el caso del mercado internacional del azúcar
by Julio César Alonso & Andrés Mauricio Arcila

2013 Forecasting value-at-risk using time varying copulas and EVT return distributions
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2013 Dependence structure analysis between stock index futures and spot markets in the case of the “Golden week” effect
by Lanwenjing Yin & Kanchana Chokethaworn & Chukiat Chaiboonsri

2013 Effects of Horizontal M&As on Trading Volume of Stock Exchanges
by Burc Ulengin & M. Banu Yobas

2013 Monetary policy and financial stability: empirical evidence from Central and Eastern European countries
by Vasile Cocris & Anca Elena Nucu

2013 The Overnight Currency Swap Rates and ISE Overnight Repo Rates
by Doruk KUCUKSARAC & Ozgur OZEL

2013 Arbitragem Estatística, Estratégia Long-Short Pairs Trading, Abordagem com Cointegração Aplicada ao Mercado de Ações Brasileiro
by João F. Caldeira

2013 Analysis Of The Romanian Banks‘ Performance Through Roa, Roe And Non-Performing Loans Models
by Adela Socol & Adina Elena Danuletiu

2013 Banking Efficiency and European Financial Integration
by Cândida Ferreira

2012 The Failure of Financial Econometrics: “Stir-Fry” Regressions as an Illustration
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2012 Evidenţe empirice privind cauzele declinului exportului european
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2012 Dinamica structurii economiei. Pe ce structuri ne bazăm?
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2012 Pricing Synthetic CDOs Using a Three Regime Random-Factor-Loading Model
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2012 Structural Change and Spurious Persistence in Stochastic Volatility
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2012 Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
by Kim, Young Shin & Giacometti, Rosella & Rachev, Svetlozar T. & Fabozzi, Frank J. & Mignacca, Domenico

2012 Causal interrelations among market fundamentals: Evidence from the Europen telecommunications sector
by Agiakloglou, Christos & Gkouvakis, Michalis

2012 Inference for systems of stochastic differential equations from discretely sampled data: A numerical maximum likelihood approach
by Lux, Thomas

2012 The dynamics of spillover effects during the European sovereign debt turmoil
by Alter, Adrian & Beyer, Andreas

2012 Multivariate wishart stochastic volatility and changes in regime
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2012 Intra-daily volatility spillovers between the US and German stock markets
by Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman

2012 Identifying time variability in stock and interest rate dependence
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2012 The Meiselman forward interest rate revision regression as an Affine Term Structure Model
by Adam Golinski & Peter Spencer

2012 Efficient bootstrap with weakly dependent processes
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2012 The Bulgarian Foreign and Domestic Debt ??? A No-Arbitrage Macrofinancial View
by Vilimir Yordanov

2012 Continuous Empirical Characteristic Function Estimation of GARCH Models
by Dinghai Xu

2012 GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study
by Pierre Chausse & Dinghai Xu

2012 Cointegration Based Trading Strategy For Soft Commodities Market
by Piotr Arendarski & Łukasz Postek

2012 Tactical allocation in falling stocks: Combining momentum and solvency ratio signals
by Piotr Arendarski

2012 Backward/forward optimal combination of performance measures for equity screening
by Monica Billio & Massimiliano Caporin & Michele Costola

2012 Financial press and stock markets in times of crisis
by Roberto Casarin & Flaminio Squazzoni

2012 On the Predictability of Stock Prices: a Case for High and Low Prices
by Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo

2012 Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics
by Audrino, Francesco & Knaus, Simon

2012 Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines
by Audrino, Francesco & Meier, Pirmin

2012 Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation
by Corsi, Fulvio & Peluso, Stefano & Audrino, Francesco

2012 Modelling Australia's Retail Mortgage Rate
by Abbas Valadkhani & Sajid Anwar

2012 The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions
by D.E. Allen & Abhay K Singh & R. Powell & Michael McAleer & James Taylor & Lyn Thomas

2012 Bayesian semiparametric multivariate GARCH modeling
by Mark J Jensen & John M Maheu

2012 Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture
by Mark J Jensen & John M Maheu

2012 Stock Market Asymmetries: A Copula Diffusion
by Denitsa Stefanova

2012 Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
by Francisco Blasques & Siem Jan Koopman & Andre Lucas

2012 Aggregating Credit and Market Risk: The Impact of Model Specification
by Andre Lucas & Bastiaan Verhoef

2012 Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
by Siem Jan Koopman & Andre Lucas & Marcel Scharth

2012 After Ten Years of the Russian Crisis, How Might IMF Intervention Be Evaluated?
by Malgorzata Sulimierska

2012 Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns
by Apostolos Thomadakis

2012 Multivariate statistical analysis for portfolio selection of italian stock market
by Alessia Naccarato & Andrea Pierini

2012 Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model
by Ceylan, Ozcan

2012 The Nexus between Natural Gas Spot and Futures Prices at NYMEX: Do Weather Shocks and Non-Linear Causality in Low Frequencies Matter?
by Dergiades, Theologos & Madlener, Reinhard & Christofidou, Georgia

2012 Crude Oil Price Shocks and Stock Returns: Evidence from Turkish Stock Market under Global Liquidity Conditions
by Berk, Istemi & Aydogan, Berna

2012 Bayesian Semiparametric Multivariate GARCH Modeling
by Mark J. Jensen & John M. Maheu

2012 Do Jumps Contribute to the Dynamics of the Equity Premium?
by John M. Maheu & Thomas H. McCurdy & Xiaofei Zhao

2012 Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture
by Mark J. Jensen & John M. Maheu

2012 Market perception of fiscal sustainability: An application to the largest euro area economies
by Maximiano Pinheiro

2012 Financial Density Selection
by Marin, J. Miguel & Sucarrat, Genaro

2012 Volatility Spillovers in Emerging Markets During the Global Financial Crisis: Diagonal BEKK Approach
by Erten, Irem & Tuncel, Murat B. & Okay, Nesrin

2012 أثر تحرير سوق رأس المال على التذبذب في سوق الأسهم السعودي
by Ghassan, Hassan B. & Alhajhoj, Hassan R.

2012 A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns
by Bhattacharyya, Malay & Madhav R, Siddarth

2012 The Application of GARCH Methods in Modeling Volatility Using Sector Indices from the Egyptian Exchange
by Ezzat, Hassan

2012 The Optimal Order Execution Problem within the Framework of a High-Frequency Trading - Sample Model
by Bławat, Bogusław

2012 Multiperiod Black Litterman Asset Allocation Model
by Malhotra, Karan

2012 Day of the Week Effect on Turkish Foreign Exchange Market Volatility During the Global Financial Crisis
by Oral, Ece

2012 Risk Parity Portfolios with Risk Factors
by Roncalli, Thierry & Weisang, Guillaume

2012 Estimation of long memory in integrated variance
by Eduardo Rossi & Paolo Santucci de Magistris

2012 Long memory and Periodicity in Intraday Volatility
by Eduardo Rossi & Dean Fantazzini

2012 Robust inference on parameters via particle filters and sandwich covariance matrices
by Neil Shephard & Arnaud Doucet

2012 Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices
by Neil Shephard & Dacheng Xiu

2012 Multivariate Rotated ARCH models
by Diaa Noureldin & Neil Shephard & Kevin Sheppard

2012 Robust inference on parameters via particle filters and sandwich covariance matrices
by Arnaud Doucet & Neil Shephard

2012 Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices
by Neil Shephard & Dacheng Xiu

2012 Multivariate Rotated ARCH Models
by Diaa Noureldin & Neil Shephard & Kevin Sheppard

2012 Factor Model Forecasts of Exchange Rates
by Charles Engel & Nelson C. Mark & Kenneth D. West

2012 Econometric Analysis of Present Value Models When the Discount Factor Is near One
by Kenneth D. West

2012 Continuous-Time Linear Models
by John H. Cochrane

2012 Parametric Inference and Dynamic State Recovery from Option Panels
by Torben G. Andersen & Nicola Fusari & Viktor Todorov

2012 On the empirical importance of periodicity in the volatility of financial time series
by Blazej Mazur & Mateusz Pipien

2012 Measuring and testing for the systemically important financial institutions
by Carlos Castro & Stijn Ferrari

2012 Measuring and testing for the systemically important financial institutions
by Carlos Castro & Stijn Ferrari

2012 Measuring and testing for the systemically important financial institutions
by Carlos Castro & Stijn Ferrari

2012 Alternative Modeling for Long Term Risk
by Dominique Guegan & Xin Zhao

2012 Integration of China Stock Markets with International Stock Markets: An application of Smooth Transition Conditional Correlation with Double Transition Functions
by M. Fatih Oztek & Nadir Ocal

2012 Dynamic Stock Market Covariances in the Eurozone
by Gregory Connor & Anita Suurlaht

2012 The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions
by David E Allen & Abhay K Singh & Robert J Powell & Michael McAleer & James Taylor & Lyn Thomas

2012 Testing for Predictability in a Noninvertible ARMA Model
by Markku Lanne & Mika Meitz & Pentti Saikkonen

2012 Do changes in distance-to-default anticipate changes in the credit rating?
by Nidhi Aggarwal & Manish Singh & Susan Thomas

2012 Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes
by Taras Bodnar & Nikolaus Hautsch & &

2012 Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility
by Peter Reinhard Hansen & Asger Lunde & Valeri Voev

2012 Market Discipline Under A Politicised Multilateral Fiscal Rule - Lessons from the Stability and Growth Pact Debate
by Matthias Bauer & Martin Zenker

2012 Minor Nuisance Around Foreign Exchange Markets - Lessons from the Stability and Growth Pact Debate
by Matthias Bauer & Martin Zenker

2012 Asymmetry with respect to the memory in stock market volatilities
by Lönnbark, Carl

2012 Occurrence of long and short term asymmetry in stock market volatilities
by Lönnbark, Carl

2012 On the role of the estimation error in prediction of expected shortfall
by Lönnbark, Carl

2012 Nonparametric prediction of stock returns with generated bond yields
by Michael Scholz & Stefan Sperlich & Jens Perch Nielsen

2012 Regime Identification in Limit Order Books
by Rossen Trendafilov & Erick W Rengifo

2012 Volatility Swings in the US Financial Markets
by Giampiero M. Gallo & Edoardo Otranto

2012 Realized Volatility and Change of Regimes
by Giampiero M. Gallo & Edoardo Otranto

2012 Return on Investment from Industrial Energy Efficiency: Evidence from Developing Countries
by Ludovico Alcorta & Morgan Bazilian & Giuseppe De Simone & Ascha Pedersen

2012 Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility
by Peter Reinhard Hansen & Asger Lunde & Valeri Voev

2012 Modelo de dos factores con dinámica DCC en la evaluación del riesgo de crédito
by Carlos A. Reyes

2012 A theoretical foundation for the Nelson and Siegel class of yield curve models
by Leo Krippner

2012 The reaction of stock market returns to anticipated unemployment
by Taamouti, Abderrahim & Gonzalo, Jesús

2012 Sources of Risk in Currency Returns
by Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina

2012 Dynamic conditional correlation models for realized covariance matrices
by BAUWENS, Luc & STORTI, Giuseppe & VIOLANTE, Francesco

2012 Infinite-state Markov-switching for dynamic volatility and correlation models
by DUFAYS, Arnaud

2012 Computationally efficient inference procedures for vast dimensional realized covariance models
by BAUWENS, Luc & STORTI, Giuseppe

2012 A Network model of systemic risk: identifying the sources of dependence across institutions
by Carlos Castro & Juan Sebastian Ordoñez

2012 Tests for Serial Dependence in Static, Non-Gaussian Factor Models
by Gabriele Fiorentini & Enrique Sentana

2012 Modeling Multivariate Extreme Events Using Self-Exciting Point Processes
by Oliver Grothe & Volodymyr Korniichuk & Hans Manner

2012 A comparison of Spillover Effects before, during and after the 2008 Financial Crisis
by Alethea Rea & William Rea & Marco Reale & Carl Scarrott

2012 An empirical comparison of alternative credit default swap pricing models
by Michele Leonardo Bianchi

2012 Government bond market integration and the EMU: Correlation based evidence
by Sebastian Missio

2012 Anticipating Long-Term Stock Market Volatility
by Conrad, Christian & Loch, Karin

2012 On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation
by Conrad, Christian & Loch, Karin & Rittler, Daniel

2012 A Smooth Transition Long-Memory Model
by Marcel Aloy & Gilles Dufrénot & Charles Lai Tong & Anne Péguin-Feissolle

2012 Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue
by Gilles de Truchis

2012 Estimation and Testing for Fractional Cointegration
by Marcel Aloy & Gilles de Truchis

2012 SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence
by Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza

2012 Multivariate Variance Targeting in the BEKK-GARCH Model
by Rasmus Søndergaard Pedersen & Anders Rahbek

2012 The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums
by Daniela Osterrieder & Peter C. Schotman

2012 Integration of European Bond Markets
by Charlotte Christiansen

2012 Conditionally-uniform Feasible Grid Search Algorithm
by Matt P. Dziubinski

2012 Cdo Term Structure Modelling With Lévy Processes And The Relation To Market Models
by THORSTEN SCHMIDT & JERZY ZABCZYK

2012 Performance Of Robust Hedges For Digital Double Barrier Options
by JAN OBŁÓJ & FRÉDÉRIK ULMER

2012 Initial Investment Choice And Optimal Future Allocations Under Time-Monotone Performance Criteria
by M. MUSIELA & T. ZARIPHOPOULOU

2012 Optimal Exercise Of An Executive Stock Option By An Insider
by MICHAEL MONOYIOS & ANDREW NG

2012 Conic Finance And The Corporate Balance Sheet
by DILIP B. MADAN & WIM SCHOUTENS

2012 Absolutely Continuous Compensators
by SVANTE JANSON & SOKHNA M'BAYE & PHILIP PROTTER

2012 Forward And Future Implied Volatility
by PAUL GLASSERMAN & QI WU

2012 The Heat-Kernel Most-Likely-Path Approximation
by JIM GATHERAL & TAI-HO WANG

2012 Optimal Trade Execution Under Geometric Brownian Motion In The Almgren And Chriss Framework
by JIM GATHERAL & ALEXANDER SCHIED

2012 Optimal Investment On Finite Horizon With Random Discrete Order Flow In Illiquid Markets
by PAUL GASSIAT & HUYÊN PHAM & MIHAI SÎRBU

2012 Pricing Of Perpetual American Options In A Model With Partial Information
by PAVEL V. GAPEEV

2012 Conditional Certainty Equivalent
by MARCO FRITTELLI & MARCO MAGGIS

2012 On The Penalty Function And On Continuity Properties Of Risk Measures
by MARCO FRITTELLI & EMANUELA ROSAZZA GIANIN

2012 Monetary Valuation Of Cash Flows Under Knightian Uncertainty
by HANS FÖLLMER & IRINA PENNER

2012 Conditional Density Models For Asset Pricing
by DAMIR FILIPOVIĆ & LANE P. HUGHSTON & ANDREA MACRINA

2012 Target Volatility Option Pricing
by GIUSEPPE DI GRAZIANO & LORENZO TORRICELLI

2012 Composition Of Time-Consistent Dynamic Monetary Risk Measures In Discrete Time
by PATRICK CHERIDITO & MICHAEL KUPPER

2012 Tangent Models As A Mathematical Framework For Dynamic Calibration
by RENÉ CARMONA & SERGEY NADTOCHIY

2012 Information-Based Asset Pricing
by DORJE C. BRODY & LANE P. HUGHSTON & ANDREA MACRINA

2012 Valuation And Hedging Of Cds Counterparty Exposure In A Markov Copula Model
by T. R. BIELECKI & S. CRÉPEY & M. JEANBLANC & B. ZARGARI

2012 Managing Corporate Liquidity: Strategies And Pricing Implications
by ATTAKRIT ASVANUNT & MARK BROADIE & SURESH SUNDARESAN

2012 Stress Testing The Resilience Of Financial Networks
by HAMED AMINI & RAMA CONT & ANDREEA MINCA

2012 Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes
by JIRÔ AKAHORI & ANDREA MACRINA

2012 Finance at Fields
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2012 Determination of bank risk indicators and macroeconomic conditions in Venezuela (1997-2009)
by Yasmin Briceño Santafé & Giampaolo Orlandoni Merli

2012 The implications of chaos theory on Bucharest stock exchange
by Felicia Ramona BIRAU

2012 Managing Sovereign Credit Risk In Bond Portfolios1
by Benjamin Bruder & Pierre Hereil & Thierry Roncalli

2012 The new approaches in econometric research of financial markets. Distributed volatility
by V. I. Tinyakova

2012 Sudden Changes In Volatility In Central And Eastern Europe Foreign Exchange Markets
by Todea, Alexandru & Platon, Diana

2012 Perspectives on risk measurement: a critical assessment of PC-GARCH against the main volatility forecasting models
by Matei, Marius

2012 Optimization of portfolio management based on vector autoregression models and multivariate volatility models
by Habrov, Vladimir

2012 Market risk valuation modeling for the European countries at the financial crisis of 2008
by Shcherba, Alexandr

2012 The role of the timeline in Granger causality test in the presence of daily data non-synchronism
by Grigoryev, Ruslan & Jaffry, Shabbar & Marchenko, German

2012 Investigation of the consequences of ignoring daily data non-synchronism in cross-market linkages: BRIC and developed countries
by Grigoryev, Ruslan & Jaffry, Shabbar & Marchenko, German

2012 Bootstrap inference about integrated volatility (in Russian)
by Andrey Rafalson

2012 Missing observations in daily returns - Bayesian inference within the MSF-SBEKK model
by Krzysztof Osiewalski & Jacek Osiewalski

2012 On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process
by Błażej Mazur & Mateusz Pipień

2012 Detecting Risk Transfer in Financial Markets using Different Risk Measures
by Marcin Fałdziński & Magdalena Osińska & Tomasz Zdanowicz

2012 Imbalances in Financial Autonomy at Different Level of Local Government in Romania
by Gheorghe Matei & Olivia Manole

2012 Global Financial Crisis And Unit-Linked Insurance Markets Efficiency: Empirical Evidence From Central And Eastern European Countries
by Ciumas Cristina & Chis Diana-Maria & Botos Horia Mircea

2012 Sectoral Risk And Return For Companies In Romania
by Lala - Popa Ion & Buglea Alexandru & Anis Cecilia & Cican Simona

2012 The Impact Of The Business And Organizational Size Of A Company Along With Gri And Csr Adoption On Integrating Sustainability Reporting Practices
by Dragu Ioana-Maria & Tiron-Tudor Adriana

2012 Clustering Austrian Banks’ Business Models and Peer Groups in the European Banking Sector
by Robert Ferstl & David Seres

2012 Continuous-Time Linear Models
by Cochrane, John H.

2012 Dynamic Models and Structural Estimation in Corporate Finance
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2012 Risk measurement under extreme events. An in-context methodological review
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2012 Algunas herramientas matemáticas para la economía y las finanzas: el movimiento Browniano y la integral de Wiener
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2012 Integration of Key Worldwide Money Market Interest Rates and the Federal Funds Rate: An Empirical Investigation
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2012 Forecasting Financial Statements Using Risk Management Associates Industry Data
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2012 Nonparametric Verification of GARCH-Class Models for Selected Polish Exchange Rates and Stock Indices
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2012 Dynamic Multi-Factor Credit Risk Model with Fat-Tailed Factors
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2012 Los rendimientos cambiarios latinoamericanos y la (a)simetría de los shocks informacionales: un análisis econométrico
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2012 Morgan Stanley Capital International Turkiye Endeksinin Yapay Sinir Aglari ile Ongorusu
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2012 Estimación del coeficiente de Hurst con wavelets de índices accionarios de Turquía, Indonesia, México y Corea del Sur
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2012 Time-changed GARCH versus the GARJI model for prediction of extreme news events: An empirical study
by Kao, Lie-Jane & Wu, Po-Cheng & Lee, Cheng-Few

2012 The term structure of inflation expectations
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2012 New measures of monetary policy surprises and jumps in interest rates
by León, Ángel & Sebestyén, Szabolcs

2012 Modeling and measuring intraday overreaction of stock prices
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2012 Performance of technical analysis in growth and small cap segments of the US equity market
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2012 Credit spread interdependencies of European states and banks during the financial crisis
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2012 Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates
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2012 Gram–Charlier densities: Maximum likelihood versus the method of moments
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2012 Copula based hierarchical risk aggregation through sample reordering
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2012 GARCH processes with skewed and leptokurtic innovations: Revisiting the Johnson Su case
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2012 Properties of range-based volatility estimators
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2012 Why do electricity prices jump? Empirical evidence from the Nordic electricity market
by Hellström, Jörgen & Lundgren, Jens & Yu, Haishan

2012 Measuring contagion between energy market and stock market during financial crisis: A copula approach
by Wen, Xiaoqian & Wei, Yu & Huang, Dengshi

2012 Choosing an optimal investment strategy: The role of robust pair-copulas based portfolios
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2012 The roles of news and volatility in stock market correlations during the global financial crisis
by Mun, Melissa & Brooks, Robert

2012 A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
by Hoogerheide, Lennart & Opschoor, Anne & van Dijk, Herman K.

2012 Econometric analysis of present value models when the discount factor is near one
by West, Kenneth D.

2012 The conditional autoregressive Wishart model for multivariate stock market volatility
by Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman

2012 The simple econometrics of tail dependence
by van Oordt, Maarten R.C. & Zhou, Chen

2012 Futures basis, inventory and commodity price volatility: An empirical analysis
by Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese

2012 La medición del riesgo en eventos extremos. Una revisión metodológica en contexto
by Uribe Gil, Jorge Mario & Ulloa Villegas, Inés Maria

2012 Estimación del riesgo de crédito en empresas del sector real en Colombia
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2012 Profitability And Risk Analysis In The Metallurgical Industry Leading Companies In Romania
by Lucian Buse & Silviu-Valentin Carstina

2012 Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
by Yacine Aït-Sahalia & Jean Jacod

2012 Corrigendum: Emerging Market Currency Excess Returns
by Stephen Gilmore & Fumio Hayashi

2012 International Portfolio Allocation under Model Uncertainty
by Pierpaolo Benigno & Salvatore Nisticò

2011 A test for a new modelling: The Univariate MT-STAR Model
by Peter Martey Addo & Monica Billio & Dominique Guegan

2011 Arithmetic Operations On Interactive Fuzzy Numbers In Financial Analysis
by Rebiasz, B.

2011 Testing for monotonicity in expected asset returns
by Joseph P. Romano & Michael Wolf

2011 Multi-period credit default prediction with time-varying covariates
by Orth, Walter

2011 On the diversification of portfolios of risky assets
by Frahm, Gabriel & Wiechers, Christof

2011 The merit of high-frequency data in portfolio allocation
by Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter

2011 Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution
by David E. Giles & Hui Feng & Ryan T. Godwin

2011 Volatility Forecasting: Downside Risk, Jumps and Leverage Effect
by Audrino, Francesco & Hu, Yujia

2011 Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints
by Fengler, Matthias & Hin, Lin-Yee

2011 Microcredit and poverty. An overview of the principal statistical methods used to measure the program net impacts
by Orso, Cristina

2011 Measuring Co-Movements of CDS Premia during the Greek Debt Crisis
by Sergio Andenmatten & Felix Brill

2011 The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures
by Siem Jan Koopman & Marcel Scharth

2011 Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann
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2011 Forecasting Volatility with Copula-Based Time Series Models
by Oleg Sokolinskiy & Dick van Dijk

2011 Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation?
by Lennart F. Hoogerheide & David Ardia & Nienke Corre

2011 A Discrete--Delay Dynamic Model for the Stock Market
by Loretti I. Dobrescu & Mihaela Neamtu & Dumitru Opris

2011 On the Predictability of Stock Prices: a Case for High and Low Prices
by Massimiliano Caporin & Angelo Ranaldo

2011 Forecasting the Equity Risk Premium: The Role of Technical Indicators
by Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou

2011 Estimation of Equicorrelated Diffusions from Incomplete Data
by Robert A. Jones & Mohammad Zanganeh

2011 Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps
by Diep Duong & Norman R. Swanson

2011 Empirical Evidence on Jumps and Large Fluctuations in Individual Stocks
by Diep Duong & Norman R. Swanson

2011 Analyse du choc informationnel et de l’hétéroscédasticité conditionnelle dans les flux de trésorerie
by CHIKHI, Mohamed

2011 Are the Bombay stock Exchange Sectoral indices of Indian stock market cointegrated? Evidence using fractional cointegration test
by Krishnankutty, Raveesh & Tiwari, Aviral Kumar

2011 Price Discovery and Volatility Spillovers in Indian Spot-Futures Commodity Market
by P., Srinivasan

2011 Эконометрический Анализ Динамики Российских Паевых Инвестиционных Фондов В Кризисный И Посткризисный Периоды
by Zaytsev, Alexander

2011 On the Risk-Return Tradeoff in the Stock Exchange of Thailand: New Evidence
by Jiranyakul, Komain

2011 Modellierung von Aktienkursen im Lichte der Komplexitätsforschung
by Benjamin Kauper & Karl-Kuno Kunze

2011 Interdependenzen in den Renditen DAX-notierter Unternehmen nach Branchen
by Jonas Teitge & Andreas Nastansky

2011 Conditional jumps in volatility and their economic determinants
by Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris

2011 On the Predictability of Stock Prices: A Case for High and Low Prices
by Massimiliano Caporin & Angelo Ranaldo & Paolo Santucci de Magistris

2011 Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators
by Gian Piero Aielli & Massimiliano Caporin

2011 Modeling and forecasting realized range volatility
by Massimiliano Caporin & Gabriel G. Velo

2011 Multivariate High-Frequency-Based Volatility (HEAVY) Models
by Diaa Noureldin & Neil Shephard & Kevin Sheppard

2011 Multivariate High-Frequency-Based Volatility (HEAVY) Models
by Diaa Noureldin & Neil Shephard & Kevin Sheppard

2011 A New Modelling Test: The Univariate MT-STAR Model
by Peter Martey Addo & Monica Billio & Dominique Guegan

2011 European exchange rates volatility and its asymmetrical components during the financial crisis
by Daniel Stavarek

2011 Marginal Likelihood for Markov-Switching and Change-Point GARCH Models
by Luc Bauwens & Arnaud Dufays & Jeroen V.K. Rombouts

2011 Foreign exchange rates under Markov Regime switching model
by Stéphane GOUTTE & Benteng Zou

2011 Credit Spead Interdependencies of European States and Banks during the Financial Crisis
by Adrian Alter & Yves Stephan Schüler

2011 How Prediction Markets Can Save Event Studies
by Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric

2011 How Prediction Markets Can Save Event Studies
by Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric

2011 European integration and banking efficiency: a panel cost frontier approach
by Cândida Ferreira

2011 Multivariate Stochastic Volatility via Wishart Processes - A Continuation
by Wolfgang Rinnergschwentner & Gottfried Tappeiner & Janette Walde

2011 Spectral estimation of covolatility from noisy observations using local weights
by Markus Bibinger & Markus Reiß

2011 Martingale approach in pricing and hedging European options under regime-switching
by Grigori N. Milstein & Vladimir Spokoiny

2011 Multivariate Volatility Modeling of Electricity Futures
by Luc Bauwens & Christian M. Hafner & Diane Pierret

2011 The Merit of High-Frequency Data in Portfolio Allocation
by Nikolaus Hautsch & Lada M. Kyj & Peter Malec

2011 TVICA - Time Varying Independent Component Analysis and Its Application to Financial Data
by Ray-Bing Chen & Ying Chen & Wolfgang Härdle

2011 An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
by Markus Bibinger

2011 Asymptotics of Asynchronicity
by Markus Bibinger

2011 Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
by Markus Reiß

2011 Extreme value models in a conditional duration intensity framework
by Rodrigo Herrera & Bernhard Schipp

2011 Estimation and Inference in Predictive Regressions
by Eiji Kurozumi & Kohei Aono

2011 Bayesian Estimation of Generalized Hyperbolic Skewed Student GARCH Models
by Deschamps, Philippe J.

2011 Multiplicative Error Models
by Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo

2011 Regression-based estimation of dynamic asset pricing models
by Adrian, Tobias & Crump, Richard K. & Moench, Emanuel

2011 Asian financial linkage: macro-finance dissonance
by Fujiwara, Ippei & Takahashi, Koji

2011 Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility
by Milan Rippel & Ivo Jánský

2011 Wavelet multiple correlation and cross-correlation: A multiscale analysis of euro zone stock markets
by Fernández Macho, Francisco Javier

2011 How Prediction Markets can Save Event Studies
by Erik Snowberg & Justin Wolfers & Eric Zitzewitz

2011 The simple econometrics of tail dependence
by Maarten R.C. van Oordt & Chen Zhou

2011 Large Deviations of Realized Volatility
by Shin Kanaya & Taisuke Otsu

2011 The reaction of stock market returns to anticipated unemployment
by Taamouti, Abderrahim & Gonzalo, Jesús

2011 How Prediction Markets Can Save Event Studies
by Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric

2011 Volatility models
by BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien

2011 Estimating and forecasting structural breaks in financial time series
by BAUWENS, Luc & DUFAYS, Arnaud & DE BACKER, Bruno

2011 Locally stationary volatility modelling
by VAN BELLEGEM, Sébastien

2011 Marginal likelihood for Markov-switching and change-point GARCH models
by BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V.K.

2011 Multivariate volatility modeling of electricity futures
by bauwens, Luc & hafner, Christian & pierret, Diane

2011 Nonparametric Beta kernel estimator for long memory time series
by BOUEZMARNI, Taoufik & VAN BELLEGEM, Sébastien

2011 Marginal Likelihood for Markov-Switching and Change-Point Garch Models
by Luc Bauwens & Arnaud Dufays & Jeroen Rombouts

2011 How Prediction Markets can Save Event Studies
by Erik Snowberg & Justin Wolfers & Eric Zitzewitz

2011 The Identification of Price Jumps
by Jan Hanousek & Evzen Kocenda & Jan Novotny

2011 An overview of CO2 cost pass-through to electricity prices in Europe
by Boris Solier & Pierre-André Jouvet

2011 Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach
by Toni Gravelle & Fuchun Li

2011 A Copula-GARCH Model for Macro Asset Allocation of a Portfolio with Commodities: an Out-of-Sample Analysis
by Luca RICCETTI

2011 Historical financial analogies of the current crisis
by Julián Andrada-Félix & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero

2011 VPIN and the Flash Crash
by Torben G. Andersen & Oleg Bondarenko

2011 Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX
by Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez

2011 Marginal Likelihood for Markov-switching and Change-point Garch Models
by Luc Luc & Arnaud Dufays & Jeroen V.K. Rombouts

2011 Financial Risk Measurement for Financial Risk Management
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold

2011 Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices
by Rasmus Tangsgaard Varneskov

2011 Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise
by Rasmus Tangsgaard Varneskov

2011 The Kelly Criterion in Blackjack Sports Betting, and the Stock Market
by Edward O. Thorp

2011 Postscript: The Renaissance Medallion Fund
by R. E. S. Ziemba & William T. Ziemba

2011 The Symmetric Downside-Risk Sharpe Ratio
by William T. Ziemba

2011 Intertemporal surplus management
by Markus Rudolf & William T. Ziemba

2011 A Dynamic Portfolio of Investment Strategies: Applying Capital Growth with Drawdown Penalties
by John M. Mulvey & Mehmet Bilgili & Taha M. Vural

2011 A Half Century of Returns on Levered and Unlevered Portfolios of Stocks, Bonds, and Bills, with and without Small Stocks
by Robert R. Grauer & Nils H. Hakansson

2011 The Dr.Z Betting System in England
by William T. Ziemba & Donald B. Hausch

2011 Transactions Costs, Extent of Inefficiencies, Entries and Multiple Wagers in a Racetrack Betting Model
by Donald B. Hausch & William T. Ziemba

2011 Efficiency of the Market for Racetrack Betting
by Donald B. Hausch & William T. Ziemba & Mark Rubinstein

2011 On Growth-Optimality vs. Security Against Underperformance
by Michael Stutzer

2011 Portfolio choice with endogenous utility: a large deviations approach
by Michael Stutzer

2011 A preference foundation for log mean–variance criteria in portfolio choice problems
by David G. Luenberger

2011 Capital Growth Theory
by Nils H. Hakansson & William T Ziemba

2011 Good and Bad Properties of the Kelly Criterion
by Leonard C. MacLean & Edward O. Thorp & William T. Ziemba

2011 Medium Term Simulations of The Full Kelly and Fractional Kelly Investment Strategies
by Leonard C. MacLean & Edward O. Thorp & Yonggan Zhao & William T. Ziemba

2011 Concave Utilities are Distinguished by their Optimal Strategies
by E. Thorp & R. Whitley

2011 Understanding the Kelly Criterion
by Edward O. Thorp

2011 Investment for the Long Run: New Evidence for an Old Rule
by Harry M. Markowitz

2011 Why We Should Not Make Mean Log of Wealth Big Though Years to Act Are Long
by Paul A. Samuelson

2011 The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling
by Paul A. Samuelson

2011 Models of Optimal Capital Accumulation and Portfolio Selection and the Capital Growth Criterion
by William T. Ziemba & Raymond G. Vickson

2011 Lifetime Portfolio Selection by Dynamic Stochastic Programming
by Paul A. Samuelson

2011 Growing Wealth with Fixed-Mix Strategies
by Michael A. H. Dempster & Igor V. Evstigneev & Klaus Reiner Schenk-Hoppé

2011 A Benchmark Approach to Investing and Pricing
by Eckhard Platen

2011 Fractional Kelly Strategies for Benchmarked Asset Management
by Mark Davis & Sébastien Lleo

2011 Risk-Constrained Dynamic Active Portfolio Management
by Sid Browne

2011 Capital growth with security
by Leonard C. MacLean & Rafael Sanegre & Yonggan Zhao & William T. Ziemba

2011 Growth Versus Security In Dynamic Investment Analysis
by L. C. MACLEAN & W. T. ZIEMBA & G. BLAZENKO

2011 Survival And Growth With A Liability: Optimal Portfolio Strategies In Continuous Time
by SID BROWNE

2011 Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes
by Yingdong Lv & Bernhard K. Meister

2011 Survival and Evolutionary Stability of the Kelly Rule
by Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé

2011 Time to wealth goals in capital accumulation
by LEONARD C. MACLEAN & WILLIAM T. ZIEMBA & YUMING LI

2011 The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice
by Vijay K. Chopra & William T. Ziemba

2011 Optimal Strategies For Repeated Games
by MARK FINKELSTEIN & ROBERT WHITLEY

2011 The Cost Of Achieving The Best Portfolio In Hindsight
by ERIK ORDENTLICH & THOMAS M. COVER

2011 Universal Portfolios
by THOMAS M. COVER

2011 Asymptotic Optimality And Asymptotic Equipartition Properties Of Log-Optimum Investment
by PAUL H. ALGOET & THOMAS M. COVER

2011 A Bound on the Financial Value of Information
by ANDREW R. BARRON & Thomas M. Cover

2011 Competitive Optimality Of Logarithmic Investment
by ROBERT M. BELL & THOMAS M. COVER

2011 Evidence On The “Growth-Optimum” Model
by RICHARD ROLL

2011 On Optimal Myopic Portfolio Policies, With And Without Serial Correlation Of Yields
by NILS H. HAKANSSON

2011 Optimal Investment And Consumption Strategies Under Risk For A Class Of Utility Functions
by NILS H. HAKANSSON

2011 Portfolio Choice And The Kelly Criterion
by Edward. O. Thorp

2011 Optimal Gambling Systems For Favorable Games
by E. O. Thorp

2011 Optimal Gambling Systems For Favorable Games
by L. BREIMAN

2011 Criteria For Choice Among Risky Ventures
by HENRY ALLEN LATANÉ

2011 A New Interpretation of Information Rate
by J. L. KELLY JR.

2011 Exposition Of A New Theory On The Measurement Of Risk
by DANIEL BERNOULLI

2011 Financial Valuation And Econometrics
by Kian Guan Lim

2011 Probability and Finance Theory
by Kian Guan Lim

2011 THE KELLY CAPITAL GROWTH INVESTMENT CRITERION:Theory and Practice
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2011 Volatility Shifts and Persistence in Variance: Evidence from the Sector Indices of Istanbul Stock Exchange
by Efe Çağlar Çağli & Pinar Evrim Mandaci & Pinar Hakan Kahyaoğlu

2011 Did the CDS Market Push up Risk Premia for Sovereign Credit?
by Sergio Andenmatten & Felix Brill

2011 Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data
by Matei, Marius

2011 The Global Financial Crisis and the Integration of Emerging Stock Markets in Asia
by Kang, Sang Hoon & Yoon , Seong-Min

2011 Comparison of VaR estimation methods for different forecasting samples for Russian stocks
by Shcherba, Alexandr

2011 An approach to ratings mapping
by Aivazian, Sergey & Golovan, Sergey & Karminsky, Alexander & Peresetsky, Anatoly

2011 Estimation of the interdependence of time series of stocks prices based on copula
by Bronshtein , Efim & Prokudina, Elena & Gerasimova, Anna & Dubinskaya, Ksenya

2011 Copula-Based Price Risk Hedging Models
by Penikas, Henry

2011 Tunisian and Indian Forex Markets: A Comparision on Forward Rate Unbiased Hypothesis
by Rohit Vishal Kumar & Dhekra Azouzi

2011 Modeling multivariate parametric densities of financial returns (in Russian)
by Alexey Balaev

2011 Application of FIGARCH and EWMA Models on Stock Indices PX and BUX
by Zdeněk Štolc

2011 Comparison of Volatility Models of PX Index and FTSE 100 Index
by Adam Borovička

2011 Testing For Causality In Variance For World Stock Exchange Indexes
by Malgorzata Madrak-Grochowska & Miroslawa Zurek

2011 Application of Actuarial Modelling in Insurance Industry
by Burcã Ana-Maria & Bãtrînca Ghiorghe

2011 Value At Risk - Corporate Risk Measurement
by Anis Cecilia-Nicoleta & Roth Anne-Marie & Apolzan (Angyal) Carmen-Maria

2011 Experience in Developing Early Warning System for Financial Crises and the Forecast of Russian Banking Sector Dynamic in 2012
by Solntsev, O. & Mamonov, M. & Pestova, A. & Magomedova, Z.

2011 Measuring Financial Markets Integration : Indonesia and East Asia
by Lestano

2011 The Impact Of Short Sale Restrictions On Stock Volatility: Evidence From Taiwan
by Shih Yung Wei & Jack J. W. Yang

2011 Co-movements of Shanghai and New York stock prices by time-varying regressions
by Chow, Gregory C. & Liu, Changjiang & Niu, Linlin

2011 Term structure modelling with observable state variables
by Huse, Cristian

2011 Asymmetric volatility and trading volume: The G5 evidence
by Sabbaghi, Omid

2011 Volatility spillovers between food and energy markets: A semiparametric approach
by Serra, Teresa

2011 Particle filters for continuous likelihood evaluation and maximisation
by Malik, Sheheryar & Pitt, Michael K.

2011 Econometric Model – A Tool in Financial Management
by Riana Iren RADU

2011 Revisando la hipótesis de los mercados eficientes: nuevos datos, nuevas crisis y nuevas estimaciones
by Jorge Mario Uribe Gil & Inés María Ulloa Villegas

2011 The impact of the functional characteristics of a credit bureau on the level of indebtedness per capita: Evidence from East European countries
by Vladimir Simovic & Vojkan Vaskovic & Marko Rankovic & Slobodan Malinic

2011 Emerging Market Currency Excess Returns
by Stephen Gilmore & Fumio Hayashi

2010 The Extreme-Value Dependence Between the Chinese and Other International Stock Markets
by David E. Giles

2010 An Empirical Analysis of International Stock Market Volatility Transmission
by Indika Karunanayake & Valadkhani, Abbas & O'Brien, Martin

2010 A Kernel Technique for Forecasting the Variance-Covariance Matrix
by Ralf Becker & Adam Clements & Robert O'Neill

2010 Performance of Bayesian Latent Factor Models in Measuring Pricing Errors
by Chadwick, Meltem

2010 Непараметрические Оценки Эффективности Российских Банков
by Golovan, Sergei & Nazin, Vladimir & Peresetsky, Anatoly

2010 Determinants of capital Structure: comparison of empirical evidence for the use of different estimators
by tiwari, aviral kumar & krishnankutty, Raveesh

2010 Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test
by Hiremath, Gourishankar S & Bandi, Kamaiah

2010 A theoretical foundation for the Nelson and Siegel class of yield curve models, and an empirical application to U.S. yield curve dynamics
by Leo Krippner

2010 Probabilistic Forecasts of Volatility and its Risk Premia
by Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes & Simone Grose

2010 Model Selection and Testing of Conditional and Stochastic Volatility Models
by Massimiliano Caporin & Michael McAleer

2010 Does Order Flow in the European Carbon Allowances Market Reveal Information?
by Iordanis Kalaitzoglou & Boulis Maher Ibrahim

2010 Model Selection and Testing of Conditional and Stochastic Volatility Models
by Massimiliano Caporin & Michael McAleer

2010 The long-run exchange rate for NOK: a BEER approach
by Geir E. Alstad

2010 From Moments, Co-Moments and Mean-Variance weights to Copula Portfolio Allocation
by Luca RICCETTI

2010 Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility
by Peter R. Hansen & Asger Lunde & Valeri Voev

2010 Modelling asset correlations during the recent FInancial crisis: A semiparametric approach
by Nektarios Aslanidis & Isabel Casas

2010 Estimation of Stochastic Volatility Models by Nonparametric Filtering
by Shin Kanaya & Dennis Kristensen

2010 How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
by Almut E. D. Veraart

2010 DEPENDENCE MODELING:Vine Copula Handbook
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2010 Structural Determinants of the Total Loans Volume in the Czech Republic
by Iveta ŘEPKOVÁ

2010 Behavior of realized volatility and correlation in exchange markets
by Amir Safari & Detlef Seese

2010 Análisis de volatilidad y correlación entre Estados Unidos y Asia
by Natàlia Valls Ruiz & Helena Chuliá Soler

2009 Solving Discrete Systems of Nonlinear Equations
by Gerard van der Laan & Dolf Talman & Zaifu Yang

2009 Analysis of Volatility transmission across South African Financial Markets
by Jaramba, Toddy & Fadiran, Gideon

2009 Testing for long memory in ISE using Arfima-Figarch model and structural break test
by Korkmaz, Turhan & Cevik, Emrah Ismail & Özataç, Nesrin

2009 An Empirical Time Series Model of Economic Growth and Environment
by Lal, Amant

2009 On the random walk characteristics of stock returns in India
by Hiremath, Gourishankar S & Bandi, Kamaiah

2009 Credit and Income: Co-Integration Dynamics of the US Economy
by Athanasios Athanasenas

2009 Inflation Control in Central and Eastern European Countries
by Fabrizio Iacone & Renzo Orsi

2009 Health Service Management Using Goal Programming
by Anna-Maria Mouza

2009 Toward a Theory of Japanese Organizational Culture and Corporate Performance
by Victoria Miroshnik

2009 Enterprise Modeling and Integration: Review and New Directions
by Nikitas Spiros Koutsoukis & Athanassios Mihiotis & Nikos Konidaris

2009 Cheap-Talk Multiple Equilibria and Pareto — Improvement in an Environmental Taxation Games
by Chirstophe Deissenberg & Pavel Ševčík

2009 The Advantages of Fiscal Leadership in an Economy with Independent Monetary Policies
by Andrew Hughes Hallet

2009 Time Varying Responses of Output to Monetary and Fiscal Policy
by Dipak R. Basu & Alexis Lazaridis

2009 A Novel Method of Estimation Under Co-Integration
by Alexis Lazaridis

2009 Some Unresolved Problems of Mathematical Programming
by Olav Bjerkholt

2009 Economic Models:Methods, Theory and Applications
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2009 A Non-Linear Approach for Completing Missing Values in Temporal Databases
by Sorjamaa, Antti & Merlin, Paul & Maillet, Bertrand & Lendasse, Amaury

2009 Econometric Analysis of Financial Data in Risk Management
by Fantazzini , Dean

2009 Credit Risk Management (Cont.)
by Fantazzini , Dean

2008 Solving Discrete Systems of Nonlinear Equations
by van der Laan, G. & Talman, A.J.J. & Yang, Z.F.

2008 Credit Risk Management
by Fantazzini, Dean

2008 Forecasting for the Bank's Asset-Liability Management
by Penikas, Henry

2008 An Econometric Analysis of Financial Data in Risk Management
by Fantazzini, Dean

2007 Combinatorial Integer Labeling Thorems on Finite Sets with an Application to Discrete Systems of Nonlinear Equations
by van der Laan, G. & Talman, A.J.J. & Yang, Z.F.

2007 Combinatorial Integer Labeling Theorems on Finite Sets with an Application to Discrete Systems of Nonlinear Equations
by Gerard van der Laan & Dolf Talman & Zaifu Yang

2007 Spot Ve Vadeli̇ İşlem Fi̇yatlarinin Varyanslari Arasindaki̇ Nedenselli̇k Testi̇
by Cevik, Emrah Ismail & Pekkaya, Mehmet

2006 A Discrete Multivariate Mean Value Theorem with Applications
by Talman, A.J.J. & Yang, Z.F.

2006 Econometric Analysis in the investment projects efficiency evaluation and property valuation theories
by Smolyak, Sergey

2005 Computing Integral Solutions of Complementarity Problems
by van der Laan, G. & Talman, A.J.J. & Yang, Z.F.

2005 Solving Discrete Zero Point Problems with Vector Labeling
by van der Laan, G. & Talman, A.J.J. & Yang, Z.F.

2005 Solving Discrete Zero Point Problems with Vector Labeling
by Gerard van der Laan & Dolf Talman & Zaifu Yang

2005 Computing Integral Solutions of Complementarity Problems
by Gerard van der Laan & Dolf Talman & Zaifu Yang

2005 Firma Başarısızlığının Dinamiklerinin Belirlenmesinde Makina Öğrenmesi Teknikleri: Ampirik Uygulamalar ve Karşılaştırmalı Analiz
by Cakir, Murat

2005 Global monetary instability: The role of the IMF, the EU and NAFTA
by A. G. Malliaris

2005 Equity And Oil Markets Under External Shocks
by Jorge Urrutia & A. G. Malliaris

2005 Oil And World Stock Markets' Reaction To The Gulf Crisis
by A. G. Malliaris & Jorge L. Urrutia

2005 The Impact Of The Persian Gulf Crisis On National Equity Markets
by A. G. Malliaris & Jorge L. Urrutia

2005 The International Crash of October 1987: Causality Tests
by A. G. Malliaris & Jorge L. Urrutia

2005 Monetary Policy And The U.S. Stock Market
by MARC D. HAYFORD & A. G. MALLIARIS

2005 How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule
by M. D. Hayford & A. G. Malliaris

2005 Is The Federal Reserve Stock Market Bubble-Neutral?
by Marc D. Hayford & A. G. Malliaris

2005 Are There Rational Bubbles In The U.S Stock Market? Overview And A New Test
by Ramaprasad Bhar & A. G. Malliaris

2005 Multi-Fractality in Foreign Currency Markets
by Marco Corazza & A. G. Malliaris

2005 European Stock Market Fluctuations: Short And Long Term Links
by A. G. Malliaris & Jorge L. Urrutia

2005 Chaotic Behavior in Prices of European Equity Markets: A Comparative Analysis of Major Economic Regions
by George C. Philippatos & Efi Pilarinu & A. G. Malliaris

2005 Methodological issues in asset pricing: Random walk or chaotic dynamics
by A. G. Malliaris & Jerome L. Stein

2005 Money, inflation and interest rates: Illustrations from twelve European economies
by A. G. Malliaris & Silvana Stefani

2005 Several Illustrations of the Quantity Theory of Money: 1947–1987 and 1867–1975
by A. G. MALLIARIS

2005 Decomposition of Inflation and its Volatility: A Stochastic Approach
by A. G. MALLIARIS & MARY E. MALLIARIS

2005 Interest rates and inflation: A continuous time stochastic approach
by A. G. Malliaris & Walter F. Mullady & M. E. Malliaris

2005 An empirical investigation among real, monetary and financial variables
by A. G. Malliaris & Jorge L. Urrutia

2005 How big is the random walk in macroeconomic time series: Variance ratio tests
by A. G. Malliaris & Jorge L. Urrutia

2005 Asymptotic Growth under Uncertainty: Existence and Uniqueness
by FWU-RANQ CHANG & A. G. MALLIARIS

2004 Wage Differentials, Monopsony Labor Markets, and the Trade-Labor Standards Debate
by C. Shelburne, Robert

2004 Periodic correlation vs. integration and cointegration (Okresowa korelacja a integracja i kointegracja)
by Ewa Broszkiewicz-Suwaj & Agnieszka Wylomanska

2004 Solving Discrete Zero Point Problems
by Gerard van der Laan & Dolf Talman & Zaifu Yang

2002 Un essai de prévision non paramétrique de l'action France Télécom
by Chikhi, Mohamed & Terraza, Michel

2001 Local Nonparametric Estimation of Scalar Diffusions
by Moloche, Guillermo

1998 Scaling in currency exchange: A Conditionally Exponential Decay approach
by Szymon Mercik & Rafal Weron

1998 Origins of the scaling behaviour in the dynamics of financial data
by Aleksander Weron & Szymon Mercik & Rafal Weron

1998 Asymmetric Volatility Dynamics: Evidence From the Istanbul Stock Exchange
by Okay, Nesrin

2012-04 Ethics and Quantitative Finance
by Jason West

Restricted Likelihood Ratio Tests in Predictive Regression
by Peter C.B. Phillips & Ye Chen

A Direct and Full-Information Estimation of the Distribution of Skill in the Mutual Fund Industry
by Angie ANDRIKOGIANNOPOULOU & Filippos PAPAKONSTANTINOU

We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics
by Pierre BAJGROWICZ & Olivier SCAILLET

Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections
by Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis

Foreign Exchange Market Contagion in Central Europe from the Viewpoint of Extreme Value Theory
by Narcisa Kadlčáková & Luboš Komárek

Calculation of Solvency Capital Requirements for Non-life Underwriting Risk Using Generalized Linear Models
by Jiří Valecký

0703 The role of cointegration for optimal hedging with heteroscedastic error term
by Lukasz Gatarek & Søren Johansen

0703 Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability
by Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante

0404 A Non-Structural Investigation of VIX Risk Neutral Density
by Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante