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

2025

• Zaäfri Ananto Husodo & Md. Bokthiar Hasan & Humaira Tahsin Rafia & Masagus M. Ridhwan & Gazi Salah Uddin & Muhammad Budi Prasetyo, 2025. "Risk-Adjusted Returns And Spillover Dynamics Among Emerging Digital Currencies," Journal of Islamic Monetary Economics and Finance, Bank Indonesia, vol. 11(2), pages 269-306, June.
• Lianet Farfán Perez & Jorge Omar Moreno Treviño & Christopher Alejandro Zamudio Cantú, 2025. "Determinants of debt portfolio diversification in Mexican households," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 20(1), pages 1-20, Enero - M.
• Maria Teresa Medeiros Garcia & Carolina e Silva Correia de Carvalho, 2025. "Measuring Sentiment: The Impact on Financial Markets Volatility," Working Papers REM 2025/0365, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Kajal Panwar & Miklesh Prasad Yadav & Neha Puri, 2025. "Spillover Effect of Green Bond with Metal and Bullion Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 32(1), pages 1-18, March.
• Min Zhu & Yuping Song & Xin Zheng, 2025. "Volatility Dynamics and Mixed Jump-GARCH Model Based Jump Detection in Financial Markets," Computational Economics, Springer;Society for Computational Economics, vol. 65(5), pages 2545-2577, May.
• Ousama Ben-Salha & Mourad Zmami & Sami Sobhi Waked & Faouzi Najjar & Yazeed Mohammad Alenazi, 2025. "On the time-varying spillover between nonferrous metals prices, geopolitical risks, and global economic policy uncertainty," Economic Change and Restructuring, Springer, vol. 58(1), pages 1-26, February.
• Gerardo Ferrara & Maria Flora & Roberto Renò, 2025. "The Impact of COVID-19 on Italian Sovereign Bond Market Quality," Journal of Financial Services Research, Springer;Western Finance Association, vol. 67(1), pages 55-71, April.
• Chen-Yin Kuo & Shu-Mei Chiang, 2025. "Spillover effects and network connectedness among stock markets: evidence from the U.S. and Asia," Review of Quantitative Finance and Accounting, Springer, vol. 64(1), pages 1-52, January.
• Lukas Petrasek & Jiri Kukacka, 2025. "US equity announcement risk premia," Review of Quantitative Finance and Accounting, Springer, vol. 65(1), pages 345-363, July.
• Mijung Choi & Jihyun Kim & Nuong Nguyen, 2025. "Nonparametric Continuous Time Regressions with Functional Coefficients," Korean Economic Review, Korean Economic Association, vol. 41, pages 141-174.
• Daniel Pastorek & Peter Albrecht, 2025. "Risk Without Reward? The Introduction of Bitcoin Spot ETFs," MENDELU Working Papers in Business and Economics 2025-99, Mendel University in Brno, Faculty of Business and Economics.
• Zhouyu Shen & Dacheng Xiu, 2025. "Can Machines Learn Weak Signals?," NBER Working Papers 33421, National Bureau of Economic Research, Inc.
• M Angeles Carnero & Angel León & Trino-Manuel Ñíguez, 2025. "Analytic Moments of TGARCH(1,1) Models with Polynomially Adjusted Densities," Journal of Financial Econometrics, Oxford University Press, vol. 23(2), pages 1194-1209.
• Geul Lee & Doojin Ryu & Li Yang, 2025. "Domain Stabilization for Model-Free Option Implied Moment Estimation," Journal of Financial Econometrics, Oxford University Press, vol. 23(2), pages 1335-1386.
• Anne Opschoor & André Lucas & Luca Rossini, 2025. "The Conditional Autoregressive F-Riesz Model for Realized Covariance Matrices," Journal of Financial Econometrics, Oxford University Press, vol. 23(2), pages 177-190.
• Chao Zhang & Xingyue Pu & Mihai Cucuringu & Xiaowen Dong, 2025. "Graph-Based Methods for Forecasting Realized Covariances," Journal of Financial Econometrics, Oxford University Press, vol. 23(2), pages 1977-2016.
• Giuseppe Buccheri & Piero Mazzarisi, 2025. "Realized Random Graphs, with an Application to the Interbank Network," Journal of Financial Econometrics, Oxford University Press, vol. 23(2), pages 1981-2014.
• Simon T Bodilsen, 2025. "Large-Dimensional Portfolio Selection with a High-Frequency-Based Dynamic Factor Model," Journal of Financial Econometrics, Oxford University Press, vol. 23(2), pages 384-399.
• Matthias R Fengler & Jeannine Polivka, 2025. "Structural Volatility Impulse Response Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 23(2), pages 951-971.
  • Fengler, Matthias & Polivka, Jeannine, 2022. "Structural Volatility Impulse Response Analysis," Economics Working Paper Series 2211, University of St. Gallen, School of Economics and Political Science, revised Nov 2022.
  • Matthias R. Fengler & Jeannine Polivka, 2024. "Structural Volatility Impulse Response Analysis," Swiss Finance Institute Research Paper Series 24-63, Swiss Finance Institute.
• Ovidijus Stauskas & Genaro Sucarrat, 2025. "Testing the Zero-Process of Intraday Financial Returns for Non-Stationary Periodicity," Journal of Financial Econometrics, Oxford University Press, vol. 23(3), pages 142-153.
• Michele Costola & Matteo Iacopini & Casper Wichers, 2025. "Bayesian SAR Model with Stochastic Volatility and Multiple Time-Varying Weights," Journal of Financial Econometrics, Oxford University Press, vol. 23(3), pages 273-335.
• Colin Bowers & Chris Heaton, 2025. "Empirical Evaluation of Competing High-Frequency Estimators of Quadratic Variation," Journal of Financial Econometrics, Oxford University Press, vol. 23(3), pages 351-416.
• Pelin Akçagün-Narin & Süleyman Taşpınar & Osman Doğan, 2025. "A spatial analysis of contagion in sovereign credit default swaps," Journal of Financial Econometrics, Oxford University Press, vol. 23(3), pages 564-608.
• Paolo Giordani, 2025. "SMARTboost Learning for Tabular Data," Journal of Financial Econometrics, Oxford University Press, vol. 23(3), pages 929-985.
• Richard K Crump & Nikolay Gospodinov, 2025. "Deconstructing the Yield Curve," The Review of Financial Studies, Society for Financial Studies, vol. 38(2), pages 381-421.
  • Richard K. Crump & Nikolay Gospodinov, 2019. "Deconstructing the yield curve," Staff Reports 884, Federal Reserve Bank of New York.
• Eugene F Fama & Kenneth R French, 2025. "House Prices and Rents," The Review of Financial Studies, Society for Financial Studies, vol. 38(2), pages 547-563.
• Saketh Aleti & Tim Bollerslev, 2025. "News and Asset Pricing: A High-Frequency Anatomy of the SDF," The Review of Financial Studies, Society for Financial Studies, vol. 38(3), pages 712-759.
• Joachim Freyberger & Bjoern Hoeppner & Andreas Neuhierl & Michael Weber, 2025. "Missing Data in Asset Pricing Panels," The Review of Financial Studies, Society for Financial Studies, vol. 38(3), pages 760-802.
  • Joachim Freyberger & Björn Höppner & Andreas Neuhierl & Michael Weber, 2022. "Missing Data in Asset Pricing Panels," NBER Working Papers 30761, National Bureau of Economic Research, Inc.
• Hassan Zada & Mirzat Ullah & Kazi Sohag, 2025. "Examining the role of jumps on the returns and integrated volatility of emerging Asian stock markets during global financial crises and Covid-19: an application of the swap variance jump approach," Journal of Asset Management, Palgrave Macmillan, vol. 26(1), pages 30-43, February.
• Maneesh Gupta & Vipul Kumar Singh & Pawan Kumar, 2025. "Resilience of green bonds in portfolio diversification: evidence from crisis periods," Journal of Asset Management, Palgrave Macmillan, vol. 26(3), pages 298-315, May.
• Annika Mauer & Andreas Nastansky, 2025. "Empirische Analyse des Zusammenhangs zwischen Rendite und impliziter Volatilität am deutschen Aktienmarkt," Statistische Diskussionsbeiträge 58, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät.
• Nico Knuth & Andreas Nastansky, 2025. "Anwendung von Deep Learning in der Prognose der Volatilität des DAX: Ein Vergleich der Prognosegüte von GARCH und LSTM," Statistische Diskussionsbeiträge 59, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät.
• Li, Chenxing & Yang, Qiao, 2025. "An Infinite Hidden Markov Model with GARCH for Short-Term Interest Rates," MPRA Paper 123200, University Library of Munich, Germany.
• Said Magomedov & Dean Fantazzini, 2025. "Modeling and Forecasting the Probability of Crypto-Exchange Closures: A Forecast Combination Approach," JRFM, MDPI, vol. 18(2), pages 1-20, January.
  • Magomedov, Said & Fantazzini, Dean, 2025. "Modeling and Forecasting the Probability of Crypto-Exchange Closures: A Forecast Combination Approach," MPRA Paper 123416, University Library of Munich, Germany.
• Francq, Christian & Trapani, Lorenzo & Zakoian, Jean-Michel, 2025. "Inference on breaks in weak location time series models with quasi-Fisher scores," MPRA Paper 123741, University Library of Munich, Germany.
• Bahaa Aly, Tarek, 2025. "Deep Impulse Response Functions for Macroeconomic Dynamics: A Hybrid LSTM-Wavelet Approach Compared to an ANN-Wavelet and VECM Models," MPRA Paper 124905, University Library of Munich, Germany.
• Aslanidis, Nektarios & Bariviera, Aurelio & Kapetanios, George & Sarafidis, Vasilis, 2025. "Heterogeneous Exposures to Systematic and Idiosyncratic Risk across Crypto Assets: A Divide-and-Conquer Approach," MPRA Paper 125124, University Library of Munich, Germany.
• Vasilios Plakandaras & Rangan Gupta & Qiang Ji, 2025. "Unraveling Financial Fragility of Global Markets Using Machine Learning," Working Papers 202511, University of Pretoria, Department of Economics.
• Tuğba Güz & Coşkun Parim & Erhan Çene, 2025. "Examining the Impacts of GDP, Trade Openness, Freedom Index and the Internet on FDI: Comparison of Countries with Panel ARDL," Politická ekonomie, Prague University of Economics and Business, vol. 2025(1), pages 88-124.
• Less, Vivien & Rodrigues, Paulo M. M. & Sibbertsen, Philipp, 2025. "Testing for Multiple Structural Breaks in Multivariate Long Memory Regression Models," Hannover Economic Papers (HEP) dp-735, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  • Paulo M.M. Rodrigues & Vivien Less & Philipp Sibbertsen, 2025. "Testing for Multiple Structural Breaks in Multivariate Long Memory Regression Models," Working Papers w202503, Banco de Portugal, Economics and Research Department.
• Stelios Arvanitis, 2025. "Sparse spanning portfolios and under-diversification with second-order stochastic dominance," Working Paper 1532, Economics Department, Queen's University.
• Stelios Arvanitis, 2025. "Norm Constrained Empirical Portfolio Optimization with Stochastic Dominance: Robust Optimization Non-Asymptotics," Working Paper 1533, Economics Department, Queen's University.
• Fantazzini, Dean & Korobova, Elena, 2025. "Stablecoins and credit risk: when do they stop being stable?," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 77, pages 46-73.
  • Korobova, Elena & Fantazzini, Dean, 2024. "Stablecoins and credit risk: when do they stop being stable?," MPRA Paper 122951, University Library of Munich, Germany.
• Teterin, Maksim & Peresetsky, Anatoly, 2025. "Can Ethereum predict Bitcoin’s volatility?," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 77, pages 74-90.
• Spyros Papathanasiou & Dimitrios Vasiliou & Anastasios Magoutas & Drosos Koutsokostas, 2025. "The dynamic connectedness between private equities and other high-demand financial assets: A portfolio hedging strategy during COVID-19," Australian Journal of Management, Australian School of Business, vol. 50(1), pages 200-219, February.
• Md. Bokhtiar Hasan & Md. Naiem Hossain & Juha Junttila & Gazi Salah Uddin & Mustafa Raza Rabbani, 2025. "Do commodity assets hedge uncertainties? What we learn from the recent turbulence period?," Annals of Operations Research, Springer, vol. 345(2), pages 1387-1420, February.
• Konstantinos N. Konstantakis & Panayotis G. Michaelides & Panos Xidonas & Stavroula Yfanti, 2025. "Carbon emissions and sustainability in Covid-19’s waves: evidence from a two-state dynamic Markov-switching regression (MSR) model," Annals of Operations Research, Springer, vol. 347(1), pages 217-239, April.
• Bo Yu & Dayong Zhang & Qiang Ji, 2025. "Forecasting portfolio variance: a new decomposition approach," Annals of Operations Research, Springer, vol. 348(1), pages 543-578, May.
• MeiChi Huang, 2025. "Revisiting housing asset pricing: uncertainty and business-cycle factors in US state-level housing markets," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 74(1), pages 1-25, March.
• Riccardo Riccobello & Giovanni Bonaccolto & Philipp J. Kremer & Piotr Sobczyk & Małgorzata Bogdan & Sandra Paterlini, 2025. "Sparse graphical modelling for global minimum variance portfolio," Computational Management Science, Springer, vol. 22(2), pages 1-32, December.
• Lukas Krain & Xiaorui ZUO & Wolfgang Karl Härdle, 2025. "Cryptos have rough volatility and correlated jumps," Digital Finance, Springer, vol. 7(2), pages 275-294, June.
• Botond Benedek & Bálint Zsolt Nagy, 2025. "Asymmetries in factors influencing non-fungible tokens’ (NFTs) returns," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-20, December.
• Fahad Ali & Muhammad Usman Khurram & Ahmet Sensoy, 2025. "Safe havens for Bitcoin and Ethereum: evidence from high-frequency data," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-34, December.
• Pawan Kumar & Vipul Kumar Singh, 2025. "Quadrant categorization of spillover determinants of sovereign risk of BRICIT nations: a Bayesian approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-22, December.
• Cengiz Karatas & Sukriye Tuysuz & Kazim Berk Kucuklerli & Veysel Ulusoy, 2025. "Investigation of the relationship between number of tweets and USDTRY exchange rate with wavelet coherence and transfer entropy analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-20, December.
• Elham Kamal & Elie Bouri, 2025. "Green bond, stock, cryptocurrency, and commodity markets: a multiscale analysis and portfolio implications," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-33, December.
• Jan Sila & Michael Mark & Ladislav Kristoufek & Thomas A. Weber, 2025. "Crypto market betas: the limits of predictability and hedging," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-28, December.
• Chenyu Zhao & Misha Beek & Peter Spreij & Makhtar Ba, 2025. "Polynomial approximation of discounted moments," Finance and Stochastics, Springer, vol. 29(1), pages 63-95, January.
• Waheed Ullah Shah & Ibtissem Missaoui & Ijaz Younis & Xiyu Liu, 2025. "Climate risk co-movements effect on South Asia’s emerging stock market for financial inclusion," Future Business Journal, Springer, vol. 11(1), pages 1-20, December.
• Olufemi Samuel Adegboyo & Kiran Sarwar, 2025. "Modelling and forecasting of Nigeria stock market volatility," Future Business Journal, Springer, vol. 11(1), pages 1-13, December.
• Gian Maria Tomat, 2025. "Bayesian Inference in a Structural Model of Family Home Prices," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 11(1), pages 403-429, March.
• Theo Berger, 2025. "On the information content of explainable artificial intelligence for quantitative approaches in finance," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 47(1), pages 177-203, March.
• Giuseppe Pernagallo, 2025. "Random walks, Hurst exponent, and market efficiency," Quality & Quantity: International Journal of Methodology, Springer, vol. 59(2), pages 1097-1119, April.
• Baah Aye Kusi & Joseph Atta Junior Darkwa & Peter Kobati Ayiakwo & Joseph Ato Forson & Michael Awuku & Moses Nanyun Nankpan, 2025. "IMF programme duration and fiscal policy: a path to debt sustainability in Africa," SN Business & Economics, Springer, vol. 5(5), pages 1-23, May.
• Muhammad Ali Nasir & Toan Luu Duc Huynh & Sang Phu Nguyen & Duy Duong, 2025. "Forecasting Returns & Volume of Cryptocurrencies by Using Search Engines," Springer Books, in: Gang Kou & Yongqiang Li & Zongyi Zhang & J. Leon Zhao & Zhi Zhuo (ed.), Blockchain, Crypto Assets, and Financial Innovation, pages 219-233, Springer.
• H. Peter Boswijk & Jeroen Dalderop & Roger J. A. Laeven & Niels Marijnen, 2025. "Semiparametric Estimation of Probability Weighting Functions Implicit in Option Prices," Tinbergen Institute Discussion Papers 25-022/III, Tinbergen Institute.
• Yicong Lin & André Lucas, 2025. "Functional Location-Scale Models with Robust Observation-Driven Dynamics," Tinbergen Institute Discussion Papers 25-027/III, Tinbergen Institute.
• Yonas Khanna & André Lucas & Norman Seeger, 2025. "Measuring and Explaining the CDS-Bond Basis Term-Structure Shape and Dynamics," Tinbergen Institute Discussion Papers 25-037/III, Tinbergen Institute.
• Daan Schoemaker & André Lucas & Anne Opschoor, 2025. "Conditional Fat Tails and Scale Dynamics for Intraday Discrete Price Changes," Tinbergen Institute Discussion Papers 25-039/III, Tinbergen Institute.
• Yicong Lin & André Lucas & Shiqi Ye, 2025. "Matrix-Valued Spatial Autoregressions with Dynamic and Robust Heterogeneous Spillovers," Tinbergen Institute Discussion Papers 25-042/III, Tinbergen Institute.
• Abbas, Yasser & Daouia, Abdelaati & Nemouchi, Boutheina & Stupfler, Gilles, 2025. "Tail expectile-VaR estimation in the semiparametric Generalized Pareto model," TSE Working Papers 25-1607, Toulouse School of Economics (TSE).
• Delfina Ricordi & Martín Sola & Fabio Spagnolo & Nicola Spagnolo, 2025. "Do Periods of Extreme Asset Price Volatility Signal the Beginning of a Recession? An International Comparison," Department of Economics Working Papers 2025_03, Universidad Torcuato Di Tella.
• Litvinenko Alexey & Samuli Saarinen & Litvinenko Anna, 2025. "The Technological Bridge: R Programming’s Utility in Converting Social Media Data for Quantitative Financial Analysis," Economics and Culture, Sciendo, vol. 22(1), pages 70-80.
• Jędrzej Maskiewicz & Paweł Sakowski, 2025. "Can Artificial Intelligence Trade the Stock Market?," Working Papers 2025-14, Faculty of Economic Sciences, University of Warsaw.
• Simon Tranberg Bodilsen & Asger Lunde, 2025. "Exploiting News Analytics for Volatility Forecasting," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(1), pages 18-36, January.
• Christian Conrad & Robert F. Engle, 2025. "Modelling Volatility Cycles: The MF2‐GARCH Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(4), pages 438-454, June.
  • Christian Conrad & Robert F. Engle, 2021. "Modelling Volatility Cycles: The (MF)2 GARCH Model," Working Paper series 21-05, Rimini Centre for Economic Analysis.
• Dongfeng Chang & Tong Fu & Weiping Zhang, 2025. "Cross-industry contagion of systemic financial risks from the perspective of dynamic tail risk network: Evidence from China," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 1-33, March.
• Carlo A Favero & Claudio Tebaldi, 2025. "Lectures on the Theory and Application of Modern Finance with R and ChatGPT," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 14268.
• Wolski, Marcin, 2025. "Access to finance and corporate emissions: A distributional perspective," EIB Working Papers 2025/03, European Investment Bank (EIB).
• Dror, David Mark, 2025. "A Mathematical Framework for Trust Dynamics in Small-Scale Risk-Sharing Communities," EconStor Preprints 316140, ZBW - Leibniz Information Centre for Economics.
• Wegener, Christoph & Basse, Tobias & Maiani, Stefano & Nguyen, Tam Huu, 2025. "Predictive power of oil prices on CDS spread dynamics of oil-producing countries," Accountancy, Economics, and Finance Working Papers 2025-02, Heriot-Watt University, Department of Accountancy, Economics, and Finance.
• Carbone, Sante & Giuzio, Margherita & Kapadia, Sujit & Krämer, Johannes Sebastian & Nyholm, Ken & Vozian, Katia, 2025. "The low-carbon transition, climate commitments and firm credit risk," SAFE Working Paper Series 442, Leibniz Institute for Financial Research SAFE.
• ZHENG, Zhuangxing & WOO, Kai-yin, 2025. "Hedging Global Stock Markets with Bitcoin, Precious Metals, Copper, Crude Oil, and Agricultural Commodities: Evidence from Bivariate Threshold GARCH Approach," Advances in Decision Sciences, Asia University, Taiwan, vol. 29(1), pages 35-54, March.
• Habib ZOUAOUI & Meryem-Nadjat NAAS, 2025. "Portfolio Optimization Based on MPT-LSTM Neural Networks: A case study of Cryptocurrency Markets," Finance, Accounting and Business Analysis, University of National and World Economy, Institute for Economics and Politics, vol. 7(1), pages 82-98, June.
• Katleho Makatjane & Claris Shoko, 2025. "Explainable Deep Learning for Financial Risk: Joint VaR and ES Forecasting Using ESRNN in the Bitcoin Market," The African Finance Journal, Africagrowth Institute, vol. 27(1), pages 53-69.
• Andrea Bastianin & Xiao Li & Luqman Shamsudin, 2025. "Forecasting the Volatility of Energy Transition Metals," Papers 2501.16069, arXiv.org, revised Jan 2025.
  • Bastianin, Andrea & Li, Xiao & Shamsudin, Luqman, 2025. "Forecasting the Volatility of Energy Transition Metals," FEEM Working Papers 349169, Fondazione Eni Enrico Mattei (FEEM).
  • Andrea Bastianin & Xiao Li & Luqman Shamsudin, 2025. "Forecasting the Volatility of Energy Transition Metals," Working Papers 2025.04, Fondazione Eni Enrico Mattei.
• Yüksel İltaş & Fatih Güzel, 2025. "The Nexus between CDS Premiums and Exchange Rates: Evidence from BRICS Countries and Türkiye," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 9(4), pages 796-811.
• Adil Haniev & Viktoriya V. Suhih, 2025. "Analysis of the Impact of ESG Initiatives on the Financial Performance of Shareholders in Russian Companies," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 24(1), pages 319-343.
• Maria S. Lymar & Henry I. Penikas, 2025. "Effectiveness of micro- and macroprudential measures in 2014–2022 in Russia: Endogenous treatment effects estimation," Russian Journal of Economics, ARPHA Platform, vol. 11(2), pages 168-196, June.
• Andrea Bastianin & Xiao Li & Luqman Shamsudin, 2025. "Forecasting the Volatility of Energy Transition Metals," Working Papers 2025.04, Fondazione Eni Enrico Mattei.
  • Andrea Bastianin & Xiao Li & Luqman Shamsudin, 2025. "Forecasting the Volatility of Energy Transition Metals," Papers 2501.16069, arXiv.org, revised Jan 2025.
  • Bastianin, Andrea & Li, Xiao & Shamsudin, Luqman, 2025. "Forecasting the Volatility of Energy Transition Metals," FEEM Working Papers 349169, Fondazione Eni Enrico Mattei (FEEM).
• Markus Bibinger & Jun Yu & Chen Zhang, 2025. "Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion," Working Papers 202528, University of Macau, Faculty of Business Administration.
  • Markus Bibinger & Jun Yu & Chen Zhang, 2025. "Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion," Papers 2504.15985, arXiv.org.
• Monia Magnani & Massimo Guidolin, 2025. "Nonlinear Dynamics in Monetary Policy-Fueled Stock Market Bubbles," BAFFI CAREFIN Working Papers 25252, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Serhii Kanyhin & Svitlana Achkasova & Viktoriia Tyschenko & Vlada Karpova & Oleksii Naidenko, 2025. "Bankruptcy Risks Assessment: A Comprehensive Review of Qualitative Indicators," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 22-44.
• Zabi Tarshi & Gitanjali Kumar, 2025. "Exploring the drivers of the real term premium in Canada," Staff Analytical Notes 2025-3, Bank of Canada.
• Lerby Ergun, 2025. "Crisis facilities as a source of public information," Staff Analytical Notes 2025-7, Bank of Canada.
• Bruno Feunou & Gitanjali Kumar, 2025. "Estimating the inflation risk premium," Staff Analytical Notes 2025-9, Bank of Canada.
• Matteo Santi, 2025. "A high-dimensional GDP-at-risk and Inflation-at-risk for the euro area," Temi di discussione (Economic working papers) 1484, Bank of Italy, Economic Research and International Relations Area.
• Juan Pablo Bermúdez-Cespedes & Luis Fernando Melo-Velandia & Daniel Parra-Amado, 2025. "Sovereign Risk and Stock Market Response to Natural Disasters in Emerging Economies," Borradores de Economia 1303, Banco de la Republica de Colombia.
• Juan Pablo Bermudez-Cespedes & Luis Fernando Melo-Velandia & Daniel Parra-Amado, 2025. "Do natural disasters and the announcement of ENSO events have an impact on market-based measures of inflation expectations?," Borradores de Economia 1315, Banco de la Republica de Colombia.
• Thai Hong Le & Duc Anh Nguyen & Dung Anh Le, 2025. "Can cryptos hedge against inflation? Evidence from biwavelet analysis," HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE - ECONOMICS AND BUSINESS ADMINISTRATION, HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE, HO CHI MINH CITY OPEN UNIVERSITY, vol. 15(1), pages 99-115.
• Anastasia Matevosova, 2025. "Modelling Trust in the Central Bank Using Sentiment Analysis," Russian Journal of Money and Finance, Bank of Russia, vol. 84(1), pages 3-25, March.
• Stefano Giglio & Dacheng Xiu & Dake Zhang, 2025. "Test Assets and Weak Factors," Journal of Finance, American Finance Association, vol. 80(1), pages 259-319, February.
  • Giglio, Stefano & Xiu, Dacheng & Zhang, Dake, 2021. "Test Assets and Weak Factors," CEPR Discussion Papers 16307, C.E.P.R. Discussion Papers.
  • Stefano Giglio & Dacheng Xiu & Dake Zhang, 2021. "Test Assets and Weak Factors," NBER Working Papers 29002, National Bureau of Economic Research, Inc.
• Markus Bibinger & Jun Yu & Chen Zhang, 2025. "Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion," Papers 2504.15985, arXiv.org.
  • Markus Bibinger & Jun Yu & Chen Zhang, 2025. "Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion," Working Papers 202528, University of Macau, Faculty of Business Administration.
• Torben G. Andersen & Yi Ding & Viktor Todorov & Seunghyeon Yu, 2025. "The Factor Structure of Jump Risk," Working Papers 202531, University of Macau, Faculty of Business Administration.
• Panagiotou Dimitrios, 2025. "Price Connectedness in the Futures Markets of Livestock Commodities," Journal of Agricultural & Food Industrial Organization, De Gruyter, vol. 23(1), pages 51-58.
• Nitescu Dan Costin & Anghel Cristian Marius, 2025. "Bank Syndication – A Premise for Increasing Bank Performance or Diversifying Risks?," Economics - The Open-Access, Open-Assessment Journal, De Gruyter, vol. 19(1), pages 1-23.
• Blazsek Szabolcs & Jörding August & Rai Simran, 2025. "Generalized Autoregressive Conditional Betas: A New Multivariate Score-Driven Filter," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 29(1), pages 95-128.
• Bégin Jean-François & Boudreault Mathieu, 2025. "A Simulation and Empirical Study of the Maximum Likelihood Estimator for Stochastic Volatility Jump-Diffusion Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 29(2), pages 147-175.
• Imran Zulfiqar A. & Ahad Muhammad & Ahmad Mobeen & Hameed Imran, 2025. "Chinese Crude Oil Futures and Sectoral Stocks: Copula-Based Dependence Structure and Connectedness," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 29(3), pages 367-404.
• Albrecht, Peter & Kočenda, Evžen, 2025. "Event-driven changes in volatility connectedness in global forex markets," Journal of Multinational Financial Management, Elsevier, vol. 77(C).
  • Peter Albrecht & Evžen Kočenda & Evžen Kocenda, 2025. "Event-Driven Changes in Volatility Connectedness in Global Forex Markets," CESifo Working Paper Series 11606, CESifo.
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• Andrea Bastianin & Xiao Li & Luqman Shamsudin, 2025. "Forecasting the Volatility of Energy Transition Metals," Papers 2501.16069, arXiv.org, revised Jan 2025.
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  • Bastianin, Andrea & Li, Xiao & Shamsudin, Luqman, 2025. "Forecasting the Volatility of Energy Transition Metals," FEEM Working Papers 349169, Fondazione Eni Enrico Mattei (FEEM).
• Andrew C. Meldrum & Oleg Sokolinskiy, 2025. "The Relationship between Market Depth and Liquidity Fragility in the Treasury Market," Finance and Economics Discussion Series 2025-014, Board of Governors of the Federal Reserve System (U.S.).
• Boris I. Alekhin, 2025. "Ruble Debt Burden," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 1, pages 92-107, February.
• Lumengo Bonga-Bonga, 2025. "Do Trade Frictions Distort the Purchasing Power Parity (PPP) Hypothesis? A Closer Look," IJFS, MDPI, vol. 13(2), pages 1-15, April.
  • Bonga-Bonga, Lumengo, 2023. "Do trade frictions distort the purchasing power parity (PPP) hypothesis? A closer look," MPRA Paper 119196, University Library of Munich, Germany.
• Said Magomedov & Dean Fantazzini, 2025. "Modeling and Forecasting the Probability of Crypto-Exchange Closures: A Forecast Combination Approach," JRFM, MDPI, vol. 18(2), pages 1-20, January.
  • Magomedov, Said & Fantazzini, Dean, 2025. "Modeling and Forecasting the Probability of Crypto-Exchange Closures: A Forecast Combination Approach," MPRA Paper 123416, University Library of Munich, Germany.
• Manaf Ahmed & Said Khalil, 2025. "Sectoral Volatility under Political Uncertainty: An Extended GARCH-X Modeling Framework," Working Papers hal-05087376, HAL.
• Paulo M.M. Rodrigues & Vivien Less & Philipp Sibbertsen, 2025. "Testing for Multiple Structural Breaks in Multivariate Long Memory Regression Models," Working Papers w202503, Banco de Portugal, Economics and Research Department.
  • Less, Vivien & Rodrigues, Paulo M. M. & Sibbertsen, Philipp, 2025. "Testing for Multiple Structural Breaks in Multivariate Long Memory Regression Models," Hannover Economic Papers (HEP) dp-735, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Dzemski, Andreas & Farago, Adam & Hjalmarsson, Erik & Kiss, Tamas, 2025. "Long-Run Stock Return Distributions: Empirical Inference and Uncertainty," Working Papers in Economics 853, University of Gothenburg, Department of Economics.

2024

• Tim Bollerslev & Jia Li & Yuexuan Ren, 2024. "Optimal Inference for Spot Regressions," American Economic Review, American Economic Association, vol. 114(3), pages 678-708, March.
• Adela Socol & Andreea Marin-Pantelescu & Tamas-Szora Attila & Ionela Cornelia Cioca, 2024. "The Impact of Artificial Intelligence Applied in Businesses on Economic Growth, Welfare, and Social Disparities," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 26(66), pages 475-475, Aprilie.
• Egor O. Bukharin & Sofia I. Mangileva & Vladislav V. Afanasev, 2024. "Default Prediction for Russian Food Service Firms: Contribution of Non-Financial Factors and Machine Learning," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 23(1), pages 206-226.
• Adil Haniev, 2024. "Intangible Assets and US Stock Returns: An analysis using the Index Method, Panel Regression, and Machine Learning," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 23(3), pages 833-854.
• Algieri, Bernardina & Lawuobahsumo, Kokulo & Leccadito, Arturo, 2024. "Calendar Effects on Returns, Volatility and Higher Moments: Evidence from Crypto Markets," LIDAM Discussion Papers LFIN 2024001, Université catholique de Louvain, Louvain Finance (LFIN).
• Bertrand Candelon & Rubens Moura, 2024. "A Multicountry Model of the Term Structures of Interest Rates with a GVAR," Journal of Financial Econometrics, Oxford University Press, vol. 22(5), pages 1558-1587.
  • Candelon, Bertrand & Moura, Rubens, 2021. "A Multicountry Model of the Term Structures of Interest Rates with a GVAR," LIDAM Discussion Papers LFIN 2021007, Université catholique de Louvain, Louvain Finance (LFIN).
  • Candelon, Bertrand & Moura, Rubens, 2024. "A Multicountry Model of the Term Structures of Interest Rates with a GVAR," LIDAM Reprints LFIN 2024003, Université catholique de Louvain, Louvain Finance (LFIN).
• Nguyen, Hoang & Virbickaitė, Audronė & Ausín, M. Concepción & Galeano, Pedro, 2024. "Structured factor copulas for modeling the systemic risk of European and United States banks," International Review of Financial Analysis, Elsevier, vol. 96(PA).
  • Hoang Nguyen & Audron.e Virbickait.e & M. Concepci'on Aus'in & Pedro Galeano, 2024. "Structured factor copulas for modeling the systemic risk of European and United States banks," Papers 2401.03443, arXiv.org.
• Kausik, B.N., 2023. "Equity Premium in Efficient Markets," MPRA Paper 119278, University Library of Munich, Germany.
  • B. N. Kausik, 2024. "Equity Premium in Efficient Markets," Papers 2401.09265, arXiv.org.
• Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou, 2024. "Sparse spanning portfolios and under-diversification with second-order stochastic dominance," Swiss Finance Institute Research Paper Series 24-08, Swiss Finance Institute.
  • Stelios Arvanitis & Olivier Scaillet & Nikolas Topaloglou, 2024. "Sparse spanning portfolios and under-diversification with second-order stochastic dominance," Papers 2402.01951, arXiv.org, revised Aug 2024.
• Bartosz Bieganowski & Robert Ślepaczuk, 2024. "Supervised Autoencoder MLP for Financial Time Series Forecasting," Working Papers 2024-03, Faculty of Economic Sciences, University of Warsaw.
  • Bartosz Bieganowski & Robert Slepaczuk, 2024. "Supervised Autoencoder MLP for Financial Time Series Forecasting," Papers 2404.01866, arXiv.org, revised Jun 2024.
• Kamil Kashif & Robert Ślepaczuk, 2024. "LSTM-ARIMA as a Hybrid Approach in Algorithmic Investment Strategies," Working Papers 2024-07, Faculty of Economic Sciences, University of Warsaw.
  • Kamil Kashif & Robert 'Slepaczuk, 2024. "LSTM-ARIMA as a Hybrid Approach in Algorithmic Investment Strategies," Papers 2406.18206, arXiv.org.
• Luger, Richard, 2025. "Regularizing stock return covariance matrices via multiple testing of correlations," Journal of Econometrics, Elsevier, vol. 248(C).
  • Richard Luger, 2024. "Regularizing stock return covariance matrices via multiple testing of correlations," Papers 2407.09696, arXiv.org.
• Maciej Wysocki & Robert Ślepaczuk, 2024. "Construction and Hedging of Equity Index Options Portfolios," Working Papers 2024-14, Faculty of Economic Sciences, University of Warsaw.
  • Maciej Wysocki & Robert 'Slepaczuk, 2024. "Construction and Hedging of Equity Index Options Portfolios," Papers 2407.13908, arXiv.org.
• Ramon de Punder & Timo Dimitriadis & Rutger-Jan Lange, 2024. "Kullback-Leibler-based characterizations of score-driven updates," Tinbergen Institute Discussion Papers 24-051/III, Tinbergen Institute, revised 22 Oct 2024.
  • Ramon de Punder & Timo Dimitriadis & Rutger-Jan Lange, 2024. "Kullback-Leibler-based characterizations of score-driven updates," Papers 2408.02391, arXiv.org, revised Sep 2024.
• Ranieri Dugo & Giacomo Giorgio & Paolo Pigato, 2024. "Multivariate Rough Volatility," CEIS Research Paper 589, Tor Vergata University, CEIS, revised 20 Dec 2024.
  • Ranieri Dugo & Giacomo Giorgio & Paolo Pigato, 2024. "Multivariate Rough Volatility," Papers 2412.14353, arXiv.org.
• Hashim JUSOH & AbdelKader Ouatik EL ALAOUI & Amina DCHIECHE & Ahmad Faizol ISMAIL & Rosalan ALI, 2024. "Relationship Between Bitcoin and Islamic Stock Indices During the COVID-19 Pandemic and the Russia-Ukraine Crisis," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 4(3), pages 1-8.
• Pradipta Kumar Sahoo & Badri Narayan Rath, 2024. "COVID-19 Pandemic and Bitcoin Returns - Evidence From Time and Frequency Domain Causality Analysis," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 5(2), pages 1-4.
• Monia Magnani, 2024. "Can Monetary Policies Inflate a Stock Market Bubble? A Regime Switching Model of Periodically Collapsing Bubbles," BAFFI CAREFIN Working Papers 24231, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Svetoslav Borisov, 2024. "Bitcoin – Hedge or Speculative Asset: Analysis of Its Role and Nature," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 5, pages 148-170.
• Dejan Zivkov & Boris Kuzman & Natasa Papic-Blagojevic, 2024. "Multiscale non-linear tale risk spillover effect from oil to stocks – The case of East European emerging markets," E&M Economics and Management, Technical University of Liberec, Faculty of Economics, vol. 27(3), pages 186-200, September.
• Bruno Feunou & Zabi Tarshi, 2024. "Deriving Longer-Term Inflation Expectations and Inflation Risk Premium Measures for Canada," Discussion Papers 2024-09, Bank of Canada.
• Alicia Aguilar & Ricardo Gimeno, 2024. "Discrete Probability Forecasts: What to expect when you are expecting a monetary policy decision," Working Papers 2438, Banco de España.
• Fabrizio Ferriani & Marcello Pericoli, 2024. "ESG risks and corporate viability: insights from default probability term structure analysis," Questioni di Economia e Finanza (Occasional Papers) 892, Bank of Italy, Economic Research and International Relations Area.
• Pınar Karadayı Ataş, 2024. "A Novel Hybrid Regression Model for Banking Loss Estimation," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, vol. 8(1), pages 91-105, June.
• Hernández, Juan R., 2025. "Covered interest parity: A forecasting approach to estimate the neutral band," Economic Modelling, Elsevier, vol. 148(C).
  • Juan R. Hernández, 2024. "Covered interest parity: a forecasting approach to estimate the neutral band," BIS Working Papers 1206, Bank for International Settlements.
• SIDOROV Andrei, 2024. "The Impact Of Announcements On Cryptocurrency Prices," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 76(4), pages 69-94, December.
• Leona Han Chen & Yijie Fei & Jun Yu, 2024. "Multivariate Stochastic Volatility Models based on Generalized Fisher Transformation," Working Papers 202419, University of Macau, Faculty of Business Administration.
• Simon Jurkatis, 2024. "An approach to cleaning MiFID II corporate bond transaction reports," Bank of England working papers 1071, Bank of England.
• Fernando Eguren-Martin & Sevim Kösem & Guido Maia & Andrej Sokol, 2024. "Targeted financial conditions indices and growth-at-risk," Bank of England working papers 1084, Bank of England.
• Prüser Jan, 2024. "Forecasting the Risk of Cryptocurrencies: Comparison and Combination of GARCH and Stochastic Volatility Models," Journal of Time Series Econometrics, De Gruyter, vol. 16(2), pages 83-108.
• Liu Jinan & Serletis Apostolos, 2024. "Volatility and dependence in cryptocurrency and financial markets: a copula approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(1), pages 119-149, February.
• Koval Borys & Frühwirth-Schnatter Sylvia & Sögner Leopold, 2024. "Bayesian Reconciliation of Return Predictability," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(2), pages 337-378, April.
• Sara Boni & Massimiliano Caporin & Francesco Ravazzolo, 2024. "Nowcasting Inflation at Quantiles: Causality from Commodities," BEMPS - Bozen Economics & Management Paper Series BEMPS102, Faculty of Economics and Management at the Free University of Bozen.
• Ge, S. & Li, S. & Linton, O. B. & Liu, W. & Su, W., 2024. "Should We Augment Large Covariance Matrix Estimation with Auxiliary Network Information?," Janeway Institute Working Papers 2416, Faculty of Economics, University of Cambridge.
  • Ge, S. & Li, S. & Linton, O. B. & Liu, W. & Su, W., 2024. "Should We Augment Large Covariance Matrix Estimation with Auxiliary Network Information?," Cambridge Working Papers in Economics 2427, Faculty of Economics, University of Cambridge.
• Ge, S. & Li, S. & Linton, O. B. & Liu, W. & Su, W., 2024. "Should We Augment Large Covariance Matrix Estimation with Auxiliary Network Information?," Cambridge Working Papers in Economics 2427, Faculty of Economics, University of Cambridge.
  • Ge, S. & Li, S. & Linton, O. B. & Liu, W. & Su, W., 2024. "Should We Augment Large Covariance Matrix Estimation with Auxiliary Network Information?," Janeway Institute Working Papers 2416, Faculty of Economics, University of Cambridge.
• Zoran Mastilo & Anđelka Štilić & Dejan Gligović & Adis Puška, 2024. "Assessing the Banking Sector of Bosnia and Herzegovina: An Analysis of Financial Indicators through the MEREC and MARCOS Methods," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 13(1), pages 167-197.
• Damià Rey Miró & Pedro Piffaut & Ricardo Palomo Zurdo, 2024. "Do Financial Markets Allow the Independence of Central Banks?," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 13(1), pages 5-26.
• Xu, Yongdeng, 2024. "Extended multivariate EGARCH model: A model for zero†return and negative spillovers," Cardiff Economics Working Papers E2024/24, Cardiff University, Cardiff Business School, Economics Section.
• Kočenda, Evžen & Moravcová, Michala, 2024. "Frequency volatility connectedness and portfolio hedging of U.S. energy commodities," Research in International Business and Finance, Elsevier, vol. 69(C).
  • Evžen Kočenda & Michala Moravcová & Evžen Kocenda, 2024. "Frequency Volatility Connectedness and Portfolio Hedging of U.S. Energy Commodities," CESifo Working Paper Series 10889, CESifo.
• Christina Anderl & Guglielmo Maria Caporale, 2024. "Global Food Prices and Inflation," CESifo Working Paper Series 10992, CESifo.
• Daniel Bartusek & Evzen Kocenda, 2023. "Unraveling Timing Uncertainty of Event-driven Connectedness among Oil-Based Energy Commodities," Working Papers IES 2023/35, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised 2023.
  • Evžen Kočenda & Daniel Bartušek & Evžen Kocenda, 2024. "Disentangling Timing Uncertainty of Event-Driven Connectedness among Oil-Based Energy Commodities," CESifo Working Paper Series 11494, CESifo.
• Stelios Arvanitis & Olivier Scaillet & Nikolas Topaloglou, 2024. "Sparse spanning portfolios and under-diversification with second-order stochastic dominance," Papers 2402.01951, arXiv.org, revised Aug 2024.
  • Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou, 2024. "Sparse spanning portfolios and under-diversification with second-order stochastic dominance," Swiss Finance Institute Research Paper Series 24-08, Swiss Finance Institute.
• Markus Leippold & Michal Svaton, 2024. "Scheduling Processes and Inference of Scheduled Events From Price Data," Swiss Finance Institute Research Paper Series 24-12, Swiss Finance Institute.
• Markus Leippold & Felix Matthys & Philippe Mueller & Michal Svaton, 2024. "Political uncertainty and currency markets," Swiss Finance Institute Research Paper Series 24-13, Swiss Finance Institute.
• Fengler, Matthias & Polivka, Jeannine, 2021. "Proxy-identification of a structural MGARCH model for asset returns," Economics Working Paper Series 2103, University of St. Gallen, School of Economics and Political Science, revised Oct 2024.
  • Matthias R. Fengler & Jeannine Polivka, 2024. "Proxy-identification of a structural MGARCH model for asset returns," Swiss Finance Institute Research Paper Series 24-55, Swiss Finance Institute.
• Matthias R Fengler & Jeannine Polivka, 2025. "Structural Volatility Impulse Response Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 23(2), pages 951-971.
  • Fengler, Matthias & Polivka, Jeannine, 2022. "Structural Volatility Impulse Response Analysis," Economics Working Paper Series 2211, University of St. Gallen, School of Economics and Political Science, revised Nov 2022.
  • Matthias R. Fengler & Jeannine Polivka, 2024. "Structural Volatility Impulse Response Analysis," Swiss Finance Institute Research Paper Series 24-63, Swiss Finance Institute.
• Carlos Castro-Iragorri & Fabio G√≥mez & Nancy Quiceno, 2024. "Worst-Case Higher Moment Risk Measure: Addressing Distributional Shifts and Procyclicality," Documentos de Trabajo 21048, Universidad del Rosario.
• Didisheim, Antoine & Ke, Barry & Kelly, Bryan & Malamud, Semyon, 2024. "Complexity in Factor Pricing Models," CEPR Discussion Papers 18812, C.E.P.R. Discussion Papers.
• Bekaert, Geert & Xu, Nancy & Ye, Tiange, 2024. "Forecasting International Stock Market Variances," CEPR Discussion Papers 19121, C.E.P.R. Discussion Papers.
• Pedro V. Piffaut & Damià Rey Miró, 2024. "El papel de los bancos centrales en la transformación de los mercados financieros," Revista de Economía y Finanzas (REyF), Asociación Cuadernos de Economía, vol. 2(4), pages 27-44, Abril.
• Christian Jorge Carreiro, 2024. "Interdependencia bancaria y transmisión del riesgo soberano: Evidencia de Estados Unidos, Europa y Reino Unido," Revista de Economía y Finanzas (REyF), Asociación Cuadernos de Economía, vol. 2(5), pages 119-136, Mayo.
• Stan Hurn & Vance Martin & Peter C. B. Phillips & Jun Yu, 2024. "Teaching Financial Econometrics to Students Converting to Finance," Cowles Foundation Discussion Papers 2397, Cowles Foundation for Research in Economics, Yale University.
• Budnik, Katarzyna & Ponte Marques, Aurea & Giglio, Carla & Grassi, Alberto & Durrani, Agha & Figueres, Juan Manuel & Konietschke, Paul & Le Grand, Catherine & Metzler, Julian & Población García, Franc, 2024. "Advancements in stress-testing methodologies for financial stability applications," Occasional Paper Series 348, European Central Bank.
• Azize Kahramani Koc & Alper Tazegul & Savas Durmus, 2024. "Financial Performance Analysis of Energy Companies Using Multi-Criteria Decision-Making Techniques: An Application in the BIST Electricity, Gas and Water Sector," International Journal of Economics and Financial Issues, Econjournals, vol. 14(6), pages 379-391, October.
• Elieser Tarigan, 2024. "Techno-Economic Analysis of Residential Grid-Connected Rooftop Solar PV Systems in Indonesia Under MEMR 26/2021 Regulation," International Journal of Energy Economics and Policy, Econjournals, vol. 14(1), pages 412-417, January.
• Muhammad Mohsin & Mad Nasir Shamsudin & Khalid Mahsan Alshammary & Muddassar Sarfraz, 2024. "Exploring the Nexus between CO2 Emissions, Trade, and Sustainable Economic Growth: A Novel NARDL Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 14(2), pages 357-366, March.
• Ahmad Monir Abdullah & Aini Aman, 2024. "Energy Prices and Their Impact on US Stock Indices: A Wavelet- based Quantile-on-Quantile Regression Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 14(3), pages 216-234, May.
• T. G. Saji & V. P. Joshith & T. A. Binoy & K. Sravana, 2024. "Analyzing Nexus between Crude Oil, Gold, Dollar and Equity Markets with Structural Break: ARDL Evidence from India," International Journal of Energy Economics and Policy, Econjournals, vol. 14(3), pages 572-581, May.
• Amna Zardoub, 2024. "Time Varying Causality between Oil Price and Precious Metals : Bootstrap Rolling Windows Granger Causality Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 14(4), pages 344-351, July.
• Hatem Brik & Jihene El Ouakdi, 2024. "Interplay of Volatility and Geopolitical Tensions in Clean Energy Markets: A Comprehensive GARCH-LSTM Forecasting Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 14(4), pages 92-107, July.
• Huthaifa Alqaralleh & Awon Almajali & Alessandra Canepa, 2024. "Navigating Energy Market Cycles: Insights from a Comprehensive Analysis," International Journal of Energy Economics and Policy, Econjournals, vol. 14(5), pages 35-48, September.
  • Alqaralleh, Huthaifa & Almajali Mutah, Awon & Canepa, Alessandra, 2024. "Navigating Energy Market Cycles: Insights from a Comprehensive Analysis," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202422, University of Turin.
• Polat, Onur & Ertuğrul, Hasan Murat & Sakarya, Burçhan & Akgül, Ali, 2024. "TVP-VAR based time and frequency domain food & energy commodities connectedness an analysis for financial/geopolitical turmoil episodes," Applied Energy, Elsevier, vol. 357(C).
• Sunitha, K., 2024. "Targeting behavior and capital structure theories: An empirical analysis of gulf cooperation council countries," Journal of Behavioral and Experimental Finance, Elsevier, vol. 43(C).
• Li, Junye & Sarno, Lucio & Zinna, Gabriele, 2024. "Risks and risk premia in the US Treasury market," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
  • Li, Junye & Sarno, Lucio & Zinna, Gabriele, 2023. "Risks and Risk Premia in the US Treasury Market," CEPR Discussion Papers 18592, C.E.P.R. Discussion Papers.
• Sharif, Taimur & Ghouli, Jihene & Bouteska, Ahmed & Abedin, Mohammad Zoynul, 2024. "The impact of COVID-19 uncertainties on energy market volatility: Evidence from the US markets," Economic Analysis and Policy, Elsevier, vol. 84(C), pages 25-41.
• Hu, Xin & Zhu, Bo & Zhang, Bokai & Zhou, Sitong, 2024. "Do internal and external risk spillovers of the food system matter for national food security?," Economic Modelling, Elsevier, vol. 136(C).
• Durrani, Agha & Ongena, Steven & Ponte Marques, Aurea, 2024. "Decoding market reactions: The certification role of EU-wide stress tests," Economic Modelling, Elsevier, vol. 139(C).
• Greenwood-Nimmo, Matthew & Kočenda, Evžen & Nguyen, Viet Hoang, 2024. "Detecting statistically significant changes in connectedness: A bootstrap-based technique," Economic Modelling, Elsevier, vol. 140(C).
  • Matthew Greenwood-Nimmo & Evžen KoÄ enda & Viet Hoang Nguyen, 2019. "Does the Spillover Index Reflect Systemic Shocks? A Bootstrap-Based Probabilistic Analysis," Melbourne Institute Working Paper Series wp2019n17, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  • Matthew Greenwood-Nimmo & Evzen Kocenda & Viet Hoang Nguyen, 2024. "Detecting Statistically Significant Changes in Connectedness: A Bootstrap-based Technique," CAMA Working Papers 2024-51, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Matthew Greenwood-Nimmo & Evzen Kocenda & Viet Hoang Nguyen, 2021. "Does the Spillover Index Respond Significantly to Systemic Shocks? A Bootstrap-Based Probabilistic Analysis," Working Papers IES 2021/29, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2021.
  • Matthew Greenwood-Nimmo & Evžen Kocenda & Viet Hoang Nguyen, 2023. "Does the Spillover Index Respond to Adverse Shocks? A Bootstrap-Based Probabilistic Analysis," CESifo Working Paper Series 10668, CESifo.
• Apostolakis, George N. & Floros, Christos & Gkillas, Konstantinos & Wohar, Mark, 2024. "Volatility spillovers across the spot and futures oil markets after news announcements," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
• Dufera, Tamirat Temesgen, 2024. "Fractional Brownian motion in option pricing and dynamic delta hedging: Experimental simulations," The North American Journal of Economics and Finance, Elsevier, vol. 69(PB).
• Esparcia, Carlos & Fakhfakh, Tarek & Jareño, Francisco, 2024. "The green, the dirty and the stable: Diversifying equity portfolios by adding tokens of different nature," The North American Journal of Economics and Finance, Elsevier, vol. 69(PB).
• Zhu, Huiming & Huang, Xi & Ye, Fangyu & Li, Shuang, 2024. "Frequency spillover effects and cross-quantile dependence between crude oil and stock markets: Evidence from BRICS and G7 countries," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
• Guo, Junjie & Li, Xuelian & Zhang, Weiran & Li, Youshu, 2024. "Monetary policy spillovers among five systemic economies: Evidence from the time and frequency domains," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
• Fakhfekh, Mohamed & Bejaoui, Azza & Bariviera, Aurelio F. & Jeribi, Ahmed, 2024. "Dependence structure between NFT, DeFi and cryptocurrencies in turbulent times: An Archimax copula approach," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
• Demmler, Michael & Fernández, Amilcar Orlian, 2024. "Explosive behavior in historic NASDAQ market prices," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
• Blajer-Gołębiewska, Anna & Honecker, Lukas & Nowak, Sabina, 2024. "Investor sentiment response to COVID-19 outbreak-related news: A sectoral analysis of US firms," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
• Abakah, Emmanuel Joel Aikins & Abdullah, Mohammad & Dankwah, Boakye & Lee, Chi-Chuan, 2024. "Asymmetric dynamics between the Baltic Dry Index and financial markets during major global economic events," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
• Joo, Young C. & Park, Sung Y., 2024. "Hedging Bitcoin with commodity futures: An analysis with copper, gas, gold, and crude oil futures," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
• Herrera, Rodrigo & Piña, Marco, 2024. "Market risk modeling with option-implied covariances and score-driven dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
• Yan, Han & Liu, Bin & Zhu, Xingting & Wu, Yan, 2024. "Systemic risk monitoring model from the perspective of public information arrival," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
• Kim, Hyun-Gyoon & Kim, See-Woo & Kim, Jeong-Hoon, 2024. "Variance and volatility swaps and options under the exponential fractional Ornstein–Uhlenbeck model," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
• Chai, Li & Wang, Yuqi & Qi, Xiaohong, 2024. "Cross-category connectedness between Shanghai crude oil futures and Chinese stock markets related to the Belt and Road Initiative," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
• Maki, Daiki, 2024. "Evaluation of volatility spillovers for asymmetric realized covariance," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
• Chen, Weihua & Mamon, Rogemar & Xiong, Heng & Zeng, Pingping, 2024. "Does uncertainty affect the limits of arbitrage? Evidence from the U.S. stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
• Wang, Mei-Chih & Chang, Tsangyao & Mikhaylov, Alexey & Linyu, Jia, 2024. "A measure of quantile-on-quantile connectedness for the US treasury yield curve spread, the US Dollar, and gold price," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
• Tunc, Ahmet, 2024. "ETFs amidst the COVID-induced technological transformation: Sectoral insights from time-varying dynamics of tail risk transmissions," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
• Liu, Zixin & Hu, Jun & Zhang, Shuguang & He, Zhipeng, 2024. "Risk spillovers among oil, gold, stock, and foreign exchange markets: Evidence from G20 economies," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
• Doan, Bao & Jayasuriya, Dulani & Lee, John B. & Reeves, Jonathan J., 2024. "Cryptocurrency systematic risk dynamics," Economics Letters, Elsevier, vol. 241(C).
• Blampied, Nicolás & Mahadeo, Scott Mark Romeo, 2024. "Airline industry equities under external uncertainty shocks," Economics Letters, Elsevier, vol. 244(C).
• Beutner, Eric & Heinemann, Alexander & Smeekes, Stephan, 2024. "A residual bootstrap for conditional Value-at-Risk," Journal of Econometrics, Elsevier, vol. 238(2).
  • Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2018. "A Residual Bootstrap for Conditional Value-at-Risk," Papers 1808.09125, arXiv.org, revised Aug 2023.
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  • Ewelina Osowska & Piotr Wójcik, 2024. "Predicting the reaction of financial markets to Federal Open Market Committee post-meeting statements," Digital Finance, Springer, vol. 6(1), pages 145-175, March.
• Ewelina Osowska & Piotr Wójcik, 2024. "Predicting the reaction of financial markets to Federal Open Market Committee post-meeting statements," Digital Finance, Springer, vol. 6(1), pages 145-175, March.
  • Ewelina Osowska & Piotr Wójcik, 2024. "Correction: Predicting the reaction of financial markets to Federal Open Market Committee post-meeting statements," Digital Finance, Springer, vol. 6(1), pages 177-177, March.
• Dirk G. Baur & Lai T. Hoang, 2024. "Cryptocurrency spillovers and correlations: inefficiency and co-movement," Digital Finance, Springer, vol. 6(2), pages 203-224, June.
• Axel Groß-Klußmann, 2024. "Learning deep news sentiment representations for macro-finance," Digital Finance, Springer, vol. 6(3), pages 341-377, September.
• Danial Saef & Odett Nagy & Sergej Sizov & Wolfgang Karl Härdle, 2024. "Understanding temporal dynamics of jumps in cryptocurrency markets: evidence from tick-by-tick data," Digital Finance, Springer, vol. 6(4), pages 605-638, December.
• Tchai Tavor, 2024. "Assessing the financial impacts of significant wildfires on US capital markets: sectoral analysis," Empirical Economics, Springer, vol. 67(3), pages 1115-1148, September.
• Fameliti Stavroula & Skintzi Vasiliki, 2024. "Macroeconomic attention and commodity market volatility," Empirical Economics, Springer, vol. 67(5), pages 1967-2007, November.
• Noureddine Benlagha & Wafa Abdelmalek, 2024. "Dynamic connectedness between energy and agricultural commodities: insights from the COVID-19 pandemic and Russia–Ukraine conflict," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(3), pages 781-825, September.
• Tchai Tavor, 2024. "Analyzing the influence of Airbnb announcements in the Asia Pacific Region: a sectoral perspective on travel, tourism, and real estate," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(4), pages 873-905, December.
• Virginie Terraza & Aslı Boru İpek & Mohammad Mahdi Rounaghi, 2024. "The nexus between the volatility of Bitcoin, gold, and American stock markets during the COVID-19 pandemic: evidence from VAR-DCC-EGARCH and ANN models," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-34, December.
• Khaled Mokni & Ghassen El Montasser & Ahdi Noomen Ajmi & Elie Bouri, 2024. "On the efficiency and its drivers in the cryptocurrency market: the case of Bitcoin and Ethereum," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-25, December.
• Ewa Feder-Sempach & Piotr Szczepocki & Joanna Bogołębska, 2024. "Global uncertainty and potential shelters: gold, bitcoin, and currencies as weak and strong safe havens for main world stock markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-23, December.
• Juan Laborda & Ricardo Laborda & Javier Cruz, 2024. "Can ETFs affect U.S. financial stability? A quantile cointegration analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-24, December.
• Carlos Esparcia & Tarek Fakhfakh & Francisco Jareño & Achraf Ghorbel, 2024. "Dynamic DeFi-G7 stock markets interactions and their potential role in diversifying and hedging strategies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-26, December.
• Amro Saleem Alamaren & Korhan K. Gokmenoglu & Nigar Taspinar, 2024. "Volatility spillovers among leading cryptocurrencies and US energy and technology companies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-37, December.
• Pengcheng Zhang & Kunpeng Xu & Jian Huang & Jiayin Qi, 2024. "Investor sentiment and the holiday effect in the cryptocurrency market: evidence from China," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-36, December.
• Md. Bokhtiar Hasan & Gazi Salah Uddin & Md. Sumon Ali & Md. Mamunur Rashid & Donghyun Park & Sang Hoon Kang, 2024. "Examining time–frequency quantile dependence between green bond and green equity markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-28, December.
• Malvina Marchese & María Dolores Martínez-Miranda & Jens Perch Nielsen & Michael Scholz, 2024. "Robustifying and simplifying high-dimensional regression with applications to yearly stock return and telematics data," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-16, December.
• Mathias Schneid Tessmann & Carlos Enrique Carrasco-Gutierrez & Marcelo Oliveira Passos & Luiz Augusto Magalhães & Régis Augusto Ely, 2024. "Volatility transmissions and connectivity among metal and energy commodities: a network-econometric analysis," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 48(1), pages 51-77, March.
• Aissa Djedaiet & Hassan Guenichi & Hicham Ayad, 2024. "Do asymmetric oil shocks impact gold and Bitcoin returns symmetrically? A comparison between the COVID-19 pandemic and the Russo-Ukrainian war," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 48(4), pages 1187-1213, December.
• Mayank Gupta & Amit Pawar & Subrat Kumar Seet & S. Suraj, 2024. "Non-Linear Dynamics of Yield Spreads and Inflation: Evidence from India," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 22(4), pages 809-822, December.
• Marcos Escobar-Anel & Ben Spies & Rudi Zagst, 2024. "Optimal consumption and investment in general affine GARCH models," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 46(3), pages 987-1026, September.
• Javier Sánchez García & Salvador Cruz Rambaud, 2024. "The network econometrics of financial concentration," Review of Managerial Science, Springer, vol. 18(7), pages 2007-2045, July.
• Amane Saito & Hisashi Tanizaki, 2024. "Volatility and returns of ESG indices: evidence from Japan," SN Business & Economics, Springer, vol. 4(3), pages 1-21, March.
• Paolo Chirico, 2024. "Iterative QML estimation for asymmetric stochastic volatility models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 33(3), pages 885-900, July.
• Richard Reichel, 2024. "Determinants of Asset Value Adjustments: The Case of Germany’s Cooperative Banks," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 14(2), pages 1-7.
• Federico Cini & Annalisa Ferrari, 2024. "A Darwinian Approach via ML to the Analysis of Cryptocurrencies’ Returns," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 14(6), pages 1-6.
• Lars Winkelmann & Wenying Yao, 2024. "Tests for Jumps in Yield Spreads," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 946-957, July.
  • Winkelmann, Lars & Yao, Wenying, 2021. "Tests for jumps in yield spreads," Discussion Papers 2021/15, Free University Berlin, School of Business & Economics.
  • Lars Winkelmann & Wenying Yao, 2023. "Tests for Jumps in Yield Spreads," Berlin School of Economics Discussion Papers 0024, Berlin School of Economics.
• Gianluca De Nard & Robert F. Engle & Bryan Kelly, 2024. "Factor-Mimicking Portfolios for Climate Risk," Financial Analysts Journal, Taylor & Francis Journals, vol. 80(3), pages 37-58, July.
  • Gianluca De Nard & Robert F. Engle & Bryan Kelly, 2023. "Factor mimicking portfolios for climate risk," ECON - Working Papers 429, Department of Economics - University of Zurich, revised Mar 2024.
• Ramon de Punder & Timo Dimitriadis & Rutger-Jan Lange, 2024. "Kullback-Leibler-based characterizations of score-driven updates," Papers 2408.02391, arXiv.org, revised Sep 2024.
  • Ramon de Punder & Timo Dimitriadis & Rutger-Jan Lange, 2024. "Kullback-Leibler-based characterizations of score-driven updates," Tinbergen Institute Discussion Papers 24-051/III, Tinbergen Institute, revised 22 Oct 2024.
• Laura Capera Romero & Anne Opschoor, 2024. "Realized Variances vs. Correlations: Unlocking the Gains in Multivariate Volatility Forecasting," Tinbergen Institute Discussion Papers 24-059/III, Tinbergen Institute.
• Fayssal Jamhamed & Franck Martin & Fabien Rondeau & Josué Thélissaint & Stéphane Tufféry, 2024. "Regime-Specific Dynamics and Informational Efficiency in Cryptomarkets: Evidence from Gaussian Mixture Models," Economics Working Paper Archive (University of Rennes & University of Caen) 2024-13, Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS.
• Josué Thélissaint, 2024. "Assessing Cryptomarket Risks: Macroeconomic Forces, Market Shocks and Behavioural Dynamics," Economics Working Paper Archive (University of Rennes & University of Caen) 2024-14, Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS.
• Gabriel Montes-Rojas & Zacharias Psaradakis & Martín Sola, 2024. "On Regime Separation in Markov-Switching Quantile Regressions," Department of Economics Working Papers 2024_05, Universidad Torcuato Di Tella.
• Huthaifa Alqaralleh & Awon Almajali & Alessandra Canepa, 2024. "Navigating Energy Market Cycles: Insights from a Comprehensive Analysis," International Journal of Energy Economics and Policy, Econjournals, vol. 14(5), pages 35-48, September.
  • Alqaralleh, Huthaifa & Almajali Mutah, Awon & Canepa, Alessandra, 2024. "Navigating Energy Market Cycles: Insights from a Comprehensive Analysis," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202422, University of Turin.
• HABIBI, Reza, 2024. "A Note On The Early Warning System Of Change Points: Combination Of Regime Switching And Threshold Models," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 28(2), pages 6-18, June.
• Kadiri Hamza & Oukhouya Hassan & Belkhoutout Khalid & Himdi Khalid El, 2024. "Dynamic Interconnections and Contagion Effects Among Global Stock Markets: A Vecm Analysis," Economics, Sciendo, vol. 12(3), pages 55-73.
• Radojković Ivan D. & Radović Ognjen V. & Stevanović Kristina R., 2024. "Modeling the Volatility of Returns on Investment Units of Voluntary Pension Funds in Serbia," Economic Themes, Sciendo, vol. 62(4), pages 541-560.
• Serap Vurur N. & Özdemir Letife & Özen Ercan & Grima Simon, 2024. "The Impact of Stock Prices of Polluting Energy Sources on Renewable Energy Stock Index Prices," Folia Oeconomica Stetinensia, Sciendo, vol. 24(2), pages 344-370.
• de Salles André Assis & Lima Renato Barros, 2024. "Carbon Credits and Crude Oil: An Investigation of the Price Returns Interaction in the International Market," Naše gospodarstvo/Our economy, Sciendo, vol. 70(1), pages 1-12, March.
• Güngör Arifenur & Güngör Mahmut Sami, 2024. "The Nexus Between Economic Policy Uncertainty and Stock Market Volatility in the CEE-3 Countries," South East European Journal of Economics and Business, Sciendo, vol. 19(2), pages 60-81.
• Vodă Tudor-Ovidiu, 2024. "The Nexus Between Investors’ Sentiment and Hedge Funds Risk Premiums," Studia Universitatis Babeș-Bolyai Oeconomica, Sciendo, vol. 69(2), pages 26-39.
• Heryán Tomáš & Růčková Petra & Cerulli Giovanni, 2024. "Financial Performance Among Top10 Automotive Leaders in the EU: Essential Techniques to Investigate the Structure of Moments While Using the GMM with Dynamic Panel Data," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 34(3), pages 26-59.
• Naz Farah & Lutfullah Tooba & Zahra Kanwal, 2024. "COVID-19 and Seasonality in Monthly Returns: a Firm Level Analysis of PSX," Zagreb International Review of Economics and Business, Sciendo, vol. 27(1), pages 201-230.
• Ivancevic Milo, 2024. "Analysis of Green Bond Yields in Different Economic Regimes: High and Low Interest Rates," Zagreb International Review of Economics and Business, Sciendo, vol. 27(2), pages 7-26.
• Bartosz Bieganowski & Robert Slepaczuk, 2024. "Supervised Autoencoder MLP for Financial Time Series Forecasting," Papers 2404.01866, arXiv.org, revised Jun 2024.
  • Bartosz Bieganowski & Robert Ślepaczuk, 2024. "Supervised Autoencoder MLP for Financial Time Series Forecasting," Working Papers 2024-03, Faculty of Economic Sciences, University of Warsaw.
• Kamil Kashif & Robert 'Slepaczuk, 2024. "LSTM-ARIMA as a Hybrid Approach in Algorithmic Investment Strategies," Papers 2406.18206, arXiv.org.
  • Kamil Kashif & Robert Ślepaczuk, 2024. "LSTM-ARIMA as a Hybrid Approach in Algorithmic Investment Strategies," Working Papers 2024-07, Faculty of Economic Sciences, University of Warsaw.
• Sugarbayar Enkhbayar & Robert Ślepaczuk, 2024. "Predictive modeling of foreign exchange trading signals using machine learning techniques," Working Papers 2024-10, Faculty of Economic Sciences, University of Warsaw.
• Maciej Wysocki & Robert 'Slepaczuk, 2024. "Construction and Hedging of Equity Index Options Portfolios," Papers 2407.13908, arXiv.org.
  • Maciej Wysocki & Robert Ślepaczuk, 2024. "Construction and Hedging of Equity Index Options Portfolios," Working Papers 2024-14, Faculty of Economic Sciences, University of Warsaw.
• Stanisław Łaniewski & Robert Ślepaczuk, 2024. "Enhancing literature review with NLP methods Algorithmic investment strategies case," Working Papers 2024-16, Faculty of Economic Sciences, University of Warsaw.
• Filip Stefaniuk & Robert Ślepaczuk, 2024. "The article investigates the usage of Informer architecture for building automated trading strategies for high frequency Bitcoin data. Three strategies using Informer model with different loss functio," Working Papers 2024-27, Faculty of Economic Sciences, University of Warsaw.
• Thorsten V. Koeppl & Jeremy M. Kronick & James McNeil, 2024. "Using functional shocks to assess conventional and unconventional monetary policy in Canada," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 57(4), pages 1314-1336, November.
  • Thorsten V. Koeppl & Jeremy M Kronick & James McNeil, 2023. "Using Functional Shocks to Assess Conventional and Unconventional Monetary Policy in Canada," Working Paper 1499, Economics Department, Queen's University.
• Jia Liu & John M. Maheu & Yong Song, 2024. "Identification and forecasting of bull and bear markets using multivariate returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 723-745, August.
  • Liu, Jia & Maheu, John M & Song, Yong, 2023. "Identification and Forecasting of Bull and Bear Markets using Multivariate Returns," MPRA Paper 119515, University Library of Munich, Germany.
• Chenxing Li & John M. Maheu & Qiao Yang, 2024. "An infinite hidden Markov model with stochastic volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2187-2211, September.
  • Li, Chenxing & Maheu, John M & Yang, Qiao, 2022. "An Infinite Hidden Markov Model with Stochastic Volatility," MPRA Paper 115456, University Library of Munich, Germany.
• William A. Barnett & Marcelle Chauvet & Danilo Leiva‐Leon & Liting Su, 2024. "The Credit‐Card‐Services Augmented Divisia Monetary Aggregates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(5), pages 1163-1202, August.
  • William A. Barnett & Marcelle Chauvet & Danilo Leiva-Leon & Liting Su, 2016. "The Credit-Card-Services Augmented Divisia Monetary Aggregates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201604, University of Kansas, Department of Economics, revised Aug 2016.
  • Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting, 2016. "The credit-card-services augmented Divisia monetary aggregates," MPRA Paper 73245, University Library of Munich, Germany.
• Wing-Keung Wong & Mu Yue, 2024. "Could Regressing a Stationary Series on a Non-Stationary Series Obtain Meaningful Outcomes?," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 19(03), pages 1-16, September.
• Hossein Dastkhan & Hossein Saber, 2024. "Does Bitcoin Add Any Value To The Investment Portfolios In Emerging Markets? A Case From Tehran Stock Exchange," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 19(03), pages 1-23, September.
• Chia-Ning Chiu, 2024. "The Holiday Effects On Amusement And Theme Park Companies’ Stock Prices," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 69(03), pages 1289-1306, June.
• Arthur Jin Lin, 2024. "Volatility Contagion Among Stock, Currency, And Bulk Shipping Market During The China’S Stock Market Crash Crisis," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 69(06), pages 1995-2012, September.
• Imen Omri & Oguzhan Ozcelebi, 2024. "Examination Of The Impacts Of Cryptocurrency Uncertainty On Exchange-Traded Funds," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 69(08), pages 2687-2712, December.
• Robert A Jarrow & Arkadev Chatterjea, 2024. "An Introduction to Derivative Securities, Financial Markets, and Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 13797.
• Robert A. Jarrow & Arkadev Chatterjea, 2024. "Derivatives and Risk Management," World Scientific Book Chapters, in: AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, chapter 1, pages 2-20, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2024. "Interest Rates," World Scientific Book Chapters, in: AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, chapter 2, pages 21-49, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2024. "Stocks," World Scientific Book Chapters, in: AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, chapter 3, pages 50-68, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2024. "Forwards and Futures," World Scientific Book Chapters, in: AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, chapter 4, pages 69-88, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2024. "Options," World Scientific Book Chapters, in: AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, chapter 5, pages 89-108, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2024. "Arbitrage and Trading," World Scientific Book Chapters, in: AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, chapter 6, pages 109-125, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2024. "Financial Engineering and Swaps," World Scientific Book Chapters, in: AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, chapter 7, pages 126-148, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2024. "Forwards and Futures Markets," World Scientific Book Chapters, in: AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, chapter 8, pages 152-169, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2024. "Futures Trading," World Scientific Book Chapters, in: AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, chapter 9, pages 170-189, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2024. "Futures Regulations," World Scientific Book Chapters, in: AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, chapter 10, pages 190-206, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2024. "The Cost-of-Carry Model," World Scientific Book Chapters, in: AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, chapter 11, pages 207-225, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2024. "The Extended Cost-of-Carry Model," World Scientific Book Chapters, in: AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, chapter 12, pages 226-252, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2024. "Futures Hedging," World Scientific Book Chapters, in: AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, chapter 13, pages 253-282, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2024. "Options Markets and Trading," World Scientific Book Chapters, in: AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, chapter 14, pages 286-307, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2024. "Option Trading Strategies," World Scientific Book Chapters, in: AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, chapter 15, pages 308-333, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2024. "Option Relations," World Scientific Book Chapters, in: AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, chapter 16, pages 334-364, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2024. "Single-Period Binomial Model," World Scientific Book Chapters, in: AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, chapter 17, pages 365-388, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2024. "Multiperiod Binomial Model," World Scientific Book Chapters, in: AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, chapter 18, pages 389-418, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2024. "The Black–Scholes–Merton Model," World Scientific Book Chapters, in: AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, chapter 19, pages 419-458, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2024. "Using the Black–Scholes–Merton Model," World Scientific Book Chapters, in: AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, chapter 20, pages 459-490, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2024. "Yields and Forward Rates," World Scientific Book Chapters, in: AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, chapter 21, pages 494-533, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2024. "Interest Rate Swaps," World Scientific Book Chapters, in: AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, chapter 22, pages 534-553, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2024. "Single-Period Binomial Heath–Jarrow–Morton Model," World Scientific Book Chapters, in: AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, chapter 23, pages 554-587, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2024. "Multiperiod Binomial HJM Model," World Scientific Book Chapters, in: AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, chapter 24, pages 588-613, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2024. "The Heath–Jarrow–Morton Libor Model," World Scientific Book Chapters, in: AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, chapter 25, pages 614-649, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2024. "Risk Management Models," World Scientific Book Chapters, in: AN INTRODUCTION TO Derivative Securities, Financial Markets, and Risk Management, chapter 26, pages 650-678, World Scientific Publishing Co. Pte. Ltd..
• Faria, Gonçalo & Verona, Fabio, 2024. "Unlocking predictive potential: the frequency-domain approach to equity premium forecasting," Bank of Finland Research Discussion Papers 10/2024, Bank of Finland.
• Faria, Gonçalo & Verona, Fabio, 2024. "Enhancing forecast accuracy through frequencydomain combination: Applications to financial and economic indicators," Bank of Finland Research Discussion Papers 14/2024, Bank of Finland.
• Wang, Shu, 2024. "Daily oil price shocks and their uncertainties," University of Göttingen Working Papers in Economics 436, University of Goettingen, Department of Economics.
• Beyer, Victor & Bauckloh, Michael Tobias, 2024. "Non-standard errors in carbon premia," CFR Working Papers 24-06, University of Cologne, Centre for Financial Research (CFR).
• Bagnara, Matteo, 2024. "The economic value of cross-predictability: A performance-based measure," SAFE Working Paper Series 424, Leibniz Institute for Financial Research SAFE.

2023

• Bayu Adi Nugroho & Dewi Fiscalina Kusumawardhani, 2023. "Optimal Hedge Ratio Of Sukuk And Islamic Equity: A Novel Approach," Journal of Islamic Monetary Economics and Finance, Bank Indonesia, vol. 9(4), pages 685-724, December.
• Justyna Klejdysz & Robin L. Lumsdaine, 2023. "Shifts in ECB Communication: A Textual Analysis of the Press Conference," International Journal of Central Banking, International Journal of Central Banking, vol. 19(2), pages 473-542, June.
• Yoosoon Chang & Ana María Herrera & Elena Pesavento, 2023. "Oil prices uncertainty, endogenous regime switching, and inflation anchoring," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(6), pages 820-839, September.
  • Yoosoon Chang & Ana Maria Herrera & Elena Pesavento, 2023. "Oil Prices Uncertainty, Endogenous Regime Switching, and Inflation Anchoring," CAMA Working Papers 2023-14, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Yoosoon Chang & Ana Maria Herrera & Elena Pesavento, 2023. "Oil Prices Uncertainty, Endogenous Regime Switching, and Inflation Anchoring," CAEPR Working Papers 2023-002 Classification-C, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
  • Yoosoon Chang & Ana María Herrera & Elena Pesavento, 2023. "Oil Prices Uncertainty, Endogenous Regime Switching, and Inflation Anchoring," Working Papers No 02/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
• Hilde C. Bjørnland & Yoosoon Chang & Jamie L. Cross, 2023. "Oil and the Stock Market Revisited: A Mixed Functional VAR Approach," CAMA Working Papers 2023-18, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Hilde C. Bjornland & Yoosoon Chang & Jamie L. Cross, 2024. "Oil and the Stock Market Revisited: A Mixed Functional VAR Approach," CAEPR Working Papers 2023-005 Classification-1, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
  • Hilde C. Bjørnland & Yoosoon Chang & Jamie L. Cross, 2023. "Oil and the Stock Market Revisited: A mixed functional VAR approach," Working Papers No 03/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
• Veysel Karagol, 2023. "How Vulnerable is the Turkish Stock Market to the Credit Default Swap? Evidence from the Markov Switching GARCH Model," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 73(73-1), pages 513-531, June.
• Bukre Yildirim Kulekci & Gulden Poyraz & Ismail Gur & Ozan Evkaya, 2023. "Dependence Analysis of the ISE100 Banking Sector Using Vine Copula," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 73(73-1), pages 55-81, June.
• Zongwu Cai & Hongwei Mei & Rui Wang, 2023. "A Model Specification Test for Nonlinear Stochastic Diffusions with Delay," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202301, University of Kansas, Department of Economics, revised Jan 2023.
• Wolfgang Schadner & Sebastian Lang, 2023. "The value of expected return persistence," Annals of Finance, Springer, vol. 19(4), pages 449-476, December.
• Jan Matas & Jan Pospíšil, 2023. "Robustness and sensitivity analyses of rough Volterra stochastic volatility models," Annals of Finance, Springer, vol. 19(4), pages 523-543, December.
• Hema Divya Kantamaneni & Vasudeva Reddy Asi, 2023. "Market Efficiency of Commodity Derivatives with Reference to Nonagricultural Commodities," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 247-258, March.
• Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2023. "A Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1801-1843, December.
  • Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2020. "Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting," Working Papers 202056, University of Pretoria, Department of Economics.
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• Dean Fantazzini & Yufeng Xiao, 2023. "Detecting Pump-and-Dumps with Crypto-Assets: Dealing with Imbalanced Datasets and Insiders’ Anticipated Purchases," Econometrics, MDPI, vol. 11(3), pages 1-73, August.
  • Fantazzini, Dean & Xiao, Yufeng, 2023. "Detecting Pump-and-Dumps with Crypto-Assets: Dealing with Imbalanced Datasets and Insiders’ Anticipated Purchases," MPRA Paper 118435, University Library of Munich, Germany.
• Tom Beernaert & Nicolas Soenen & Rudi Vander Vennet, 2023. "ECB Monetary Policy and the Term Structure of Bank Default Risk," JRFM, MDPI, vol. 16(12), pages 1-22, December.
  • Tom Beernaert & Nicolas Soenen & Rudi Vander Vennet, 2022. "ECB Monetary Policy and the Term Structure of Bank Default Risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 22/1050, Ghent University, Faculty of Economics and Business Administration.
• Adel Benhamed & Ahlem Selma Messai & Ghassen El Montasser, 2023. "On the Determinants of Bitcoin Returns and Volatility: What We Get from Gets?," Sustainability, MDPI, vol. 15(3), pages 1-21, January.
• Fredy Gamboa-Estrada, 2023. "The Role of Foreign Investors and Local Agents in the Derivatives Market and their Impact on the Exchange Rate in Colombia: A Wavelet Analysis," IHEID Working Papers 12-2023, Economics Section, The Graduate Institute of International Studies.
• John B. Guerard & Dimitrios D. Thomakos & Foteini Kyriazi & Konstantinos Mamais, 2023. "On the Predictability of the DJIA and S&P500 Indices," Working Papers 2023-001, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
• Khalfaoui, Rabeh & Mefteh-Wali, Salma & Dogan, Buhari & Ghosh, Sudeshna, 2023. "Extreme spillover effect of COVID-19 pandemic-related news and cryptocurrencies on green bond markets: A quantile connectedness analysis," International Review of Financial Analysis, Elsevier, vol. 86(C).
  • Rabeh Khalfaoui & Salma Mefteh-Wali & Buhari Dogan & Sudeshna Ghosh, 2023. "Extreme spillover effect of COVID-19 pandemic-related news and cryptocurrencies on green bond markets: A quantile connectedness analysis," Post-Print hal-03998228, HAL.
• Roman Mestre, 2023. "Stock profiling using time–frequency-varying systematic risk measure," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-29, December.
  • Roman Mestre, 2023. "Stock profiling using time–frequency-varying systematic risk measure," Post-Print hal-04058285, HAL.
• Blasques, F. & Francq, Christian & Laurent, Sébastien, 2023. "Quasi score-driven models," Journal of Econometrics, Elsevier, vol. 234(1), pages 251-275.
  • F. Blasques & Christian Francq & Sébastien Laurent, 2023. "Quasi score-driven models," Post-Print hal-04069143, HAL.
• Bampinas, Georgios & Panagiotidis, Theodore & Politsidis, Panagiotis N., 2023. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Journal of International Money and Finance, Elsevier, vol. 137(C).
  • Bampinas, Georgios & Panagiotidis, Theodore & Politsidis, Panagiotis, 2020. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," MPRA Paper 102846, University Library of Munich, Germany.
  • Georgios Bampinas & Theodore Panagiotidis & Panagiotis Politsidis, 2023. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Post-Print hal-04164277, HAL.
  • Georgios Bampinas & Theodore Panagiotidis & Panagiotis N. Politsidis, 2023. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Working Paper series 23-09, Rimini Centre for Economic Analysis.
• Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023. "We modeled long memory with just one lag!," Journal of Econometrics, Elsevier, vol. 236(1).
  • Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2022. "We modeled long memory with just one lag!," LIDAM Discussion Papers CORE 2022016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Luc Bauwens & Guillaume Chevillon & Sébastien Laurent, 2023. "We modeled long memory with just one lag!," Post-Print hal-04185755, HAL.
  • Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023. "We modeled long memory with just one lag!," LIDAM Reprints CORE 3234, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Fabien Clive Ntonga Efoua & Etienne Inédit Blaise Tsomb Tsomb, 2023. "Commodity Shocks and External Currency Stability : An Empirical Evidence from CEMAC [Chocs sur les produits de base et stabilité externe de la monnaie : une évidence empirique en CEMAC]," Post-Print hal-04273963, HAL.
• Rad, Hossein & Low, Rand Kwong Yew & Miffre, Joëlle & Faff, Robert, 2023. "The commodity risk premium and neural networks," Journal of Empirical Finance, Elsevier, vol. 74(C).
  • H. Rad & R. Low & J. Miffre & R. Faff, 2023. "The commodity risk premium and neural networks," Post-Print hal-04322519, HAL.
• Bakalli, Gaetan & Guerrier, Stéphane & Scaillet, Olivier, 2023. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Journal of Econometrics, Elsevier, vol. 237(2).
  • Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2021. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Swiss Finance Institute Research Paper Series 21-09, Swiss Finance Institute.
  • Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2023. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Post-Print hal-04325655, HAL.
  • Gaetan Bakalli & St'ephane Guerrier & Olivier Scaillet, 2022. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Papers 2208.00972, arXiv.org.
• Virbickaitė, Audronė & Nguyen, Hoang & Tran, Minh-Ngoc, 2023. "Bayesian predictive distributions of oil returns using mixed data sampling volatility models," Resources Policy, Elsevier, vol. 86(PA).
  • Virbickaite, Audrone & Nguyen, Hoang & Tran, Minh-Ngoc, 2023. "Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models," Working Papers 2023:7, Örebro University, School of Business.
• Artem Aganin & Vyacheslav Manevich & Anatoly Peresetsky & Polina Pogorelova, 2023. "Comparison of Cryptocurrency and Stock Market Volatility Forecast Models," HSE Economic Journal, National Research University Higher School of Economics, vol. 27(1), pages 49-77.
• Vladimir Sviyazov, 2023. "Is There a Weekend Effect? Russian Stock Market Research Based on Fuzzy Systems," HSE Economic Journal, National Research University Higher School of Economics, vol. 27(3), pages 412-434.
• Watanabe, Toshiaki & Nakajima, Jouchi, 2023. "High-frequency realized stochastic volatility model," Discussion paper series HIAS-E-127, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.

2022

• Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022. "A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model," Econometrics, MDPI, vol. 10(3), pages 1-41, August.
  • Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022. "A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model," CREATES Research Papers 2022-01, Department of Economics and Business Economics, Aarhus University.
• Kristoffer Pons Bertelsen, 2022. "The Prior Adaptive Group Lasso and the Factor Zoo," CREATES Research Papers 2022-05, Department of Economics and Business Economics, Aarhus University.
• Mevlüt Camgöz, 2022. "Analysis of the Asymmetric Effects of Global Uncertainty Factors on BIST Stock Prices Evidence from NARDL Model," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 37(118), pages 71-100, October.
• Teodora Cristina Barbu & Cosmin-Octavian Cepoi & Crina Raluca Petrescu & Mariana Vuta, 2022. "The Assessment of Climate Risk Impact on the Economy: A Panel Data Approach," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 24(61), pages 597-597, August.
• Dan Ioan Topor & Andreea Marin-Pantelescu & Adela Socol & Oana Raluca Ivan, 2022. "Decarbonization of the Romanian Economy: An ARDL and KRLS Approach of Ecological Footprint," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 24(61), pages 664-664, August.
• Mehmet Eraslan & Selahattin Koç, 2022. "Endeks Vadeli İşlemlerin Pay Senedi Endeksleri Üzerindeki Volatilite Etkisi: Asya-Pasifik Ülkeleri Üzerine Bir Araştırma," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 7(2), pages 567-589.
• Hüseyin Özdemir, 2022. "Altının Riskten Korunma Etkinliği: Farklı Dinamik Portföy Yaklaşımları İle Bankacılık Sektörü İçin Bir Analiz," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 7(4), pages 889-908.
• Esengül Salihoğlu, 2022. "Türkiye’de Katılım Bankacılığı Büyüklüğünü Etkileyen Seçilmiş Faktörler Üzerine Bir Analiz," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 7(SI), pages 211-234.
• Ebubekir Mollaahmetoğlu & Burçay Yaşar Akçalı, 2022. "Elektronik Ürün Senedi (ELÜS) Endeksleri ile ABD Dolar Endeksi ve Dolar Kuru Arasındaki İlişkinin Simetrik ve Asimetrik Nedensellik Testleri ile Analizi," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 7(SI), pages 45-60.
• Attila Szora TAMAȘ & Alexandra Delia BUGNARIU & Dan Ioan TOPOR & Dan Mihai MUREȘAN, 2022. "The Impact of Determinant Factors on Production Cost Variation – An Empirical Study," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, vol. 1(24), pages 83-90, November.
• Cristian DOGAR & Irimie Emil POPA, 2022. "Ï»¿Romanian Efficiency In European Social Fund Implementation, An Assumed Choice Between Eligible Activities And Program Indicators," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 2(24), pages 1-5.
• Stefano Giglio & Bryan Kelly & Dacheng Xiu, 2022. "Factor Models, Machine Learning, and Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 14(1), pages 337-368, November.
• Майданов С.Ж. // Maidanov S.Zh. & Табарак Ы.Ж. // Tabarak Y.Zh., 2022. "Совершенствование моделей прогнозирования объема наличных денег в обращении в Республике Казахстан // Improving the models for forecasting the volume of cash in circulation in the Republic of Kazakhst," Economic Review(National Bank of Kazakhstan), National Bank of Kazakhstan, issue 2, pages 4-21.
• Oscar Claveria & Enric Monte & Petar Soric & Salvador Torra, 2022. ""An application of deep learning for exchange rate forecasting"," IREA Working Papers 202201, University of Barcelona, Research Institute of Applied Economics, revised Jan 2022.
  • Oscar Claveria & Enric Monte & Petar Soric & Salvador Torra, 2022. "“An application of deep learning for exchange rate forecasting”," AQR Working Papers 202201, University of Barcelona, Regional Quantitative Analysis Group, revised Jan 2022.
• Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 113096, University Library of Munich, Germany.
  • Victor Olkhov, 2022. "Market-Based Asset Price Probability," Papers 2205.07256, arXiv.org, revised Dec 2024.
  • Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 115382, University Library of Munich, Germany, revised 16 Nov 2022.
• Bakalli, Gaetan & Guerrier, Stéphane & Scaillet, Olivier, 2023. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Journal of Econometrics, Elsevier, vol. 237(2).
  • Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2021. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Swiss Finance Institute Research Paper Series 21-09, Swiss Finance Institute.
  • Gaetan Bakalli & St'ephane Guerrier & Olivier Scaillet, 2022. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Papers 2208.00972, arXiv.org.
  • Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2023. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Post-Print hal-04325655, HAL.
• Boswijk, H. Peter & Laeven, Roger J.A. & Vladimirov, Evgenii, 2024. "Estimating option pricing models using a characteristic function-based linear state space representation," Journal of Econometrics, Elsevier, vol. 244(1).
  • H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022. "Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation," Tinbergen Institute Discussion Papers 22-000/III, Tinbergen Institute.
  • H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022. "Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation," Papers 2210.06217, arXiv.org.
• Carlos Moreno Pérez & Marco Minozzo, 2022. "Natural Language Processing and Financial Markets: Semi-supervised Modelling of Coronavirus and Economic News," Working Papers 2228, Banco de España.
• Alpino, Matteo & Citino, Luca & Zeni, Federica, 2023. "Costs and benefits of the green transitionenvisaged in the Italian NRRP - An evaluation using the social cost of carbon," Energy Policy, Elsevier, vol. 182(C).
  • Matteo Alpino & Luca Citino & Federica Zeni, 2022. "Costs and benefits of the green transition envisaged in the italian NRRP. An evaluation using the Social Cost of Carbon," Questioni di Economia e Finanza (Occasional Papers) 720, Bank of Italy, Economic Research and International Relations Area.
• Giulio Gariano & Gianluca Viggiano, 2022. "Press news and social media in credit risk assessment: the experience of Banca d’Italia’s In-house Credit Assessment System," Temi di discussione (Economic working papers) 24, Bank of Italy, Economic Research and International Relations Area.
• Sara Cecchetti & Adriana Grasso & Marcello Pericoli, 2022. "An analysis of objective inflation expectations and inflation risk premia," Temi di discussione (Economic working papers) 1380, Bank of Italy, Economic Research and International Relations Area.
• Fredy Gamboa-Estrada & José Vicente Romero, 2022. "Modelling CDS Volatility at Different Tenures: An Application for Latin-American Countries," Borradores de Economia 1199, Banco de la Republica de Colombia.
• Ali Cüneyt ÇETİN, 2022. "Kredi Temerrüt Takasları Primi ile BIST 100 Endeksi, Döviz Kuru ve Faiz Arasındaki İlişki Türkiye Örneği," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, vol. 6(1), pages 39-77, August.
• Laura Capota & Margherita Giuzio & Sujit Kapadia & Dilyara Salakhova, 2022. "Are ethical and green investment funds more resilient?," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Statistics for Sustainable Finance, volume 56, Bank for International Settlements.
  • Capotă, Laura-Dona & Giuzio, Margherita & Kapadia, Sujit & Salakhova, Dilyara, 2022. "Are ethical and green investment funds more resilient?," Working Paper Series 2747, European Central Bank.
• Thiago Christiano Silva & Sergio Rubens Stancato de Souza & Solange Maria Guerra, 2022. "Covid-19 and market power in local credit markets: the role of digitalization," BIS Working Papers 1017, Bank for International Settlements.
• Aleksei Kipriyanov, 2022. "Comparison of Models for Growth-at-Risk Forecasting," Russian Journal of Money and Finance, Bank of Russia, vol. 81(1), pages 23-45, March.
• Evgeny Moiseev & Denis Zagorodnev & Alexander Berezinskiy & Roman Tikhonov, 2022. "A Method for Assessing the IT Component of Model Risk and the Economic Capital to Cover It," Russian Journal of Money and Finance, Bank of Russia, vol. 81(3), pages 107-127, September.
• Laurent Barras & Patrick Gagliardini & Olivier Scaillet, 2022. "Skill, Scale, and Value Creation in the Mutual Fund Industry," Journal of Finance, American Finance Association, vol. 77(1), pages 601-638, February.
  • Barras, Laurent & Scaillet, Olivier & Gagliardini, Patrick, 2021. "Skill, scale, and value creation in the mutual fund industry," Working Papers unige:150822, University of Geneva, Geneva School of Economics and Management.
• CLEMENT Claudiu, 2022. "Balanced Bagging With Expectation Maximization Imputation In Bankruptcy Prediction - Application On Romanian Companies," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 74(1), pages 40-50, August.
• SERBU Razvan Sorin & IANCU Adrian-Nicolae & ROTAR Eugen, 2022. "A Possible Predictive Causality Between The New Global Trend, Environmental, Social, And Governance (Esg) And Market Sentiment Through "Gold Futures/Vix" Ratio," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 74(4), pages 91-99, December.
• Simon Jurkatis, 2022. "Why you should not use the LSV herding measure," Bank of England working papers 959, Bank of England.
• Iryna Kaminska & Haroon Mumtaz, 2022. "Monetary policy transmission during QE times: role of expectations and term premia channels," Bank of England working papers 978, Bank of England.
• Miguel Ampudia & Filippo Busetto & Fabio Fornari, 2022. "Chronicle of a death foretold: does higher volatility anticipate corporate default?," Bank of England working papers 1001, Bank of England.
• Taufemback Cleiton G. & Troster Victor & Shahbaz Muhammad, 2022. "A Robust Test for Monotonicity in Asset Returns," Journal of Time Series Econometrics, De Gruyter, vol. 14(1), pages 1-24, January.
• Kaldorf Matthias & Wied Dominik, 2022. "Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(1), pages 1-24, February.
• Shang Han Lin & Zhang Xibin, 2022. "Bayesian bandwidth estimation for local linear fitting in nonparametric regression models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(1), pages 55-71, February.
• Elise Alfieri & Yann Ferrat, 2022. "Une meilleure rémunération des mineurs : un effet positif sur la performance financière des cryptomonnaies," Innovations, De Boeck Université, vol. 0(2), pages 53-77.
• Alves, C., 2022. "Joan Robinson in 1942, an encounter between Marxian Economics and Macroeconomics," Cambridge Working Papers in Economics 2226, Faculty of Economics, University of Cambridge.
• Linton, O. B. & Tang, H. & Wu, J., 2022. "A Structural Dynamic Factor Model for Daily Global Stock Market Returns," Janeway Institute Working Papers camjip:2214, Faculty of Economics, University of Cambridge.
  • Linton, O. B. & Tang, H. & Wu, J., 2022. "A Structural Dynamic Factor Model for Daily Global Stock Market Returns," Cambridge Working Papers in Economics 2237, Faculty of Economics, University of Cambridge.
• Ashby, M. & Linton, O. B., 2022. "Do Consumption-based Asset Pricing Models Explain Own-history Predictability in Stock Market Returns?," Janeway Institute Working Papers 2226, Faculty of Economics, University of Cambridge.
  • Ashby, M. & Linton, O. B., 2022. "Do Consumption-based Asset Pricing Models Explain Own-history Predictability in Stock Market Returns?," Cambridge Working Papers in Economics 2259, Faculty of Economics, University of Cambridge.
• Linton, O. B. & Tang, H. & Wu, J., 2022. "A Structural Dynamic Factor Model for Daily Global Stock Market Returns," Cambridge Working Papers in Economics camjip:2214, Faculty of Economics, University of Cambridge.
• Ashby, M. & Linton, O. B., 2022. "Do Consumption-based Asset Pricing Models Explain Own-history Predictability in Stock Market Returns?," Cambridge Working Papers in Economics 2259, Faculty of Economics, University of Cambridge.
  • Ashby, M. & Linton, O. B., 2022. "Do Consumption-based Asset Pricing Models Explain Own-history Predictability in Stock Market Returns?," Janeway Institute Working Papers 2226, Faculty of Economics, University of Cambridge.
• Linton, O. B. & Tang, H. & Wu, J., 2022. "A Structural Dynamic Factor Model for Daily Global Stock Market Returns," Cambridge Working Papers in Economics 2237, Faculty of Economics, University of Cambridge.
  • Linton, O. B. & Tang, H. & Wu, J., 2022. "A Structural Dynamic Factor Model for Daily Global Stock Market Returns," Janeway Institute Working Papers camjip:2214, Faculty of Economics, University of Cambridge.
• Bianchi, Daniele & Babiak, Mykola & Dickerson, Alexander, 2022. "Trading volume and liquidity provision in cryptocurrency markets," Journal of Banking & Finance, Elsevier, vol. 142(C).
  • Bianchi, Daniele & Babiak, Mykola & Dickerson, Alexander, 2022. "Trading volume and liquidity provision in cryptocurrency markets," Working Paper Series 413, Sveriges Riksbank (Central Bank of Sweden).
  • Daniele Bianchi & Mykola Babiak & Alexander Dickerson, 2022. "Trading Volume and Liquidity Provision in Cryptocurrency Markets," CERGE-EI Working Papers wp730, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Gregory Boadu-Sebbe, 2022. "Effect of Exchange-Traded Funds Arbitrage Transactions on their Underlying Holdings," CERGE-EI Working Papers wp738, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Guglielmo Maria Caporale & José Javier de Dios Mazariegos & Luis A. Gil-Alana, 2024. "Long-Run Linkages Between us Stock Prices and Cryptocurrencies: A Fractional Cointegration Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 64(6), pages 3543-3553, December.
  • Guglielmo Maria Caporale & José Javier de Dios Mazariegos & Luis A. Gil-Alana, 2022. "Long-Run Linkages between US Stock Prices and Cryptocurrencies: A Fractional Cointegration Analysis," CESifo Working Paper Series 9950, CESifo.
• Didier Sornette & Florian Ulmann & Alexander Wehrli, 2022. "On the Directional Destabilizing Feedback Effects of Option Hedging," Swiss Finance Institute Research Paper Series 22-34, Swiss Finance Institute.
• Bryan T. Kelly & Semyon Malamud & Kangying Zhou, 2022. "The Virtue of Complexity Everywhere," Swiss Finance Institute Research Paper Series 22-57, Swiss Finance Institute.
• Eduardo Sandoval Álamos & Fernando Olea Rodr�guez, 2022. "Uso del endeudamiento y desempeno en los mercados accionarios. El caso de sociedades anónimas de Brasil, Chile, México y Perú," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 41(86), pages 129-157.
• Michael Demmler & Amilcar Orlian Fern�ndez Dom�nguez, 2022. "Speculative bubble tendencies in time series of Bitcoin market prices," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 41(86), pages 159-183.
• Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023. "We modeled long memory with just one lag!," Journal of Econometrics, Elsevier, vol. 236(1).
  • Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2022. "We modeled long memory with just one lag!," LIDAM Discussion Papers CORE 2022016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Luc Bauwens & Guillaume Chevillon & Sébastien Laurent, 2023. "We modeled long memory with just one lag!," Post-Print hal-04185755, HAL.
  • Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023. "We modeled long memory with just one lag!," LIDAM Reprints CORE 3234, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Luc Bauwens & Edoardo Otranto, 2023. "Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models," Journal of Financial Econometrics, Oxford University Press, vol. 21(4), pages 1376-1401.
  • Bauwens, Luc & Otranto, Edoardo, 2020. "Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models," LIDAM Discussion Papers CORE 2020034, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Bauwens, Luc & Otranto, Edoardo, 2022. "Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models," LIDAM Reprints CORE 3202, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • L. Bauwens & E. Otranto, 2020. "Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models," Working Paper CRENoS 202007, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
• Kelly, Bryan & Malamud, Semyon & Zhou, Kangying, 2022. "The Virtue of Complexity in Return Prediction," CEPR Discussion Papers 17194, C.E.P.R. Discussion Papers.
• Bjoern Schulte-Tillman & Mawuli Segnon & Bernd Wilfling, 2022. "Financial-market volatility prediction with multiplicative Markov-switching MIDAS components," CQE Working Papers 9922, Center for Quantitative Economics (CQE), University of Muenster.
• Christian Francq & Baye Matar Kandji & Jean-Michel Zakoian, 2022. "Inference on Multiplicative Component GARCH without any Small-Order Moment," Working Papers 2022-09, Center for Research in Economics and Statistics.
• Li, Jia & Phillips, Peter C. B. & Shi, Shuping & Yu, Jun, 2022. "Weak Identification of Long Memory with Implications for Inference," Economics and Statistics Working Papers 8-2022, Singapore Management University, School of Economics.
  • Jia Li & Peter C. B. Phillips & Shuping Shi & Jun Yu, 2022. "Weak Identification of Long Memory with Implications for Inference," Cowles Foundation Discussion Papers 2334, Cowles Foundation for Research in Economics, Yale University.
• SOSA-CASTRO, Miriam, 2022. "Equity Market Volatility Impact On S&P 500 Sector Indexes, 1989-2021," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 22(1), pages 39-60.
• Bua, Giovanna & Kapp, Daniel & Ramella, Federico & Rognone, Lavinia, 2022. "Transition versus physical climate risk pricing in European financial markets: a text-based approach," Working Paper Series 2677, European Central Bank.
• Del Vecchio, Leonardo & Giglio, Carla & Shaw, Frances & Spanò, Guido & Cappelletti, Giuseppe, 2022. "A sensitivities based CoVaR approach to assets commonality and its application to SSM banks," Working Paper Series 2725, European Central Bank.
• Laura Capota & Margherita Giuzio & Sujit Kapadia & Dilyara Salakhova, 2022. "Are ethical and green investment funds more resilient?," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Statistics for Sustainable Finance, volume 56, Bank for International Settlements.
  • Capotă, Laura-Dona & Giuzio, Margherita & Kapadia, Sujit & Salakhova, Dilyara, 2022. "Are ethical and green investment funds more resilient?," Working Paper Series 2747, European Central Bank.
• Ampudia, Miguel & Busetto, Filippo & Fornari, Fabio, 2022. "Chronicle of a death foretold: does higher volatility anticipate corporate default?," Working Paper Series 2749, European Central Bank.
• Lamia Kalai, 2022. "Time Varying Dependence in the Cryptocurrency Market and COVID 19 Panic Index: An Empirical Investigation," International Journal of Economics and Financial Issues, Econjournals, vol. 12(2), pages 37-51, March.
• Sijia Zhao & Ying Liu & Benfu Lv & Zijian Shangguan, 2022. "How Government Information Release Affect Stock Market during Dramatic Public Health Shocks? The Intermediating Role of Public Sentiment," International Journal of Economics and Financial Issues, Econjournals, vol. 12(3), pages 60-67, May.
• Caner Ozdurak & Alican Umut & Tugba Ozay, 2022. "The Interaction of Major Crypto-assets, Clean Energy, and Technology Indices in Diversified Portfolios," International Journal of Energy Economics and Policy, Econjournals, vol. 12(2), pages 480-490, March.
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• Roy Havemann & Henk Janse van Vuuren & Daan Steenkamp & Rossouw van Jaarsveld, 2022. "The bond market impact of the South African Reserve Bank bond purchase programme," ERSA Working Paper Series, Economic Research Southern Africa, vol. 0.
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• Hui Zeng & Ben R Marshall & Nhut H Nguyen & Nuttawat Visaltanachoti, 2022. "Are individual stock returns predictable?," Australian Journal of Management, Australian School of Business, vol. 47(1), pages 135-162, February.
• Daitri Tiwary & Khanindra Ch. Das & Jagdish Shettigar & Pooja Misra, 2022. "Exchange Rate Volatility and Financial Stress: Evidence from Developing Asia," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 21(4), pages 355-384, December.
• S S S Kumar, 2022. "Institutional Herding: Causality and Persistence," IIM Kozhikode Society & Management Review, , vol. 11(2), pages 183-194, July.
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• Gabriela Brendea & Fanuta Pop & Loredana Mihalca, 2022. "Capital Structure and Firm Performance: The Case of Central and Eastern European Economies," Journal of Economics / Ekonomicky casopis, Institute of Economic Research, Slovak Academy of Sciences, vol. 70(5), pages 430-449, May.
• Zdravka Aljinoviæ & Tea Šestanoviæ & Blanka Škrabiæ Periæ, 2022. "A New Evidence of the Relationship between Cryptocurrencies and other Assets from the COVID-19 Crisis," Journal of Economics / Ekonomicky casopis, Institute of Economic Research, Slovak Academy of Sciences, vol. 70(7-8), pages 603-621, July.
• Goswami, Mangal & Pontines, Victor & Mohammed, Yassier, 2023. "Portfolio capital flows and the US dollar exchange rate: Viewed from the lens of time and frequency dynamics of connectedness," International Review of Financial Analysis, Elsevier, vol. 89(C).
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• Marek Gruszczynski, 2022. "On the Use of Quantitative Methods in Accounting Research in Poland," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 2(18), pages 17-29, November.
• Hachmi Ben Ameur & Zied Ftiti & Waël Louhichi, 2022. "Revisiting the relationship between spot and futures markets: evidence from commodity markets and NARDL framework," Annals of Operations Research, Springer, vol. 313(1), pages 171-189, June.
• Syed Kumail Abbas Rizvi & Bushra Naqvi & Nawazish Mirza, 2022. "Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs," Annals of Operations Research, Springer, vol. 313(1), pages 495-524, June.
• Rabeh Khalfaoui & Sakiru Adebola Solarin & Adel Al-Qadasi & Sami Ben Jabeur, 2022. "Dynamic causality interplay from COVID-19 pandemic to oil price, stock market, and economic policy uncertainty: evidence from oil-importing and oil-exporting countries," Annals of Operations Research, Springer, vol. 313(1), pages 105-143, June.
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• M. Karanasos & S. Yfanti & J. Hunter, 2022. "Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises," Annals of Operations Research, Springer, vol. 313(2), pages 1077-1116, June.
• Giacomo Toscano & Maria Cristina Recchioni, 2022. "Bias-optimal vol-of-vol estimation: the role of window overlapping," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 137-185, June.
• Charl Maree & Christian W. Omlin, 2022. "Reinforcement learning with intrinsic affinity for personalized prosperity management," Digital Finance, Springer, vol. 4(2), pages 241-262, September.
• Rupel Nargunam & Ananya Lahiri, 2022. "Persistence in daily returns of stocks with highest market capitalization in the Indian market," Digital Finance, Springer, vol. 4(4), pages 341-374, December.
• Galena Pisoni & Alessia Paccagnini & Claudia Tarantola & Alessandra Tanda & Albulena Shala & Kherbouche Meriem, 2022. "SI women in Fintech and AI," Digital Finance, Springer, vol. 4(4), pages 263-264, December.
• Theodoros Daglis & Ioannis G. Melissaropoulos & Konstantinos N. Konstantakis & Panayotis G. Michaelides, 2022. "The impact of COVID-19 on global stock markets: early linear and non-linear evidence for Italy," Evolutionary and Institutional Economics Review, Springer, vol. 19(1), pages 485-495, April.
• Hiroyuki Kawakatsu, 2022. "Local projection variance impulse response," Empirical Economics, Springer, vol. 62(3), pages 1219-1244, March.
• Reinhold Heinlein & Gabriele M. Lepori, 2022. "Do financial markets respond to macroeconomic surprises? Evidence from the UK," Empirical Economics, Springer, vol. 62(5), pages 2329-2371, May.
• Sofiane Aboura, 2022. "A note on the Bitcoin and Fed Funds rate," Empirical Economics, Springer, vol. 63(5), pages 2577-2603, November.
• Masato Ubukata, 2022. "A time-varying jump tail risk measure using high-frequency options data," Empirical Economics, Springer, vol. 63(5), pages 2633-2653, November.
• Aktham Maghyereh & Hussein Abdoh, 2022. "COVID-19 and the volatility interlinkage between bitcoin and financial assets," Empirical Economics, Springer, vol. 63(6), pages 2875-2901, December.
• Resul Aydemir & Huzeyfe Zahit Atan & Bulent Guloglu, 2022. "How do the global equity and bond markets affect Islamic and conventional banks? A comparative cross-country analysis using multivariate regression quantiles," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(1), pages 95-114, March.
• Jens Klose, 2022. "Comparing cryptocurrencies and gold - a system-GARCH-approach," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(4), pages 653-679, December.
• François-Éric Racicot & Raymond Théoret, 2022. "Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
• Onur Özdemir, 2022. "Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-38, December.
• Joseph P. Hughes & Julapa Jagtiani & Choon-Geol Moon, 2022. "Consumer lending efficiency: commercial banks versus a fintech lender," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-39, December.
  • Joseph Hughes & Julapa Jagtiani & Choon-Geol Moon, 2018. "Consumer Lending Efficiency: Commercial Banks Versus A Fintech Lender," Departmental Working Papers 201806, Rutgers University, Department of Economics.
  • Joseph P. Hughes & Julapa Jagtiani & Choon-Geol Moon, 2019. "Consumer Lending Efficiency:Commercial Banks Versus A Fintech Lender," Working Papers 19-22, Federal Reserve Bank of Philadelphia.
• Jinxin Cui & Aktham Maghyereh, 2022. "Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
• Noureddine Benlagha & Wael Hemrit, 2022. "Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(1), pages 1-21, January.
• Anna Gloria Billé & Massimiliano Caporin, 2022. "Impact of COVID-19 on financial returns: a spatial dynamic panel data model with random effects," Journal of Spatial Econometrics, Springer, vol. 3(1), pages 1-21, December.
• Dervis Kirikkaleli & Ibrahim Darbaz, 2022. "New insights into an old issue: modelling the U.S. food prices," Letters in Spatial and Resource Sciences, Springer, vol. 15(3), pages 675-689, December.
• Stavros Degiannakis & Christos Floros & Enrique Salvador & Dimitrios Vougas, 2022. "On the stationarity of futures hedge ratios," Operational Research, Springer, vol. 22(3), pages 2281-2303, July.
  • Degiannakis, Stavros & Floros, Christos & Salvador, Enrique & Vougas, Dimitrios, 2020. "On the Stationarity of Futures Hedge Ratios," MPRA Paper 102907, University Library of Munich, Germany.
• Mehmet Sahiner, 2022. "Forecasting volatility in Asian financial markets: evidence from recursive and rolling window methods," SN Business & Economics, Springer, vol. 2(10), pages 1-74, October.
• Tirngo Dinku & Gardachew Worku, 2022. "Asymmetric GARCH models on price volatility of agricultural commodities," SN Business & Economics, Springer, vol. 2(11), pages 1-17, November.
• Kavya Clanganthuruthil Sajeev & Mohd Afjal, 2022. "Contagion effect of cryptocurrency on the securities market: a study of Bitcoin volatility using diagonal BEKK and DCC GARCH models," SN Business & Economics, Springer, vol. 2(6), pages 1-21, June.
• Hong-Yi Chen & Alice C. Lee & Cheng-Few Lee, 2022. "Alternative Errors-in-Variables Models and Their Applications in Finance Research," Springer Books, in: Cheng-Few Lee & Alice C. Lee (ed.), Encyclopedia of Finance, edition 0, chapter 100, pages 2369-2408, Springer.
• Robert H. Patrick, 2022. "Financial Panel Data Models, Strict Versus Contemporaneous Exogeneity, and Durbin-Wu-Hausman Specification Tests," Springer Books, in: Cheng-Few Lee & Alice C. Lee (ed.), Encyclopedia of Finance, edition 0, chapter 78, pages 1799-1828, Springer.
• Jan Klacso, 2022. "Incorporating Individual Retail Loan Data into the Macro Stress Testing Framework," Working and Discussion Papers OP 2/2022, Research Department, National Bank of Slovakia.
• Michael Mark & Jan Sila & Thomas A. Weber, 2022. "Quantifying endogeneity of cryptocurrency markets," The European Journal of Finance, Taylor & Francis Journals, vol. 28(7), pages 784-799, May.
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• David De Villiers & Andrew Phiri, 2022. "Towards resolving the purchasing power parity (PPP) ‘Puzzle’ in newly industrialized countries (NIC’s)," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 31(2), pages 161-180, February.
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• Arianna Agosto & Daniel Felix Ahelegbey, 2022. "Default count-based network models for credit contagion," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 73(1), pages 139-152, January.
  • Arianna Agosto & Daniel Felix Ahelegbey, 2020. "Default count-based network models for credit contagion," DEM Working Papers Series 180, University of Pavia, Department of Economics and Management.
• Kole, Erik & van Dijk, Dick, 2023. "Moments, shocks and spillovers in Markov-switching VAR models," Journal of Econometrics, Elsevier, vol. 236(2).
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• Jean-Claude Hessing & Rutger-Jan Lange & Daniel Ralph, 2022. "This article establishes the Poisson optional stopping times (POST) method by Lange et al. (2020) as a near-universal method for solving liquidity-constrained American options, or, equivalently, penal," Tinbergen Institute Discussion Papers 22-007/IV, Tinbergen Institute.
• Boswijk, H. Peter & Laeven, Roger J.A. & Vladimirov, Evgenii, 2024. "Estimating option pricing models using a characteristic function-based linear state space representation," Journal of Econometrics, Elsevier, vol. 244(1).
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• Goran Mojanoski, 2022. "Long-Run And Short-Run Causality Between Stock Price Indices And Macroeconomic Variables: Evidence Of Panel Vecm Analysis From Bosnia And Herzegovina, Croatia, North Macedonia And Serbia," Economic Review: Journal of Economics and Business, University of Tuzla, Faculty of Economics, vol. 20(2), pages 3-14, November.
• Beatriz de la Flor & Javier Ojea-Ferreiro & Eva Ferreira, 2022. "The Hedging Cost of Forgetting the Exchange Rate," Documentos de Trabajo del ICAE 2022-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Tran, Thuy Nhung, 2022. "The Volatility of the Stock Market and Financial Cycle: GARCH Family Models," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 56(1), pages 151-168.
• Urom, C. & Ndubuisi, Gideon & Guesmi, K., 2022. "Quantile return and volatility connectedness among Non-Fungible Tokens (NFTs) and (un)conventional asset," MERIT Working Papers 2022-017, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
• Dudda, Tom L. & Klein, Tony & Nguyen, Duc Khuong & Walther, Thomas, 2022. "Common Drivers of Commodity Futures?," QBS Working Paper Series 2022/05, Queen's University Belfast, Queen's Business School.
  • Tom Dudda & Tony Klein & Duc Khuong Nguyen & Thomas Walther, 2022. "Common Drivers of Commodity Futures?," Working Papers 2207, Utrecht School of Economics.
• Matthias R Fengler & Jeannine Polivka, 2025. "Structural Volatility Impulse Response Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 23(2), pages 951-971.
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• Öner Selma, 2022. "The effects of global risk indicators on the MSCI emerging markets index," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 18(3), pages 1-10, September.
• Enache Calcedonia, 2022. "Macroeconomic Determinants of Household Indebtedness in Romania: An Econometric Approach," Journal of Social and Economic Statistics, Sciendo, vol. 11(1-2), pages 102-117, December.
• Baiquan Ma & Robert Ślepaczuk, 2022. "The profitability of pairs trading strategies on Hong-Kong stock market: distance, cointegration, and correlation methods," Working Papers 2022-02, Faculty of Economic Sciences, University of Warsaw.
• Maciej Wysocki & Paweł Sakowski, 2022. "Investment Portfolio Optimization Based on Modern Portfolio Theory and Deep Learning Models," Working Papers 2022-12, Faculty of Economic Sciences, University of Warsaw.
• Illia Baranochnikov & Robert Ślepaczuk, 2022. "A comparison of LSTM and GRU architectures with novel walk-forward approach to algorithmic investment strategy," Working Papers 2022-21, Faculty of Economic Sciences, University of Warsaw.
• Katarzyna Kryńska & Robert Ślepaczuk, 2022. "Daily and intraday application of various architectures of the LSTM model in algorithmic investment strategies on Bitcoin and the S&P 500 Index," Working Papers 2022-25, Faculty of Economic Sciences, University of Warsaw.
• Thi Thu Giang Nguyen & Robert Ślepaczuk, 2022. "The efficiency of various types of input layers of LSTM model in investment strategies on S&P500 index," Working Papers 2022-29, Faculty of Economic Sciences, University of Warsaw.
• Thi Huyen Tran & Robert Ślepaczuk, 2022. "Quantile regression analysis to predict GDP distribution using data from the US and UK," Working Papers 2022-30, Faculty of Economic Sciences, University of Warsaw.
• Chevaughn Van Der Westhuizen & Rene㉠Van Eyden & Goodness C. Aye, 2022. "Contagion Across Financial Markets During Covid-19: A Look At Volatility Spillovers Between The Stock And Foreign Exchange Markets In South Africa," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 17(01), pages 1-46, March.
• Shoaib Ali & Muhammad Naveed & Aisha Saleem & Muhammad Wajahat Nasir, 2022. "Time-Frequency Co-Movement Between Covid-19 And Pakistan’S Stock Market: Empirical Evidence From Wavelet Coherence Analysis," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 17(04), pages 1-17, December.
• Siyu Liu & Chaoyi Zhao & Lan Wu, 2022. "Order types and natural price change: Model and empirical study of the Chinese market," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(04), pages 1-32, December.
• Giuliana Borello & Francesca Pampurini & Anna Grazia Quaranta, 2022. "Can High-Tech Investments Improve Banking Efficiency?," Journal of Financial Management, Markets and Institutions (JFMMI), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 1-19, June.
• Le Thanh Ha & Nguyen Van Dai, 2022. "Total and Net-Directional Connectedness of Cryptocurrencies During the Pre- and Post-COVID-19 Pandemic," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 1-30, February.
• Christopher Hian-Ann Ting, 2022. "Algorithmic Finance:A Companion to Data Science," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 12315.
• Graham L Giller, 2022. "Adventures in Financial Data Science:The Empirical Properties of Financial and Economic Data," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 12678.
• Ricardo G Barcelona, 2022. "Dynamic Decisions:Energy PIVOT, Adaptive Moves, Winning BOUnCE," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number q0353.
• Ricardo G Barcelona & Franz Heukamp, 2022. "From Impasse to PIVOT," World Scientific Book Chapters, in: Dynamic Decisions Energy PIVOT, Adaptive Moves, Winning BOUnCE, chapter 1, pages 3-73, World Scientific Publishing Co. Pte. Ltd..
• Ricardo G Barcelona & Franz Heukamp, 2022. "Policy and Managerial Actions," World Scientific Book Chapters, in: Dynamic Decisions Energy PIVOT, Adaptive Moves, Winning BOUnCE, chapter 2, pages 75-133, World Scientific Publishing Co. Pte. Ltd..
• Ricardo G Barcelona & Franz Heukamp, 2022. "Articulate a Purpose," World Scientific Book Chapters, in: Dynamic Decisions Energy PIVOT, Adaptive Moves, Winning BOUnCE, chapter 3, pages 137-188, World Scientific Publishing Co. Pte. Ltd..
• Ricardo G Barcelona & Franz Heukamp, 2022. "Bounded Possibilities," World Scientific Book Chapters, in: Dynamic Decisions Energy PIVOT, Adaptive Moves, Winning BOUnCE, chapter 4, pages 189-240, World Scientific Publishing Co. Pte. Ltd..
• Ricardo G Barcelona & Franz Heukamp, 2022. "Calibrate," World Scientific Book Chapters, in: Dynamic Decisions Energy PIVOT, Adaptive Moves, Winning BOUnCE, chapter 5, pages 241-293, World Scientific Publishing Co. Pte. Ltd..
• Ricardo G Barcelona & Franz Heukamp, 2022. "Take Actions to De-risk," World Scientific Book Chapters, in: Dynamic Decisions Energy PIVOT, Adaptive Moves, Winning BOUnCE, chapter 6, pages 295-355, World Scientific Publishing Co. Pte. Ltd..
• Ricardo G Barcelona & Franz Heukamp, 2022. "Cost of Energy," World Scientific Book Chapters, in: Dynamic Decisions Energy PIVOT, Adaptive Moves, Winning BOUnCE, chapter 7, pages 359-412, World Scientific Publishing Co. Pte. Ltd..
• Ricardo G Barcelona & Franz Heukamp, 2022. "Levers of Value," World Scientific Book Chapters, in: Dynamic Decisions Energy PIVOT, Adaptive Moves, Winning BOUnCE, chapter 8, pages 413-467, World Scientific Publishing Co. Pte. Ltd..
• Ricardo G Barcelona & Franz Heukamp, 2022. "Price Taker," World Scientific Book Chapters, in: Dynamic Decisions Energy PIVOT, Adaptive Moves, Winning BOUnCE, chapter 9, pages 469-510, World Scientific Publishing Co. Pte. Ltd..
• Ricardo G Barcelona & Franz Heukamp, 2022. "Oligopolistic Rivalries," World Scientific Book Chapters, in: Dynamic Decisions Energy PIVOT, Adaptive Moves, Winning BOUnCE, chapter 10, pages 511-582, World Scientific Publishing Co. Pte. Ltd..
• Ricardo G Barcelona & Franz Heukamp, 2022. "PIVOT and BOUnCE to Profit," World Scientific Book Chapters, in: Dynamic Decisions Energy PIVOT, Adaptive Moves, Winning BOUnCE, chapter 11, pages 585-640, World Scientific Publishing Co. Pte. Ltd..
• Graham L. Giller, 2022. "Biography and Beginnings," World Scientific Book Chapters, in: Adventures in Financial Data Science The Empirical Properties of Financial and Economic Data, chapter 1, pages 1-30, World Scientific Publishing Co. Pte. Ltd..
• Graham L. Giller, 2022. "Financial Data," World Scientific Book Chapters, in: Adventures in Financial Data Science The Empirical Properties of Financial and Economic Data, chapter 2, pages 31-139, World Scientific Publishing Co. Pte. Ltd..
• Graham L. Giller, 2022. "Economic Data and Other Time-Series Analysis," World Scientific Book Chapters, in: Adventures in Financial Data Science The Empirical Properties of Financial and Economic Data, chapter 3, pages 141-225, World Scientific Publishing Co. Pte. Ltd..
• Graham L. Giller, 2022. "Politics, Schools, Public Health, and Language," World Scientific Book Chapters, in: Adventures in Financial Data Science The Empirical Properties of Financial and Economic Data, chapter 4, pages 227-284, World Scientific Publishing Co. Pte. Ltd..
• Graham L. Giller, 2022. "Demographics and Survey Research," World Scientific Book Chapters, in: Adventures in Financial Data Science The Empirical Properties of Financial and Economic Data, chapter 5, pages 285-346, World Scientific Publishing Co. Pte. Ltd..
• Graham L. Giller, 2022. "Coronavirus," World Scientific Book Chapters, in: Adventures in Financial Data Science The Empirical Properties of Financial and Economic Data, chapter 6, pages 347-394, World Scientific Publishing Co. Pte. Ltd..
• Graham L. Giller, 2022. "Theory," World Scientific Book Chapters, in: Adventures in Financial Data Science The Empirical Properties of Financial and Economic Data, chapter 7, pages 395-447, World Scientific Publishing Co. Pte. Ltd..
• Lucija Benko & Karlo Krstanović & Luka Sovulj, 2022. "Procjena učinaka pandemije koronavirusa na turističke dolaske i noćenja u Republici Hrvatskoj te na vrijednost CROBEXturist indeksa Zagrebačke burze," EFZG Working Papers Series 2201, Faculty of Economics and Business, University of Zagreb.
• Nam, Changwoo, 2022. "Investment and Business Cycles: Focusing on Firms' Capital Adjustment Costs," KDI Journal of Economic Policy, Korea Development Institute (KDI), vol. 44(1), pages 77-98.
• Tom Dudda & Tony Klein & Duc Khuong Nguyen & Thomas Walther, 2022. "Common Drivers of Commodity Futures?," Working Papers 2207, Utrecht School of Economics.
  • Dudda, Tom L. & Klein, Tony & Nguyen, Duc Khuong & Walther, Thomas, 2022. "Common Drivers of Commodity Futures?," QBS Working Paper Series 2022/05, Queen's University Belfast, Queen's Business School.
• Duan, Fang, 2022. "Forecasting risk measures based on structural breaks in the correlation matrix," Ruhr Economic Papers 945, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
• Fengler, Matthias & Polivka, Jeanine, 2022. "Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model," VfS Annual Conference 2022 (Basel): Big Data in Economics 264010, Verein für Socialpolitik / German Economic Association.

2021

• Achmad Nurdany & Muhammad Hanif Ibrahim & Muhammad Fathul Romadoni, 2021. "The Asymmetric Volatility Of The Islamic Capital Market During The Covid-19 Pandemic," Journal of Islamic Monetary Economics and Finance, Bank Indonesia, vol. 7(Special I), pages 185-202, March.
• Mohsin Ali & Urooj Anwar & Muhammad Haseeb, 2021. "The Impact Of Covid-19 On Islamic And Conventional Stocks In Indonesia: A Wavelet-Based Study," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 24(Special I), pages 15-32, January.
• Achmad Nurdany & Muhammad Hanif Ibrahim & Muhammad Fathul Romadoni, 2021. "The Asymmetric Volatility Of The Islamic Capital Market During The Covid-19 Pandemic," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 7(Special I), pages 185-202.
• Rodrigo A. Morales Fernández Rafaelly & Roberto J. Santillán-Salgado, 2021. "Oil price effect on sectoral stock returns: A conditional covariance and correlation approach for Mexico," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-15, Enero - M.
• Domingo Rodríguez Benavides & Nancy Muller Durán & José Antonio Climent Hernández, 2021. "Spillovers entre los principales Mercados Accionarios de Latinoamérica, Estados Unidos y el Mercado Petrolero," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-18, Enero - M.
• Rodrigo A. Morales Fernández Rafaelly & Roberto J. Santillán-Salgado, 2021. "Oil price effect on sectoral stock returns: A conditional covariance and correlation approach for Mexico," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-15, Enero - M.
• Domingo Rodríguez Benavides & Nancy Muller Durán & José Antonio Climent Hernández, 2021. "Spillovers entre los principales Mercados Accionarios de Latinoamérica, Estados Unidos y el Mercado Petrolero," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-18, Enero - M.
• Jorge López Villa & Miriam Sosa Castro, 2021. "Contagio en la volatilidad entre los mercados de capital y de divisas en México y Brasil (2000-2020)," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(TNEA), pages 1-28, Septiembr.
• Lizethe Berenice Méndez-Heras & Francisco Venegas-Martínez & Diego Emilio Linthon-Delgado, 2021. "Competencia en el mercado de crédito entre los bancos dominantes en México," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(TNEA), pages 1-25, Septiembr.
• Denisa Banulescu-Radu & Christophe Hurlin & Jérémy Leymarie & Olivier Scaillet, 2021. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Management Science, INFORMS, vol. 67(9), pages 5730-5754, September.
  • Denisa Banulescu & Christophe Hurlin & Jeremy Leymarie & O. Scaillet, 2019. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Swiss Finance Institute Research Paper Series 19-48, Swiss Finance Institute.
  • Denisa Banulescu-Radu & Christophe Hurlin & Jérémy Leymarie & Olivier Scaillet, 2021. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Post-Print hal-03526444, HAL.
  • Banulescu-Radu, Denisa & Hurlin, Christophe & Leymarie, Jeremy & Scaillet, Olivier, 2020. "Backtesting marginal expected shortfalland related systemic risk measures," Working Papers unige:134136, University of Geneva, Geneva School of Economics and Management.
  • Denisa Banulescu & Christophe Hurlin & Jeremy Leymarie & Olivier Scaillet, 2020. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Working Papers halshs-03088668, HAL.
• Ozdemir, Huseyin & Ozdemir, Zeynel Abidin, 2021. "A Survey of Hedge and Safe Havens Assets against G-7 Stock Markets before and during the COVID-19 Pandemic," IZA Discussion Papers 14888, Institute of Labor Economics (IZA).
• David William Witts & Emili Tortosa-Ausina & Iván Arribas, 2021. "The Irrational Market: Considering the effect of the online community Wall Street Bets on Financial Market Variables," Working Papers 2021/13, Economics Department, Universitat Jaume I, Castellón (Spain).
• Fischer Henning & Stolper Oscar, 2021. "The Nonlinear Dynamics of Corporate Bond Spreads: Regime-Dependent Effects of their Determinants," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 241(2), pages 187-238, April.
• Ojea-Ferreiro, Javier & Reboredo, Juan C., 2022. "Exchange rates and the global transmission of equity market shocks," Economic Modelling, Elsevier, vol. 114(C).
  • Ojea-Ferreiro, Javier & Reboredo, Juan C., 2021. "Exchange rates and the global transmission of equity market shocks," JRC Working Papers in Economics and Finance 2021-05, Joint Research Centre, European Commission.
• Brandon Flores & Blessing Ofori-Atta & Andrey Sarantsev, 2021. "A stock market model based on CAPM and market size," Annals of Finance, Springer, vol. 17(3), pages 405-424, September.
• Jose Arreola Hernandez & Sang Hoon Kang & Ron P. McIver & Seong-Min Yoon, 2021. "Network Interdependence and Optimization of Bank Portfolios from Developed and Emerging Asia Pacific Countries," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(4), pages 613-647, December.
• Isabel Casas & Helena Veiga, 2021. "Exploring Option Pricing and Hedging via Volatility Asymmetry," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1015-1039, April.
  • Casas, Isabel & Lopes Moreira da Veiga, María Helena, 2019. "Exploring option pricing and hedging via volatility asymmetry," DES - Working Papers. Statistics and Econometrics. WS 28234, Universidad Carlos III de Madrid. Departamento de Estadística.
• Mawuli Segnon & Rangan Gupta & Keagile Lesame & Mark E. Wohar, 2021. "High-Frequency Volatility Forecasting of US Housing Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 62(2), pages 283-317, February.
  • Mawuli Segnon & Rangan Gupta & Keagile Lesame & Mark E. Wohar, 2019. "High-Frequency Volatility Forecasting of US Housing Markets," Working Papers 201977, University of Pretoria, Department of Economics.
• Jinzhi Li, 2021. "Bayesian estimation of the stochastic volatility model with double exponential jumps," Review of Derivatives Research, Springer, vol. 24(2), pages 157-172, July.
• Cem Cakmakli & Verda Ozturk, 2021. "Economic Value of Modeling the Joint Distribution of Returns and Volatility: Leverage Timing," Koç University-TUSIAD Economic Research Forum Working Papers 2110, Koc University-TUSIAD Economic Research Forum.
• Hui Chen & Antoine Didisheim & Simon Scheidegger, 2021. "Deep Structural Estimation: With an Application to Option Pricing," Papers 2102.09209, arXiv.org.
  • Hui Chen & Antoine Didisheim & Simon Scheidegger, 2021. "Deep Structural Estimation:With an Application to Option Pricing," Cahiers de Recherches Economiques du Département d'économie 21.14, Université de Lausanne, Faculté des HEC, Département d’économie.
• Andreï Kostyrka & Dmitry Igorevich Malakhov,, 2021. "The good, the bad, and the asymmetric: Evidence from a new conditional density model," DEM Discussion Paper Series 21-09, Department of Economics at the University of Luxembourg.
• Jens Klose, 2021. "Cryptocurrencies and Gold - Similarities and Differences," MAGKS Papers on Economics 202128, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
• Tehrani , Reza & Veisizadeh , Vahid, 2021. "Dynamic Cross Hedging Effectiveness between Gold and Stock Market Based on Downside Risk Measures: Evidence from Iran Emerging Capital Market," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 16(1), pages 43-70, March.
• Dehghan Khavari , Saeed & Mirjalili , Seyed Hossein & Iraji , Maryam, 2021. "The Asymmetric Impact of Weighting Economic and Political Events on the Fluctuations of Banking Group Index (Case of Tehran Stock Exchange)," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 16(3), pages 399-416, September.
• Sedaghat Parast , Eldar & golzarian pour , siavash & Hajizadeh , Vahid, 2021. "Bank Liquidity and Bank Performance: Looking for a Nonlinear Nexus," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 16(4), pages 417-446, December.
• Jan Hanousek & Christos Pantzalis & Jung Chul Park, 2021. "Political Insider Trading: A narrow versus comprehensive approach," MENDELU Working Papers in Business and Economics 2021-77, Mendel University in Brno, Faculty of Business and Economics.
• Muhammad Mar’i & Turgut Tursoy, 2021. "Exchange Rate Dependency Between Emerging Countries-Case of Black Sea Countries," Capital Markets Review, Malaysian Finance Association, vol. 29(2), pages 43-54.
• Armin Pourkhanali & Jonathan Keith & Xibin Zhang, 2021. "Conditional Heteroscedasticity Models with Time-Varying Parameters: Estimation and Asymptotics," Monash Econometrics and Business Statistics Working Papers 15/21, Monash University, Department of Econometrics and Business Statistics.
• David T. Frazier & Ruben Loaiza-Maya & Gael M. Martin & Bonsoo Koo, 2021. "Loss-Based Variational Bayes Prediction," Papers 2104.14054, arXiv.org, revised May 2022.
  • David T. Frazier & Ruben Loaiza-Maya & Gael M. Martin & Bonsoo Koo, 2021. "Loss-Based Variational Bayes Prediction," Monash Econometrics and Business Statistics Working Papers 8/21, Monash University, Department of Econometrics and Business Statistics.
• David Easley & Marcos López de Prado & Maureen O’Hara & Zhibai Zhang & Wei Jiang, 2021. "Microstructure in the Machine Age [The risk of machine learning]," The Review of Financial Studies, Society for Financial Studies, vol. 34(7), pages 3316-3363.
  • David Easley & Marcos López de Prado & Maureen O’Hara & Zhibai Zhang, 2021. "Microstructure in the Machine Age," NBER Chapters, in: Big Data: Long-Term Implications for Financial Markets and Firms, pages 3316-3363, National Bureau of Economic Research, Inc.
• Theis Ingerslev Jensen & Bryan T. Kelly & Lasse Heje Pedersen, 2021. "Is There A Replication Crisis In Finance?," NBER Working Papers 28432, National Bureau of Economic Research, Inc.
• Stefano Giglio & Dacheng Xiu & Dake Zhang, 2025. "Test Assets and Weak Factors," Journal of Finance, American Finance Association, vol. 80(1), pages 259-319, February.
  • Giglio, Stefano & Xiu, Dacheng & Zhang, Dake, 2021. "Test Assets and Weak Factors," CEPR Discussion Papers 16307, C.E.P.R. Discussion Papers.
  • Stefano Giglio & Dacheng Xiu & Dake Zhang, 2021. "Test Assets and Weak Factors," NBER Working Papers 29002, National Bureau of Economic Research, Inc.
• Laurentiu DROJ & Goran KARANOVIC & Ioan Gheorghe TARA, 2021. "The Impact Of The Covid-19 Pandemics Over The Financial Performance At The Level Of The Main Pharmaceutical Operating In Central And Eastern Europe," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 30(2), pages 283-290, December.
• Amane Saito, 2021. "On Volatility Linkages among Carbon Price, Stock Price, Interest Rate and Exchange Rate," Discussion Papers in Economics and Business 21-20, Osaka University, Graduate School of Economics.
• Atsushi Inoue & Lu Jin & Denis Pelletier, 2021. "Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures [Modelling Volatility by Variance Decomposition]," Journal of Financial Econometrics, Oxford University Press, vol. 19(1), pages 202-234.
• Bent Jesper Christensen & Rasmus Tangsgaard Varneskov, 2021. "Dynamic Global Currency Hedging [Arbitrage in the Foreign Exchange Market: Turning on the Microscope]," Journal of Financial Econometrics, Oxford University Press, vol. 19(1), pages 97-127.
  • Bent Jesper Christensen & Rasmus T. Varneskov, 2016. "Dynamic Global Currency Hedging," CREATES Research Papers 2016-03, Department of Economics and Business Economics, Aarhus University.
• Gianluca De Nard & Olivier Ledoit & Michael Wolf, 2021. "Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly [Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High-frequency Data," Journal of Financial Econometrics, Oxford University Press, vol. 19(2), pages 236-257.
• Francesco Audrino & Robert Huitema & Markus Ludwig, 2021. "An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device [Nonparametric Option Pricing under Shape Restrictions]," Journal of Financial Econometrics, Oxford University Press, vol. 19(2), pages 291-312.
• Joel Hasbrouck, 2021. "Price Discovery in High Resolution," Journal of Financial Econometrics, Oxford University Press, vol. 19(3), pages 395-430.
• Giuseppe Buccheri & Giacomo Bormetti & Fulvio Corsi & Fabrizio Lillo, 2021. "Comment on: Price Discovery in High Resolution," Journal of Financial Econometrics, Oxford University Press, vol. 19(3), pages 439-451.
• Alessio Sancetta, 2021. "Intraday End-of-Day Volume Prediction," Journal of Financial Econometrics, Oxford University Press, vol. 19(3), pages 472-495.
• Jeremias Bekierman & Bastian Gribisch, 2021. "A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns," Journal of Financial Econometrics, Oxford University Press, vol. 19(3), pages 496-530.
• Giuseppe Buccheri & Fulvio Corsi, 2021. "HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonlinear Dependencies," Journal of Financial Econometrics, Oxford University Press, vol. 19(4), pages 614-649.
• Jim Griffin & Jia Liu & John M. Maheu, 2021. "Bayesian Nonparametric Estimation of Ex Post Variance [Out of Sample Forecasts of Quadratic Variation]," Journal of Financial Econometrics, Oxford University Press, vol. 19(5), pages 823-859.
  • Griffin, Jim & Liu, Jia & Maheu, John M, 2016. "Bayesian Nonparametric Estimation of Ex-post Variance," MPRA Paper 71220, University Library of Munich, Germany.
• Giorgio Calzolari & Roxana Halbleib & Aygul Zagidullina, 2021. "A Latent Factor Model for Forecasting Realized Variances [Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk]," Journal of Financial Econometrics, Oxford University Press, vol. 19(5), pages 860-909.
• Daniel J Lewis, 2021. "Identifying Shocks via Time-Varying Volatility [First Order Autoregressive Processes and Strong Mixing]," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 88(6), pages 3086-3124.
  • Daniel J. Lewis, 2018. "Identifying shocks via time-varying volatility," Staff Reports 871, Federal Reserve Bank of New York.
• Soohun Kim & Robert A Korajczyk & Andreas Neuhierl & Wei JiangEditor, 2021. "Arbitrage Portfolios," The Review of Financial Studies, Society for Financial Studies, vol. 34(6), pages 2813-2856.
• David Easley & Marcos López de Prado & Maureen O’Hara & Zhibai Zhang, 2021. "Microstructure in the Machine Age," NBER Chapters, in: Big Data: Long-Term Implications for Financial Markets and Firms, pages 3316-3363, National Bureau of Economic Research, Inc.
  • David Easley & Marcos López de Prado & Maureen O’Hara & Zhibai Zhang & Wei Jiang, 2021. "Microstructure in the Machine Age [The risk of machine learning]," The Review of Financial Studies, Society for Financial Studies, vol. 34(7), pages 3316-3363.
• Alina Barbulescu & Cristian Stefan Dumitriu, 2021. "Markov Switching Model for Financial Time Series," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 193-198, August.
• Alina Barbulescu & Cristian Stefan Dumitriu, 2021. "Artificial Intelligence Models for Financial Time Series," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 685-690, August.
• Fuentes Vélez, Mariana & Pinilla Barrera, Alejandro, 2021. "Transmisión de volatilidad en el Mercado Integrado Latinoamericano (MILA): una evidencia del grado de integración. || Transmission of volatility in the Latin American Integrated Market (MILA): evidenc," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 31(1), pages 301-328, June.
• Rendón, Juan F. & Trespalacios, Alfredo & Cortés, Lina M. & Villada-Medina, Hernán D., 2021. "Modelización de la demanda de energía eléctrica: más allá de la normalidad || Electrical energy demand modeling: beyond normality," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 32(1), pages 83-98, December.
• Carlos A. Abanto-Valle & Gabriel Rodríguez & Luis M. Castro Cepero & Hernán B. Garrafa-Aragón, 2021. "Approximate Bayesian Estimation of Stochastic Volatility in Mean Models using Hidden Markov Models: Empirical Evidence from Stock Latin American Markets," Documentos de Trabajo / Working Papers 2021-502, Departamento de Economía - Pontificia Universidad Católica del Perú.
• Akbulaev, Nurkhodzha & Aliyeva, Basti & Rzayeva, Shehla, 2021. "Analysis of the Influence of the Price of Raw Oil and Natural Gas on the Prices of Indices and Shares of the Turkish Stock Exchange," Public Finance Quarterly, Corvinus University of Budapest, vol. 66(1), pages 151-166.
• Farrukh Mahmood & Muhammad Zakaria, 2021. "Testing the Threshold Asymmetric Co-integration Interest Rate Pass-Through in the Presence of Stylised Properties: Evidence from Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 60(1), pages 17-26.
• Ikeda, Yuki, 2021. "Efficient Computation of Portfolio Credit Risk with Chain Default," MPRA Paper 106652, University Library of Munich, Germany.
• Kumar, Satish & Tiwari, Aviral Kumar & Raheem, Ibrahim Dolapo & Hille, Erik, 2021. "Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach," Resources Policy, Elsevier, vol. 72(C).
  • Kumar, Satish & Tiwari, Aviral & Raheem, Ibrahim & Hille, Erik, 2021. "Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach," MPRA Paper 106684, University Library of Munich, Germany.
• Lemus, Antonio & Pulgar, Carlos, 2021. "Households’ Debt Thresholds: A Market Aspects Approach," MPRA Paper 106958, University Library of Munich, Germany.
• Pablo Pincheira Brown & Nicolás Hardy, 2024. "The mean squared prediction error paradox," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2298-2321, September.
  • Pincheira, Pablo & Hardy, Nicolas, 2021. "The Mean Squared Prediction Error Paradox," MPRA Paper 107403, University Library of Munich, Germany.
• Pablo Pincheira-Brown & Nicolás Hardy & Cristobal Henrriquez & Ignacio Tapia & Andrea Bentancor, 2023. "Forecasting Base Metal Prices with an International Stock Index," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 73(3), pages 277-302, October.
  • Pincheira, Pablo & Hardy, Nicolas & Bentancor, Andrea & Henriquez, Cristóbal & Tapia, Ignacio, 2021. "Forecasting Base Metal Prices with an International Stock Index," MPRA Paper 107828, University Library of Munich, Germany.
• Costola, Michele & Lorusso, Marco, 2022. "Spillovers among energy commodities and the Russian stock market," Journal of Commodity Markets, Elsevier, vol. 28(C).
  • Costola, Michele & Lorusso, Marco, 2021. "Spillovers among Energy Commodities and the Russian Stock Market," MPRA Paper 108990, University Library of Munich, Germany.
• Royer, Julien, 2021. "Conditional asymmetry in Power ARCH($\infty$) models," MPRA Paper 109118, University Library of Munich, Germany.
• Rice, Gregory & Wirjanto, Tony & Zhao, Yuqian, 2021. "Exploring volatility of crude oil intra-day return curves: a functional GARCH-X Model," MPRA Paper 109231, University Library of Munich, Germany.
• Mpoha, Salifya & Bonga-Bonga, Lumengo, 2021. "Spillover effects from China and the US to global emerging markets: a dynamic analysis," MPRA Paper 109349, University Library of Munich, Germany.
• Francq, Christian & Zakoian, Jean-Michel, 2021. "Testing the existence of moments and estimating the tail index of augmented garch processes," MPRA Paper 110511, University Library of Munich, Germany.
• Panagiotis Delis & Stavros Degiannakis & Konstantinos Giannopoulos, 2023. "What Should be Taken into Consideration when Forecasting Oil Implied Volatility Index?," The Energy Journal, , vol. 44(5), pages 231-250, September.
  • Delis, Panagiotis & Degiannakis, Stavros & Giannopoulos, Kostantinos, 2021. "What should be taken into consideration when forecasting oil implied volatility index?," MPRA Paper 110831, University Library of Munich, Germany.
• Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos, 2021. "Autoregressive conditional proportion: A multiplicative-error model for (0,1)-valued time series," MPRA Paper 110954, University Library of Munich, Germany, revised 06 Dec 2021.
• Sami MESTIRI, 2022. "Modeling the volatility of Bitcoin returns using Nonparametric GARCH models," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 13(1), pages 2-16, June.
  • Mestiri, Sami, 2021. "Modelling the volatility of Bitcoin returns using Nonparametric GARCH models," MPRA Paper 111116, University Library of Munich, Germany.
• Dimitris Korobilis & Kenichi Shimizu, 2022. "Bayesian Approaches to Shrinkage and Sparse Estimation," Foundations and Trends(R) in Econometrics, now publishers, vol. 11(4), pages 230-354, June.
  • Dimitris Korobilis & Kenichi Shimizu, 2021. "Bayesian Approaches to Shrinkage and Sparse Estimation," Working Papers 2021_19, Business School - Economics, University of Glasgow.
  • Korobilis, Dimitris & Shimizu, Kenichi, 2021. "Bayesian Approaches to Shrinkage and Sparse Estimation," MPRA Paper 111631, University Library of Munich, Germany.
  • Dimitris Korobilis & Kenichi Shimizu, 2022. "Bayesian Approaches to Shrinkage and Sparse Estimation," Working Paper series 22-02, Rimini Centre for Economic Analysis.
  • Dimitris Korobilis & Kenichi Shimizu, 2021. "Bayesian Approaches to Shrinkage and Sparse Estimation," Papers 2112.11751, arXiv.org.
• G.K., Chetan Kumar & K.B., Rangappa & S., Suchitra, 2021. "Analyzing Interlinkages between Financial and Real Estate Sector in the aftermath of COVID-19's Second wave: An Econometric Approach using VECM model," MPRA Paper 112440, University Library of Munich, Germany.
• Kombarov, Sayan, 2021. "Action in Economics: Mathematical Derivation of Laws of Economics from the Principle of Least Action in Physics," MPRA Paper 112474, University Library of Munich, Germany.
• Raifu, Isiaka Akande & Ogbonna, Ahamuefula E, 2021. "Safe-haven Effectiveness of Cryptocurrency: Evidence from Stock Markets of COVID-19 worst-hit African Countries," MPRA Paper 113139, University Library of Munich, Germany.
• Bradrania, Reza & Pirayesh Neghab, Davood, 2021. "State-dependent asset allocation using neural networks," MPRA Paper 115254, University Library of Munich, Germany.
• houidi, Fatma & Ellouz, Siwar, 2021. "Volatility spillovers and Financial contagion during global financial crisis: Islamic versus conventional equity indices with Multivariate GARCH approch," MPRA Paper 122530, University Library of Munich, Germany.
• Muhammad Yasir & A. Özlem Önder, 2021. "Dynamic Herding Behaviour In the US Stock Market," Prague Economic Papers, Prague University of Economics and Business, vol. 2021(1), pages 115-130.
• Mark Aguiar & Satyajit Chatterjee & Harold Cole & Zachary Stangebye, 2022. "Self-Fulfilling Debt Crises, Revisited," Journal of Political Economy, University of Chicago Press, vol. 130(5), pages 1147-1183.
  • Mark Aguiar & Satyajit Chatterjee & Harold Cole & Zachary Stangebye, 2017. "Self-Fulfilling Debt Crises, Revisited," NBER Working Papers 23312, National Bureau of Economic Research, Inc.
  • Mark Aguiar & Satyajit Chatterjee & Harold Cole & Zachary Stangebye, 2021. "Self-Fulfilling Debt Crises, Revisited," Working Papers 2021-92, Princeton University. Economics Department..
  • Mark Aguiar & Satyajit Chatterjee & Harold L. Cole & Zachary Stangebye, 2020. "Self-Fulfilling Debt Crises, Revisited," Working Papers 20-03, Federal Reserve Bank of Philadelphia.
  • Mark Aguiar & Satyajit Chatterjee & Harold L. Cole & Zachary Stangebye, 2020. "Self-Ful?lling Debt Crises, Revisited," PIER Working Paper Archive 20-003, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
• N'Golo Kone, 2021. "Efficient mean-variance portfolio selection by double regularization," Working Paper 1453, Economics Department, Queen's University.
• Efthymios Stathakis & Theophilos Papadimitriou & Periklis Gogas, 2021. "Forecasting Price Spikes in Electricity Markets," Review of Economic Analysis, Digital Initiatives at the University of Waterloo Library, vol. 13(1), pages 65-87, March.
• Gomez-Gonzalez, Jose Eduardo & Gualtero-Briceño, Daniela & Melo-Velandia, Luis Fernando, 2021. "Estimating the Value at Risk of a bank’s portfolio in sovereign bonds using a DCC-Copula model," Working papers 75, Red Investigadores de Economía.
• Christian Conrad & Robert F. Engle, 2025. "Modelling Volatility Cycles: The MF2‐GARCH Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(4), pages 438-454, June.
  • Christian Conrad & Robert F. Engle, 2021. "Modelling Volatility Cycles: The (MF)2 GARCH Model," Working Paper series 21-05, Rimini Centre for Economic Analysis.
• Kostyrka, Andreï & Malakhov, Dmitry, 2021. "Was there ever a shift: Empirical analysis of structural-shift tests for return volatility," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 61, pages 110-139.
• Potanin, Bogdan & Trifonov, Juri, 2021. "The influence of investors’ expectations on oil prices," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 63, pages 76-90.
• Senol, Zekai, 2021. "Volatility Spillover between the Stock Market, Exchange Rates, Interest Rates and CDS Premiums: Evidence from Turkey (Borsa Endeksi, Döviz Kuru, Faiz Oranları ve CDS Primleri Arasındaki Oynaklık Yayıl," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 12(1), pages 111-126, January.
• Darmawan, Indra & Siregar, Hermanto & Hakim, Dedi B. & Manurung, Adler H., 2021. "Crude Oil Price Movement and Stock Market Trading Activity: Evidence from Indonesia," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 74(1), pages 25-46.
• Dimingo, Roselyn & Muteba Mwamba, John W. & Bonga-Bonga, Lumengo, 2021. "Prediction of Stock Market Direction: Application of Machine Learning Models," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 74(4), pages 499-536.
• Kusumahadi, Teresia Angelia & Permana, Fikri C, 2021. "Impact of COVID-19 on Global Stock Market Volatility," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 36(1), pages 20-45.
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  • Aloy, Marcel & Laly, Floris & Laurent, Sébastien & Lecourt, Christelle, 2021. "Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs," LIDAM Reprints LFIN 2021021, Université catholique de Louvain, Louvain Finance (LFIN).
  • Marcel Aloy & Floris Laly & Sébastien Laurent & Christelle Lecourt, 2021. "Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs," Post-Print hal-03103717, HAL.
• Roman Mestre, 2021. "A wavelet approach of investing behaviors and their effects on risk exposures," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-37, December.
  • Roman Mestre, 2021. "A wavelet approach of investing behaviors and their effects on risk exposures," Post-Print hal-03195190, HAL.
• Ayad Assoil & Ndéné Ka & Jules Sadefo-Kamdem, 2021. "Analysis of the dynamic relationship between liquidity proxies and returns on the French CAC 40 index," SN Business & Economics, Springer, vol. 1(10), pages 1-23, October.
  • Ayad Assoil & Ndéné Ka & Jules Sadefo-Kamdem, 2021. "Analysis of the Dynamic Relationship between Liquidityproxies and returns on French CAC 40 index," Post-Print hal-03282991, HAL.
• Denisa Banulescu-Radu & Christophe Hurlin & Jérémy Leymarie & Olivier Scaillet, 2021. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Management Science, INFORMS, vol. 67(9), pages 5730-5754, September.
  • Denisa Banulescu & Christophe Hurlin & Jeremy Leymarie & O. Scaillet, 2019. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Swiss Finance Institute Research Paper Series 19-48, Swiss Finance Institute.
  • Denisa Banulescu-Radu & Christophe Hurlin & Jérémy Leymarie & Olivier Scaillet, 2021. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Post-Print hal-03526444, HAL.
  • Banulescu-Radu, Denisa & Hurlin, Christophe & Leymarie, Jeremy & Scaillet, Olivier, 2020. "Backtesting marginal expected shortfalland related systemic risk measures," Working Papers unige:134136, University of Geneva, Geneva School of Economics and Management.
  • Denisa Banulescu & Christophe Hurlin & Jeremy Leymarie & Olivier Scaillet, 2020. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Working Papers halshs-03088668, HAL.
• Talbi, Marwa & Bedoui, Rihab & de Peretti, Christian & Belkacem, Lotfi, 2021. "Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches," Resources Policy, Elsevier, vol. 73(C).
  • Marwa Talbi & Rihab Bedoui & Christian de Peretti & Lotfi Belkacem, 2021. "Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches," Post-Print hal-03671370, HAL.
• Khalfaoui, Rabeh & Tiwari, Aviral Kumar & Kablan, Sandrine & Hammoudeh, Shawkat, 2021. "Interdependence and lead-lag relationships between the oil price and metal markets: Fresh insights from the wavelet and quantile coherency approaches," Energy Economics, Elsevier, vol. 101(C).
  • Rabeh Khalfaoui & Aviral Kumar Tiwari & Sandrine Kablan & Shawkat Hammoudeh, 2021. "Interdependence and lead-lag relationships between the oil price and metal markets: Fresh insights from the wavelet and quantile coherency approaches," Post-Print hal-03797581, HAL.
• Costola, Michele & Iacopini, Matteo & Santagiustina, Carlo R.M.A., 2021. "On the “mementum” of meme stocks," Economics Letters, Elsevier, vol. 207(C).
  • Michele Costola & Matteo Iacopini & Carlo R. M. A. Santagiustina, 2021. "On the "mementum" of Meme Stocks," Papers 2106.03691, arXiv.org.
  • Michele Costola & Matteo Iacopini & Carlo Romano Marcello Alessandro Santagiustina, 2021. "On the “mementum” of meme stocks," Post-Print hal-04874781, HAL.
  • Michele Costola & Matteo Iacopini & Carlo Romano Marcello Alessandro Santagiustina, 2021. "On the “mementum” of meme stocks," SciencePo Working papers Main hal-04874781, HAL.
• John W Goodell & Stéphane Goutte, 2021. "Diversifying with cryptocurrencies during COVID-19," Post-Print halshs-02876529, HAL.
• Da Fonseca, José & Malevergne, Yannick, 2021. "A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
  • José da Fonseca & Yannick Malevergne, 2021. "A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy," Post-Print halshs-03590382, HAL.
• Costola, Michele & Iacopini, Matteo & Santagiustina, Carlo R.M.A., 2021. "On the “mementum” of meme stocks," Economics Letters, Elsevier, vol. 207(C).
  • Michele Costola & Matteo Iacopini & Carlo Romano Marcello Alessandro Santagiustina, 2021. "On the “mementum” of meme stocks," Post-Print hal-04874781, HAL.
  • Michele Costola & Matteo Iacopini & Carlo Romano Marcello Alessandro Santagiustina, 2021. "On the “mementum” of meme stocks," SciencePo Working papers Main hal-04874781, HAL.
  • Michele Costola & Matteo Iacopini & Carlo R. M. A. Santagiustina, 2021. "On the "mementum" of Meme Stocks," Papers 2106.03691, arXiv.org.
• Lukas Boeckelmann & Arthur Stalla-Bourdillon, 2021. "Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission," Working papers 798, Banque de France.
  • Lukas Boeckelmann & Arthur Stalla-Bourdillon, 2021. "Structural Estimation of Time-Varying Spillovers:an Application to International Credit Risk Transmission," Working Papers hal-03338209, HAL.
• Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2022. "Predicting returns and dividend growth — The role of non-Gaussian innovations," Finance Research Letters, Elsevier, vol. 46(PA).
  • Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2021. "Predicting returns and dividend growth - the role of non-Gaussian innovations," Working Papers 2021:10, Örebro University, School of Business.
• Hoang Nguyen & Trong-Nghia Nguyen & Minh-Ngoc Tran, 2023. "A dynamic leverage stochastic volatility model," Applied Economics Letters, Taylor & Francis Journals, vol. 30(1), pages 97-102, January.
  • Nguyen, Hoang & Nguyen, Trong-Nghia & Tran, Minh-Ngoc, 2021. "A dynamic leverage stochastic volatility model," Working Papers 2021:14, Örebro University, School of Business.
• Nguyen, Hoang & Javed, Farrukh, 2023. "Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 272-292.
  • Nguyen, Hoang & Javed, Farrukh, 2021. "Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach," Working Papers 2021:15, Örebro University, School of Business.
• Bianchi, Daniele & Babiak, Mykola, 2022. "On the performance of cryptocurrency funds," Journal of Banking & Finance, Elsevier, vol. 138(C).
  • Daniele Bianchi & Mykola Babiak, 2020. "On the Performance of Cryptocurrency Funds," CERGE-EI Working Papers wp672, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  • Bianchi, Daniele & Babiak, Mykola, 2021. "On the Performance of Cryptocurrency Funds," Working Paper Series 408, Sveriges Riksbank (Central Bank of Sweden).
• Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro, 2024. "Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility," Econometrics and Statistics, Elsevier, vol. 32(C), pages 34-56.
  • Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro, 2021. "Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility," Discussion paper series HIAS-E-104, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.

2020

• Riza Demirer & Rangan Gupta & Asli Yuksel & Aydin Yuksel, 2020. "The US Term Structure and Return Volatility in Global REIT Markets," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(3), pages 84-109, September.
  • Riza Demirer & Rangan Gupta & Asli Yuksel & Aydin Yuksel, 2020. "The U.S. Term Structure and Return Volatility in Global REIT Markets," Working Papers 202069, University of Pretoria, Department of Economics.
• Morten Ørregaard Nielsen & Antoine L. Noël, 2020. "To infinity and beyond: Efficient computation of ARCH(1) models," CREATES Research Papers 2020-13, Department of Economics and Business Economics, Aarhus University.
• Mohammad Imdadul Haque & Afsal Ellath Meethal, 2020. "Volatility and Information Behavior: A Study on Shariah Index and General Index حدة التقلب والاستجابة للمعلومات: دراسة مقارنة بين المؤشر الإسلامي والمؤشر التقليدي," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 33(1), pages 21-33, January.
• Serdar Ögel & Halil İbrahim Gökgöz, 2020. "Analysis of the Relation of Bist 100 and Participation Index With Interest and Exchange Rates," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 35(114), pages 353-374, October.
• Mhamed-Ali El-Aroui & Wafa Snoussi, 2020. "Value-at-Risk in Frontier Markets: Adapted Models and Evidences from Two North-African Stock Exchanges," The African Finance Journal, Africagrowth Institute, vol. 22(1), pages 1-20.
• Edson Zambon Monte & Felipe Fantin Almeida, 2020. "Interrelationships Between The Stock Returns Of Brazilian Companies That Make Up The Sãƒo Paulo Stock Exchange Index," Revista de Economia Mackenzie (REM), Mackenzie Presbyterian University, Social and Applied Sciences Center, vol. 17(1), pages 115-145, January-J.
• Riza Demirer & Rangan Gupta & Asli Yuksel & Aydin Yuksel, 2020. "The US Term Structure and Return Volatility in Global REIT Markets," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(3), pages 84-109, September.
  • Riza Demirer & Rangan Gupta & Asli Yuksel & Aydin Yuksel, 2020. "The US Term Structure and Return Volatility in Global REIT Markets," International Association of Decision Sciences, Asia University, Taiwan, vol. 24(3), pages 84-109, September.
  • Riza Demirer & Rangan Gupta & Asli Yuksel & Aydin Yuksel, 2020. "The U.S. Term Structure and Return Volatility in Global REIT Markets," Working Papers 202069, University of Pretoria, Department of Economics.
• Ceyda Yerdelen Kaygın & Abdulkadir Barut, 2020. "Çifte Kayıtlı Hisse Senetlerinin Fiyatlarını Etkileyen İçsel Faktörlerin Dinamik Panel Veri Analizi İle Belirlenmesi," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 5(3), pages 805-821.
• Marie Ligocká, 2020. "Gender Diversity in Boardrooms and on Supervisory Boards and its Relation to Stock Prices," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 67(2), pages 177-192, June.
• Maja NikÅ¡ić Radić & Hana Paleka, 2020. "Higher Education Funding and Economic Growth: Empirical Evidence from Croatia," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 67(3), pages 409-421, September.
• Daniel Homocianu, 2020. "A Methodology of Discovering Comparable Models. The Case of Investing in Retirement Accounts when Considering Age, Main Residence and Education before 1989 vs. Globalization," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 67(4), pages 19-31, December.
• Daniel Homocianu, 2020. "A Methodology of Discovering Comparable Models. The Case of Investing in Retirement Accounts when Considering Age, Main Residence and Education before 1989 vs. Globalization," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 67(si), pages 19-31, December.
• Allard, Anne-Florence & Iania, Leonardo & Smedts, Kristien, 2020. "Stock-bond return correlations: Moving away from “one-frequency-fits-all” by extending the DCC-MIDAS approach," International Review of Financial Analysis, Elsevier, vol. 71(C).
  • Allard, Anne-Florence & Iania, Leonardo & Smedts, Kristien, 2020. "Stock-bond return correlations: Moving away from "one-frequency-fits-all" by extending the DCC-MIDAS approach," LIDAM Reprints LFIN 2020005, Université catholique de Louvain, Louvain Finance (LFIN).
• Levent Bulut & Islam Rizvanoghlu, 2020. "Is gold a safe haven? The international evidence revisited," Acta Oeconomica, Akadémiai Kiadó, Hungary, vol. 70(4), pages 531-549, December.
• Ekin Ayse Ozsuca Erenoglu & Elif Oznur Acar, 2020. "Can US Wage Increases be Regarded as a Leading Indicator for Bond Rates?," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 6(2), pages 169-176, December.
• Yüksel Akay Ünvan, 2020. "Investigation of Causality Relationships among COVID-19 Cases, ISE100 Index, Dollar, Euro, Gram Gold Prices and 2 Years Bond Rates: The Case of Turkey," Alphanumeric Journal, Bahadir Fatih Yildirim, vol. 8(1), pages 29-42, June.
• La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2023. "A higher-order correct fast moving-average bootstrap for dependent data," Journal of Econometrics, Elsevier, vol. 235(1), pages 65-81.
  • La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2020. "A higher-order correct fast moving-average bootstrap for dependent data," Working Papers unige:129395, University of Geneva, Geneva School of Economics and Management.
  • Davide La Vecchia & Alban Moor & Olivier Scaillet, 2020. "A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data," Papers 2001.04867, arXiv.org, revised Jan 2022.
  • Davide La Vecchia & Alban Moor & O. Scaillet, 2020. "A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data," Swiss Finance Institute Research Paper Series 20-01, Swiss Finance Institute.
• Stelios Arvanitis & Olivier Scaillet & Nikolas Topaloglou, 2024. "Spanning Analysis of Stock Market Anomalies Under Prospect Stochastic Dominance," Management Science, INFORMS, vol. 70(9), pages 6002-6025, September.
  • Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2020. "Spanning analysis of stock market anomalies under prospect stochastic dominance," Working Papers unige:134101, University of Geneva, Geneva School of Economics and Management.
  • Stelios Arvanitis & Olivier Scaillet & Nikolas Topaloglou, 2020. "Spanning analysis of stock market anomalies under Prospect Stochastic Dominance," Papers 2004.02670, arXiv.org.
  • Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou, 2020. "Spanning analysis of stock market anomalies under Prospect Stochastic Dominance," Swiss Finance Institute Research Paper Series 20-18, Swiss Finance Institute.
• Bu, Ruijun & Hadri, Kaddour & Kristensen, Dennis, 2021. "Diffusion copulas: Identification and estimation," Journal of Econometrics, Elsevier, vol. 221(2), pages 616-643.
  • Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2018. "Diffusion Copulas: Identification and Estimation," CREATES Research Papers 2018-20, Department of Economics and Business Economics, Aarhus University.
  • Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2020. "Diffusion Copulas: Identification and Estimation," Papers 2005.03513, arXiv.org.
  • Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2018. "Diffusion Copulas: Identification and Estimation," Working Papers 20184, University of Liverpool, Department of Economics.
• Mirco Rubin & Dario Ruzzi, 2020. "Equity tail risk in the treasury bond market," Temi di discussione (Economic working papers) 1311, Bank of Italy, Economic Research and International Relations Area.
  • Mirco Rubin & Dario Ruzzi, 2020. "Equity Tail Risk in the Treasury Bond Market," Papers 2007.05933, arXiv.org.
• Timo Dimitriadis & iaochun Liu & Julie Schnaitmann, 2023. "Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary," Journal of Financial Econometrics, Oxford University Press, vol. 21(2), pages 412-444.
  • Dimitriadis, Timo & Liu, Xiaochun & Schnaitmann, Julie, 2020. "Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary," Hohenheim Discussion Papers in Business, Economics and Social Sciences 11-2020, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
  • Timo Dimitriadis & Xiaochun Liu & Julie Schnaitmann, 2020. "Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary," Papers 2009.07341, arXiv.org.
• Martin, Gael M. & Loaiza-Maya, Rubén & Maneesoonthorn, Worapree & Frazier, David T. & Ramírez-Hassan, Andrés, 2022. "Optimal probabilistic forecasts: When do they work?," International Journal of Forecasting, Elsevier, vol. 38(1), pages 384-406.
  • Ruben Loaiza-Maya & Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Andres Ramirez Hassan, 2020. "Optimal probabilistic forecasts: When do they work?," Monash Econometrics and Business Statistics Working Papers 33/20, Monash University, Department of Econometrics and Business Statistics.
  • Gael M. Martin & Rub'en Loaiza-Maya & David T. Frazier & Worapree Maneesoonthorn & Andr'es Ram'irez Hassan, 2020. "Optimal probabilistic forecasts: When do they work?," Papers 2009.09592, arXiv.org.
• Ai Jun Hou & Weining Wang & Cathy Y H Chen & Wolfgang Karl Härdle, 2020. "Pricing Cryptocurrency Options," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 250-279.
  • Ai Jun Hou & Weining Wang & Cathy Y. H. Chen & Wolfgang Karl Hardle, 2020. "Pricing Cryptocurrency Options," Papers 2009.11007, arXiv.org.
• Tae-Hwy Lee & Ekaterina Seregina, 2024. "Optimal Portfolio Using Factor Graphical Lasso," Journal of Financial Econometrics, Oxford University Press, vol. 22(3), pages 670-695.
  • Tae-Hwy Lee & Ekaterina Seregina, 2020. "Optimal Portfolio Using Factor Graphical Lasso," Working Papers 202025, University of California at Riverside, Department of Economics.
  • Tae-Hwy Lee & Ekaterina Seregina, 2023. "Optimal Portfolio Using Factor Graphical Lasso," Working Papers 202302, University of California at Riverside, Department of Economics.
  • Tae-Hwy Lee & Ekaterina Seregina, 2020. "Optimal Portfolio Using Factor Graphical Lasso," Papers 2011.00435, arXiv.org, revised Apr 2023.
• Maheu, John M. & McCurdy, Thomas H. & Song, Yong, 2021. "Bull and bear markets during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 42(C).
  • Maheu, John M & McCurdy, Thomas H & Song, Yong, 2020. "Bull and Bear Markets During the COVID-19 Pandemic," MPRA Paper 104504, University Library of Munich, Germany.
  • John M. Maheu & Thomas H. McCurdy & Yong Song, 2020. "Bull and Bear Markets During the COVID-19 Pandemic," Papers 2012.01623, arXiv.org.
• Anthony Adu-Asare Idun & Samuel Kwaku Agyei & Soraya Bainn, 2020. "Determinants of the Size of Private Sector Credit Disbursement in Ghana," Asian Development Policy Review, Asian Economic and Social Society, vol. 8(4), pages 260-276, December.
• Sanjay Kumar Rout, 2020. "Spillover of Financial Innovations during Covid-19: A Cross-Country Analysis," Asian Development Policy Review, Asian Economic and Social Society, vol. 8(4), pages 298-318, December.
• Shamsideen Adewale Yusuff & Abisoye Abolaji, 2020. "The Impact of Budget Deficit on Economic Growth in an Emerging Market: An Application of the ARDL Technique," Asian Development Policy Review, Asian Economic and Social Society, vol. 8(4), pages 351-361, December.
• Fu Qiao & Yan Yan, 2020. "A Demand-Oriented Industry-Specific Volatility Spillover Network Analysis of China’s Stock Market around the Outbreak of COVID-19," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(11), pages 1321-1341, November.
• Tomader Gaber Elbasheer Elhassan, 2020. "The Asymmetric Impact of Trade Openness on Inflation in Sudan," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(12), pages 1396-1409, December.
• Faiza Omer Elmahgop & Omer Ahmed Sayed, 2020. "The Effect of Inflation Rates on Stock Market Returns in Sudan: The Linear Autoregressive Distributed Lag Model," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(7), pages 808-815, July.
• Guidolin, Massimo & Pedio, Manuela, 2021. "Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit," Finance Research Letters, Elsevier, vol. 42(C).
  • Massimo Guidolin & Manuela Pedio, 2020. "Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit," BAFFI CAREFIN Working Papers 20145, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Ruben Hipp, 2020. "On Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity," Staff Working Papers 20-42, Bank of Canada.
• Lerby Ergun & Andreas Uthemann, 2020. "Strategic Uncertainty in Financial Markets: Evidence from a Consensus Pricing Service," Staff Working Papers 20-55, Bank of Canada.
• Mirco Rubin & Dario Ruzzi, 2020. "Equity Tail Risk in the Treasury Bond Market," Papers 2007.05933, arXiv.org.
  • Mirco Rubin & Dario Ruzzi, 2020. "Equity tail risk in the treasury bond market," Temi di discussione (Economic working papers) 1311, Bank of Italy, Economic Research and International Relations Area.
• Hernández, Juan R., 2020. "Covered Interest Parity: A Stochastic Volatility Approach to Estimate the Neutral Band," MPRA Paper 100744, University Library of Munich, Germany.
  • Hernández Juan R., 2020. "Covered Interest Parity: A Stochastic Volatility Approach to Estimate the Neutral Band," Working Papers 2020-02, Banco de México.
• Bojan Baškot & Stanko Stanić, 2020. "Parametric Crop Insurance Against Floods: The Case Of Bosnia And Herzegovina," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 65(224), pages 83-100, January –.
• Lars Peter Hansen, 2021. "Uncertainty Spillovers for Markets and Policy," Annual Review of Economics, Annual Reviews, vol. 13(1), pages 371-396, August.
  • Lars Peter Hansen, 2020. "Uncertainty Spillovers for Markets and Policy," Working Papers 2020-121, Becker Friedman Institute for Research In Economics.
• Paul D McNelis & James Yetman, 2020. "Volatility spillovers and capital buffers among the G-SIBs," BIS Working Papers 856, Bank for International Settlements.
• Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2020. "Taming the Factor Zoo: A Test of New Factors," Journal of Finance, American Finance Association, vol. 75(3), pages 1327-1370, June.
  • Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2019. "Taming the Factor Zoo: A Test of New Factors," NBER Working Papers 25481, National Bureau of Economic Research, Inc.
  • Giglio, Stefano & Feng, Guanhao & Xiu, Dacheng, 2020. "Taming the Factor Zoo: A Test of New Factors," CEPR Discussion Papers 14266, C.E.P.R. Discussion Papers.
• Johannes Johnen, 2020. "Dynamic competition in deceptive markets," RAND Journal of Economics, RAND Corporation, vol. 51(2), pages 375-401, June.
  • Johannes Johnen, "undated". "Dynamic Competition in Deceptive Markets," BDPEMS Working Papers 2015011, Berlin School of Economics.
  • Johnen, Johannes, 2020. "Dynamic Competition in Deceptive Markets," LIDAM Reprints CORE 3098, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • JOHNEN, Johannes, 2017. "Dynamic competition in deceptive markets," LIDAM Discussion Papers CORE 2017036, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Faria, Gonçalo & Verona, Fabio, 2020. "Frequency-domain information for active portfolio management," Research Discussion Papers 2/2020, Bank of Finland.
• Gonçalo Faria & Fabio Verona, 2021. "Time-frequency forecast of the equity premium," Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2119-2135, December.
  • Faria, Gonçalo & Verona, Fabio, 2020. "Time-frequency forecast of the equity premium," Research Discussion Papers 6/2020, Bank of Finland.
• Igor Fedotenkov, 2020. "A Review of More than One Hundred Pareto-Tail Index Estimators," Statistica, Department of Statistics, University of Bologna, vol. 80(3), pages 245-299.
  • Fedotenkov, Igor, 2018. "A review of more than one hundred Pareto-tail index estimators," MPRA Paper 90072, University Library of Munich, Germany.
• Heinzelmann Ludwig & Missong Martin, 2020. "Nonlinear interest rate-setting behaviour of German commercial banks," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(3), pages 1-28, June.
• Heinzelmann Ludwig & Missong Martin, 2020. "Nonlinear interest rate-setting behaviour of German commercial banks," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(3), pages 1-28, June.
• Avdoulas Christos & Bekiros Stelios & Lucey Brian, 2020. "The term structure of Eurozone peripheral bond yields: an asymmetric regime-switching equilibrium correction approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(4), pages 1-23, September.
• Ding, Y., 2020. "Diffusion Limits of Real-Time GARCH," Cambridge Working Papers in Economics 20112, Faculty of Economics, University of Cambridge.
• Ge, S., 2020. "A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model," Cambridge Working Papers in Economics 20114, Faculty of Economics, University of Cambridge.
• Ge, S., 2020. "Text-Based Linkages and Local Risk Spillovers in the Equity Market," Cambridge Working Papers in Economics 20115, Faculty of Economics, University of Cambridge.
• Imam Mukhlis & Isnawati Hidayah & Nora Ria Retnasih, 2020. "Interest Rate Volatility of the Federal Funds Rate: Response of the Bank Indonesia and its Impact on the Indonesian Economic Stability," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(1), pages 111-133.
• Tai-Hock Kuek & Chin-Hong Puah & M. Affendy Arip, 2020. "Financial Vulnerability and Economic Dynamics in Malaysia," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(special i), pages 55-73.
• Bianchi, Daniele & Babiak, Mykola, 2022. "On the performance of cryptocurrency funds," Journal of Banking & Finance, Elsevier, vol. 138(C).
  • Daniele Bianchi & Mykola Babiak, 2020. "On the Performance of Cryptocurrency Funds," CERGE-EI Working Papers wp672, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  • Bianchi, Daniele & Babiak, Mykola, 2021. "On the Performance of Cryptocurrency Funds," Working Paper Series 408, Sveriges Riksbank (Central Bank of Sweden).
• Reinhold Heinlein & Gabriella D. Legrenzi & Scott M. R. Mahadeo, 2020. "Energy contagion in the COVID-19 crisis," Working Paper series 20-19, Rimini Centre for Economic Analysis.
  • Reinhold Heinlein & Gabriella Deborah Legrenzi & Scott M. R. Mahadeo, 2020. "Energy Contagion in the Covid-19 Crisis," CESifo Working Paper Series 8345, CESifo.
• Kaminska, Iryna & Mumtaz, Haroon & Šustek, Roman, 2021. "Monetary policy surprises and their transmission through term premia and expected interest rates," Journal of Monetary Economics, Elsevier, vol. 124(C), pages 48-65.
  • Iryna Kaminska & Haroon Mumtaz & Roman Sustek, 2020. "Monetary policy surprises and their transmission through term premia and expected interest rates," Working Papers 917, Queen Mary University of London, School of Economics and Finance.
  • Kaminska, Iryna & Mumtaz, Haroon & Sustek, Roman, 2021. "Monetary policy surprises and their transmission through term premia and expected interest rates," Bank of England working papers 914, Bank of England, revised 28 Apr 2021.
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• La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2023. "A higher-order correct fast moving-average bootstrap for dependent data," Journal of Econometrics, Elsevier, vol. 235(1), pages 65-81.
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• Hernández Juan R., 2020. "Covered Interest Parity: A Stochastic Volatility Approach to Estimate the Neutral Band," Working Papers 2020-02, Banco de México.
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• Aknouche, Abdelhakim & Almohaimeed, Bader & Dimitrakopoulos, Stefanos, 2020. "Forecasting transaction counts with integer-valued GARCH models," MPRA Paper 101779, University Library of Munich, Germany, revised 11 Jul 2020.
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• Fantazzini, Dean, 2020. "Discussing copulas with Sergey Aivazian: a memoir," MPRA Paper 102317, University Library of Munich, Germany.
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• Arnerić Josip, 2020. "Realized density estimation using intraday prices," Croatian Review of Economic, Business and Social Statistics, Sciendo, vol. 6(1), pages 1-9, May.
• Homa Magdalena, 2020. "Mathematical Reserves vs Longevity Risk in Life Insurances," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 24(1), pages 23-38, March.
• Gürsakal Necmi & Yilmaz Fırat Melih & Uğurlu Erginbay, 2020. "Finding Opportunity Windows in Time Series Data Using the Sliding Window Technique: the Case of Stock Exchanges," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 24(3), pages 1-19, September.
• Pražák Tomáš, 2020. "The Role of Main Microeconomic Factors on the Stock Prices of Selected Swiss Companies," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 16(1), pages 67-74, March.
• Bashir Zahid & Arshad Muhammad Usman & Asif Muhammad & Abbas Muhammad & Ali Hasnain, 2020. "Role of Business Age, Scale & Risk in Debt Financing Choices for the Pakistani Textile & Apparel Industry," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 16(3), pages 119-136, September.
• Brzeszczyński Janusz & Gajdka Jerzy & Schabek Tomasz, 2020. "Bitcoin as a New Currency," Folia Oeconomica Stetinensia, Sciendo, vol. 20(2), pages 49-65, December.
• Krupa Tadeusz, 2020. "Virtual Center for the Paradigmatic Studies," Foundations of Management, Sciendo, vol. 12(1), pages 181-192, January.
• Krupa Tadeusz, 2020. "Virtual Center for the Paradigmatic Studies," Foundations of Management, Sciendo, vol. 12(1), pages 181-192, January.
• Kowalski Michał J. & Kazak Jan K., 2020. "Value-Based Management for Real Estate Developers’ Activities," Real Estate Management and Valuation, Sciendo, vol. 28(4), pages 48-62, December.
• Duda Jarosław & Gurgul Henryk & Syrek Robert, 2020. "Modelling bid-ask spread conditional distributions using hierarchical correlation reconstruction," Statistics in Transition New Series, Statistics Poland, vol. 21(5), pages 99-118, December.
  • Jaros{l}aw Duda & Robert Syrek & Henryk Gurgul, 2019. "Modelling bid-ask spread conditional distributions using hierarchical correlation reconstruction," Papers 1911.02361, arXiv.org.
• Ngozi E. Egbuna (PhD) & Maimuna John-Sowe & Dauda Mohammed (PhD) & Hissan Abubakari & Eric L. Sambolah & Kormay Adams, 2020. "Uncertainty And Economic Performance In The West African Monetary Zone (Wamz): A Fixed Effect Panel Threshold Approach," Working Papers 19, West African Monetary Institute.
• Gilbert Mbara, 2020. "Price Transmission across Commodity Markets: Physical to Futures," Working Papers 2020-07, Faculty of Economic Sciences, University of Warsaw.
• Mateusz Buczyński & Marcin Chlebus, 2020. "Size does matter. A study on the required window size for optimal quality market risk models," Working Papers 2020-09, Faculty of Economic Sciences, University of Warsaw.
• Maciej Wysocki & Robert Ślepaczuk, 2020. "Artificial Neural Networks Performance in WIG20 Index Options Pricing," Working Papers 2020-19, Faculty of Economic Sciences, University of Warsaw.
• Mateusz Kijewski & Robert Ślepaczuk, 2020. "Predicting prices of S&P500 index using classical methods and recurrent neural networks," Working Papers 2020-27, Faculty of Economic Sciences, University of Warsaw.
• Karol Kielak & Robert Ślepaczuk, 2020. "Value-at-risk — the comparison of state-of-the-art models on various assets," Working Papers 2020-28, Faculty of Economic Sciences, University of Warsaw.
• Mateusz Heba & Marcin Chlebus, 2020. "Impact of using industry benchmark financial ratios on performance of bankruptcy prediction logistic regression model," Working Papers 2020-30, Faculty of Economic Sciences, University of Warsaw.
• Bartłomiej Bollin & Robert Ślepaczuk, 2020. "Variance Gamma Model in Hedging Vanilla and Exotic Options," Working Papers 2020-31, Faculty of Economic Sciences, University of Warsaw.
• Robert Ślepaczuk & Igor Wabik, 2020. "The impact of the results of football matches on the stock prices of soccer clubs," Working Papers 2020-35, Faculty of Economic Sciences, University of Warsaw.
• Quynh Bui & Robert Ślepaczuk, 2020. "Applying Hurst Exponent in Pair Trading Strategies," Working Papers 2020-39, Faculty of Economic Sciences, University of Warsaw.
• Xu, Dinghai, 2022. "Canadian stock market volatility under COVID-19," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 159-169.
  • Dinghai Xu, 2020. "Canadian Stock Market Volatility under COVID-19," Working Papers 2001, University of Waterloo, Department of Economics, revised May 2020.
• Duc Khuong Nguyen & Thomas Walther, 2020. "Modeling and forecasting commodity market volatility with long‐term economic and financial variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 126-142, March.
  • Nguyen, Duc Khuong & Walther, Thomas, 2017. "Modeling and forecasting commodity market volatility with long-term economic and financial variables," MPRA Paper 84464, University Library of Munich, Germany, revised Jan 2018.
  • Thomas Walther & Duc Khuong Nguyen, 2018. "Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Variables," Working Papers on Finance 1824, University of St. Gallen, School of Finance.
• Mingyang Li & Linlin Niu & Andrew Pua, 2020. "Market Pricing of Fundamentals at the Shanghai Stock Exchange: Evidence from a Dividend Discount Model with Adaptive Expectations," Working Papers 2020-12-30, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
• Faria, Gonçalo & Verona, Fabio, 2020. "Frequency-domain information for active portfolio management," Bank of Finland Research Discussion Papers 2/2020, Bank of Finland.
• Gonçalo Faria & Fabio Verona, 2021. "Time-frequency forecast of the equity premium," Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2119-2135, December.
  • Faria, Gonçalo & Verona, Fabio, 2020. "Time-frequency forecast of the equity premium," Bank of Finland Research Discussion Papers 6/2020, Bank of Finland.
• Lux, Thomas, 2020. "Bayesian estimation of agent-based models via adaptive particle Markov chain Monte Carlo," Economics Working Papers 2020-01, Christian-Albrechts-University of Kiel, Department of Economics.
• Theissen, Erik & Yilanci, Can, 2020. "Momentum? What Momentum?," CFR Working Papers 20-09, University of Cologne, Centre for Financial Research (CFR).
• Winkelmann, Lars & Yao, Wenying, 2020. "Cojump anchoring," Discussion Papers 2020/17, Free University Berlin, School of Business & Economics.
• Timo Dimitriadis & iaochun Liu & Julie Schnaitmann, 2023. "Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary," Journal of Financial Econometrics, Oxford University Press, vol. 21(2), pages 412-444.
  • Timo Dimitriadis & Xiaochun Liu & Julie Schnaitmann, 2020. "Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary," Papers 2009.07341, arXiv.org.
  • Dimitriadis, Timo & Liu, Xiaochun & Schnaitmann, Julie, 2020. "Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary," Hohenheim Discussion Papers in Business, Economics and Social Sciences 11-2020, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
• Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2021. "Long- and short-run components of factor betas: Implications for stock pricing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  • Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2020. "Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing," IRTG 1792 Discussion Papers 2020-020, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Reh, Laura & Krüger, Fabian & Liesenfeld, Roman, 2020. "Predicting the global minimum variance portfolio," Working Paper Series in Economics 141, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Grammig, Joachim & Hanenberg, Constantin & Schlag, Christian & Sönksen, Jantje, 2020. "Diverging roads: Theory-based vs. machine learning-implied stock risk premia," University of Tübingen Working Papers in Business and Economics 130, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
• Gavard, Claire & Kirat, Djamel, 2020. "Short-term impacts of carbon offsetting on emissions trading schemes: Empirical insights from the EU experience," ZEW Discussion Papers 20-058, ZEW - Leibniz Centre for European Economic Research.
• De Nard, Gianluca & Engle, Robert F. & Ledoit, Olivier & Wolf, Michael, 2022. "Large dynamic covariance matrices: Enhancements based on intraday data," Journal of Banking & Finance, Elsevier, vol. 138(C).
  • Gianluca De Nard & Robert F. Engle & Olivier Ledoit & Michael Wolf, 2020. "Large dynamic covariance matrices: enhancements based on intraday data," ECON - Working Papers 356, Department of Economics - University of Zurich, revised Jan 2022.

2019

• Greenwood-Nimmo, Matthew & Kočenda, Evžen & Nguyen, Viet Hoang, 2024. "Detecting statistically significant changes in connectedness: A bootstrap-based technique," Economic Modelling, Elsevier, vol. 140(C).
  • Matthew Greenwood-Nimmo & Evžen KoÄ enda & Viet Hoang Nguyen, 2019. "Does the Spillover Index Reflect Systemic Shocks? A Bootstrap-Based Probabilistic Analysis," Melbourne Institute Working Paper Series wp2019n17, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  • Matthew Greenwood-Nimmo & Evzen Kocenda & Viet Hoang Nguyen, 2024. "Detecting Statistically Significant Changes in Connectedness: A Bootstrap-based Technique," CAMA Working Papers 2024-51, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Matthew Greenwood-Nimmo & Evzen Kocenda & Viet Hoang Nguyen, 2021. "Does the Spillover Index Respond Significantly to Systemic Shocks? A Bootstrap-Based Probabilistic Analysis," Working Papers IES 2021/29, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2021.
  • Matthew Greenwood-Nimmo & Evžen Kocenda & Viet Hoang Nguyen, 2023. "Does the Spillover Index Respond to Adverse Shocks? A Bootstrap-Based Probabilistic Analysis," CESifo Working Paper Series 10668, CESifo.
• Tihana Skrinjaric & Zrinka Orlovic, 2019. "Effects of Economic and Political Events on Stock Returns: Event Study of the Agrokor Case in Croatia," Croatian Economic Survey, The Institute of Economics, Zagreb, vol. 21(1), pages 47-86, June.
• Süleyman Hilmi KAL & İlhami GÜNDÜZ, 2019. "Global Capital Flows, Time Varying Fundamentals And Transitional Exchange Rate Dynamics: An MS-VAR Approach," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul Journal of Economics-Istanbul Iktisat Dergisi, vol. 69(1), pages 1-22, June.
• Miriam Sosa & Edgar Ortiz & Alejandra Cabello, 2019. "International Financial US Linkages: Networks Theory and MS-VAR Analyses," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 459-584, Agosto 20.
• Roberto Joaquín Santillán Salgado & Alejandro Fonseca Ramírez & Luis Nelson Romero, 2019. "The "day-of-the-week" effects in the exchange rate of Latin American currencies," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 485-507, Agosto 20.
• Oscar V. De la Torre-Torres & Dora Aguilasocho-Montoya & José Álvarez-García, 2019. "Active portfolio management in the Andean countries'' stock markets with Markov-Switching GARCH models," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 601-616, Agosto 20.
• Akyildirim, Erdinc & Corbet, Shaen & Nguyen, Duc Khuong & Sensoy, Ahmet, 2020. "Regulatory changes and long-run relationships of the EMU sovereign debt markets: Implications for future policy framework," International Review of Law and Economics, Elsevier, vol. 63(C).
  • Erdinc Akyildirim & Shaen Corbet & Duc Khuong Nguyene & Ahmet Sensoy, 2019. "Regulatory Changes and Long-run Relationships of the EMU Sovereign Debt Markets: Implications for Future Policy Framework," Working Papers 2019-005, Department of Research, Ipag Business School.
• Helena Chuliá & Jorge M. Uribe, 2019. "“Expected, Unexpected, Good and Bad Uncertainty"," IREA Working Papers 201919, University of Barcelona, Research Institute of Applied Economics, revised Nov 2019.
• Süleyman Hilmi KAL & İlhami GÜNDÜZ, 2019. "Global Capital Flows, Time Varying Fundamentals And Transitional Exchange Rate Dynamics: An MS-VAR Approach," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 69(1), pages 1-22, June.
• Mustafa ÖZYEŞİL, 2019. "The Relationship Between the Popularity of Cryptocurrencies and their Prices, Returns and Trading Volumes: A Structural Break and Comparative Analysis," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 69(2), pages 133-157, December.
• Dr. Sanjeev Kumar, 2019. "The Impact of Fiscal Deficit on Economic Growth in India: An Economic Analysis," Journal of Commerce and Trade, Society for Advanced Management Studies, vol. 14(2), pages 67-71, Octobor.
• Wasanthi Thenuwara & Mahinda Siriwardana & Nam Hoang, 2019. "Will Population Ageing Cause a House Price Meltdown in Australia?," Journal of Developing Areas, Tennessee State University, College of Business, vol. 53(2), pages 63-77, April-Jun.
• Rosati, Nicoletta & Bellia, Mario & Matos, Pedro Verga & Oliveira, Vasco, 2020. "Ratings matter: Announcements in times of crisis and the dynamics of stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).
  • Rosati, Nicoletta & Bellia, Mario & Matos, Pedro Verga & Oliviera, Vasco, 2019. "Ratings matter: announcements in times of crisis and the dynamics of stock markets," JRC Working Papers in Economics and Finance 2019-08, Joint Research Centre, European Commission.
• Rituparna Sen & Manavathi Subramaniam, 2019. "Stylized Facts of the Indian Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(4), pages 479-493, December.
• Manh Cuong Dong & Cathy W. S. Chen & Sangyoel Lee & Songsak Sriboonchitta, 2019. "How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 343-366, January.
• Stelios Bekiros & Nikolaos Loukeris & Nikolaos Matsatsinis & Frank Bezzina, 2019. "Customer Satisfaction Prediction in the Shipping Industry with Hybrid Meta-heuristic Approaches," Computational Economics, Springer;Society for Computational Economics, vol. 54(2), pages 647-667, August.
• Till Massing, 2019. "What is the best Lévy model for stock indices? A comparative study with a view to time consistency," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(3), pages 277-344, September.
• Nafeesa Yunus, 2019. "Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis," The Journal of Real Estate Finance and Economics, Springer, vol. 58(2), pages 264-289, February.
• Vietha Devia S.S., 2019. "The Correlation of Exchange Rate and Inflation and Its Effect on Stock Markets. Case Study on Consumer Good Index Indonesia: 2004 – 2017," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 5(2), pages 32-44, June.
• Simon Hetland & Rasmus Søndergaard Pedersen & Anders Rahbek, 2019. "Dynamic Conditional Eigenvalue GARCH," Discussion Papers 19-13, University of Copenhagen. Department of Economics.
• Klenio Barbosa & Dakshina De Silva & Liyu Yang & Hisayuki Yoshimoto, 2019. "Auction Mechanisms and Treasury Revenue," Working Papers 267027285, Lancaster University Management School, Economics Department.
• Andres Fioriti & Fernando Andres Delbianco, 2019. "Dependence of Latin America external sector on commodity prices. A contemporaneity analysis using a descriptive approach," Económica, Instituto de Investigaciones Económicas, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 65, pages 173-200, January-D.
  • Andres Fioriti, Fernando Andres Delbianco, 2019. "Dependence of Latin America external sector on commodity prices. A contemporaneity analysis using a descriptive approach," Económica, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 65, pages 173-200, January-D.
• Rangan Gupta & Sheung-Chi Chow & Tahir Suleman & Wing-Keung Wong, 2019. "Long-Run Movement and Predictability of Bond Spread for BRICS and PIIGS: The Role of Economic, Financial and Political Risks," Journal of Reviews on Global Economics, Lifescience Global, vol. 8, pages 239-257.
  • Sheung-Chi Chow & Rangan Gupta & Tahir Suleman & Wing-Keung Wong, 2017. "Long-Run Movement and Predictability of Bond Spread for BRICS and PIIGS: The Role of Economic, Financial and Political Risks," Working Papers 201773, University of Pretoria, Department of Economics.
• Naimy, Viviane & Bou Zeidan, Melissa, 2019. "FORECASTING VALUE AT RISK (VAR) FOR EMERGING AND DEVELOPED MARKETS/Previsio?n del valor en riesgo (VaR) para mercados emergentes y desarrollados," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 37, pages 133-154, Septiembr.
• Kwaku Boafo Baidoo, 2019. "The Effects of Short Selling on Financial Markets Volatilities," European Journal of Business Science and Technology, Mendel University in Brno, Faculty of Business and Economics, vol. 5(2), pages 218-228.
• Andrea Bastianin, 2020. "Robust measures of skewness and kurtosis for macroeconomic and financial time series," Applied Economics, Taylor & Francis Journals, vol. 52(7), pages 637-670, February.
  • Andrea Bastianin, 2019. "Robust measures of skewness and kurtosis for macroeconomic and financial time series," Working Papers 408, University of Milano-Bicocca, Department of Economics, revised 06 May 2019.
• David De Villiers & Andrew Phiri, 2022. "Towards resolving the purchasing power parity (PPP) ‘Puzzle’ in newly industrialized countries (NIC’s)," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 31(2), pages 161-180, February.
  • David de Villiers & Andrew Phiri, 2019. "Towards resolving the Purchasing Power Parity (PPP) ‘puzzle’ in Newly Industrialized Countries (NIC’s)," Working Papers 1908, Department of Economics, Nelson Mandela University, revised Sep 2019.
• Bernard De Meyer & Moussa Dabo, 2019. "The CMMV Pricing Model in Practice," Documents de travail du Centre d'Economie de la Sorbonne 19026, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Patrick Leung & Catherine S. Forbes & Gael M Martin & Brendan McCabe, 2019. "Forecasting Observables with Particle Filters: Any Filter Will Do!," Monash Econometrics and Business Statistics Working Papers 22/19, Monash University, Department of Econometrics and Business Statistics.
• Paweł Radwański, 2019. "Polityka fiskalna i premia za ryzyko akcji na warszawskiej giełdzie," Bank i Kredyt, Narodowy Bank Polski, vol. 50(3), pages 265-294.
• Marcin Pełka, 2019. "Symbolic decision stumps in individual credit scoring," Bank i Kredyt, Narodowy Bank Polski, vol. 50(6), pages 513-528.
• Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2020. "Taming the Factor Zoo: A Test of New Factors," Journal of Finance, American Finance Association, vol. 75(3), pages 1327-1370, June.
  • Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2019. "Taming the Factor Zoo: A Test of New Factors," NBER Working Papers 25481, National Bureau of Economic Research, Inc.
  • Giglio, Stefano & Feng, Guanhao & Xiu, Dacheng, 2020. "Taming the Factor Zoo: A Test of New Factors," CEPR Discussion Papers 14266, C.E.P.R. Discussion Papers.
• Hansen, Lars Peter & Sargent, Thomas J., 2021. "Macroeconomic uncertainty prices when beliefs are tenuous," Journal of Econometrics, Elsevier, vol. 223(1), pages 222-250.
  • Lars Peter Hansen & Thomas J. Sargent, 2019. "Macroeconomic Uncertainty Prices when Beliefs are Tenuous," NBER Working Papers 25781, National Bureau of Economic Research, Inc.
• Zheng Tracy Ke & Bryan T. Kelly & Dacheng Xiu, 2019. "Predicting Returns With Text Data," NBER Working Papers 26186, National Bureau of Economic Research, Inc.
• Steven Lehrer & Tian Xie & Tao Zeng, 2021. "Does High-Frequency Social Media Data Improve Forecasts of Low-Frequency Consumer Confidence Measures? [Regression Models with Mixed Sampling Frequencies]," Journal of Financial Econometrics, Oxford University Press, vol. 19(5), pages 910-933.
  • Steven F. Lehrer & Tian Xie & Tao Zeng, 2019. "Does High Frequency Social Media Data Improve Forecasts of Low Frequency Consumer Confidence Measures?," NBER Working Papers 26505, National Bureau of Economic Research, Inc.
• Bryan T. Kelly & Asaf Manela & Alan Moreira, 2019. "Text Selection," NBER Working Papers 26517, National Bureau of Economic Research, Inc.
• Dash, M., 2019. "A Study on Commodity Market Behaviour, Price Discovery and its Factors," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 8(3), pages 125-134, September.
• P Gorgi & P R Hansen & P Janus & S J Koopman, 2019. "Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model," Journal of Financial Econometrics, Oxford University Press, vol. 17(1), pages 1-32.
  • Peter Reinhard Hansen & Pawel Janus & Siem Jan Koopman, 2016. "Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model," Tinbergen Institute Discussion Papers 16-061/III, Tinbergen Institute.
• Hoang Nguyen & M Concepción Ausín & Pedro Galeano, 2019. "Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas," Journal of Financial Econometrics, Oxford University Press, vol. 17(1), pages 118-151.
• Kevin Sheppard & Wen Xu, 2019. "Factor High-Frequency-Based Volatility (HEAVY) Models," Journal of Financial Econometrics, Oxford University Press, vol. 17(1), pages 33-65.
• Anne Opschoor & André Lucas, 2019. "Fractional Integration and Fat Tails for Realized Covariance Kernels," Journal of Financial Econometrics, Oxford University Press, vol. 17(1), pages 66-90.
• Andrea Berardi & Alberto Plazzi, 2019. "Inflation Risk Premia, Yield Volatility, and Macro Factors," Journal of Financial Econometrics, Oxford University Press, vol. 17(3), pages 397-431.
  • Andrea Berardi & Alberto Plazzi, 2018. "Inflation Risk Premia, Yield Volatility and Macro Factors," Swiss Finance Institute Research Paper Series 18-13, Swiss Finance Institute, revised Mar 2018.
• Olivier Ledoit & Michael Wolf & Zhao Zhao, 2019. "Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies," Journal of Financial Econometrics, Oxford University Press, vol. 17(4), pages 645-686.
• Eugene F Fama, 2019. "Interest Rates and Inflation Revisited," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 9(2), pages 197-209.
• Iulia Iuga, 2019. "The Influence of Inflation rate on Robor in the Romanian Banking System - Case Study," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 607-613, August.
• Anca Buziernescu, 2019. "Econometric Modeling of the Correlation Between the Type of Income Taxation of Natural Persons and the Standard of Living in the E.U," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 23-29, December.
• Vipul Kumar Singh, 2019. "Day-of-the-week effect of major currency pairs: new evidences from investors’ fear gauge," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 493-507, December.
• Carlos A. Abanto-Valle & Hernán B. Garrafa-Aragón, 2019. "Threshold Stochastic Volatility Models with Heavy Tails:A Bayesian Approach," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 42(83), pages 32-53.
• Mauricio Zevallos, 2019. "A Note on Forecasting Daily Peruvian Stock Market VolatilityRisk Using Intraday Returns," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 42(84), pages 94-101.
• Joanna Olbrys, 2019. "Intra-market commonality in liquidity: new evidence from the Polish stock exchange," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 14(2), pages 251-275, June.
• Kabir, Mustafa & Masih, Mansur, 2019. "Portfolio diversification between exchange rates and islamic stocks: evidence from the USA, Euro area, Japan and Malaysia," MPRA Paper 100574, University Library of Munich, Germany.
• Khan, Aftab & Masih, Mansur, 2019. "Do Islamic stocks and commodity markets comove at different investment horizons ? evidence from wavelet time-frequency approach," MPRA Paper 100992, University Library of Munich, Germany.
• Victor Olkhov, . "The econophysics of asset prices, returns and multiple expectations," Journal of Network Theory in Finance, Journal of Network Theory in Finance.
  • Victor Olkhov, 2019. "Econophysics of Asset Price, Return and Multiple Expectations," Papers 1901.05024, arXiv.org, revised Sep 2020.
  • Olkhov, Victor, 2019. "Econophysics of Asset Price, Return and Multiple Expectations," MPRA Paper 91587, University Library of Munich, Germany.
• Halkos, George & Tsirivis, Apostolos, 2019. "Using Value-at-Risk for effective energy portfolio risk management," MPRA Paper 91674, University Library of Munich, Germany.
• Bulut, Levent & Rizvanoghlu, Islam, 2019. "Is Gold a Safe Haven? International Evidence revisited," MPRA Paper 91957, University Library of Munich, Germany.
• Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos & Touche, Nassim, 2019. "Integer-valued stochastic volatility," MPRA Paper 91962, University Library of Munich, Germany, revised 04 Feb 2019.
• Hecq, Alain & Voisin, Elisa, 2021. "Forecasting bubbles with mixed causal-noncausal autoregressive models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 29-45.
  • Voisin, Elisa & Hecq, Alain, 2019. "Forecasting bubbles with mixed causal-noncausal autoregressive models," MPRA Paper 92734, University Library of Munich, Germany.
• Rice, Gregory & Wirjanto, Tony & Zhao, Yuqian, 2019. "Tests for conditional heteroscedasticity with functional data and goodness-of-fit tests for FGARCH models," MPRA Paper 93048, University Library of Munich, Germany.
• Fajardo, José, 2019. "Bitcoin's return behaviour: What do We know so far?," MPRA Paper 93353, University Library of Munich, Germany, revised 16 Apr 2019.
• Yang, Bill Huajian, 2019. "Monotonic Estimation for the Survival Probability over a Risk-Rated Portfolio by Discrete-Time Hazard Rate Models," MPRA Paper 93398, University Library of Munich, Germany.
• Yang, Bill Huajian, 2019. "Monotonic Estimation for Probability Distribution and Multivariate Risk Scales by Constrained Minimum Generalized Cross-Entropy," MPRA Paper 93400, University Library of Munich, Germany.
• Naimoli, Antonio & Storti, Giuseppe, 2019. "Heterogeneous component multiplicative error models for forecasting trading volumes," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1332-1355.
  • Naimoli, Antonio & Storti, Giuseppe, 2019. "Heterogeneous component multiplicative error models for forecasting trading volumes," MPRA Paper 93802, University Library of Munich, Germany.
• Bonga, Wellington Garikai, 2019. "Stock Market Volatility Analysis using GARCH Family Models: Evidence from Zimbabwe Stock Exchange," MPRA Paper 94201, University Library of Munich, Germany.
• Xiao, Tim, 2018. "Incremental Risk Charge Methodology," SocArXiv y43dx, Center for Open Science.
  • Xiao, Tim, 2019. "Incremental Risk Charge Methodology," MPRA Paper 94581, University Library of Munich, Germany, revised 08 May 2019.
  • Xiao, Tim, 2018. "Incremental Risk Charge Methodology," arabixiv.org qmcdz, Center for Open Science.
  • Tim Xiao, 2019. "Incremental Risk Charge Methodology," Working Papers hal-02024148, HAL.
  • Xiao, Tim, 2018. "Incremental Risk Charge Methodology," FrenXiv 6b3hu, Center for Open Science.
  • Xiao,Tim, 2019. "Incremental Risk Charge Methodology," EconStor Preprints 201810, ZBW - Leibniz Information Centre for Economics.
• Maruf, Aminudin & Masih, Mansur, 2019. "Is the relationship between infrastructure and economic growth symmetric or asymmetric? evidence from Indonesia based on linear and non-linear ARDL," MPRA Paper 94663, University Library of Munich, Germany.
• Elyas, Redha & Masih, Mansur, 2019. "Does environmental awareness determine GDP growth ? evidence from Singapore based on ARDL and NARDL approaches," MPRA Paper 94683, University Library of Munich, Germany.
• Azwan, Nurul Iman & Masih, Mansur, 2019. "Is the relationship between housing price and banking debt symmetric or non-symmetric? evidence from Malaysia based on NARDL," MPRA Paper 94685, University Library of Munich, Germany.
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• Anne Opschoor & André Lucas & István Barra & Dick van Dijk, 2021. "Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1066-1079, October.
  • Anne Opschoor & André Lucas & Istvan Barra & Dick van Dijk, 2019. "Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings," Tinbergen Institute Discussion Papers 19-013/IV, Tinbergen Institute, revised 23 Oct 2019.
• Anne Opschoor & André Lucas, 2019. "Time-varying tail behavior for realized kernels," Tinbergen Institute Discussion Papers 19-051/IV, Tinbergen Institute.
• Anne Opschoor & André Lucas, 2019. "Observation-driven Models for Realized Variances and Overnight Returns," Tinbergen Institute Discussion Papers 19-052/IV, Tinbergen Institute.
• Borowska, Agnieszka & Hoogerheide, Lennart & Koopman, Siem Jan & van Dijk, Herman K., 2020. "Partially censored posterior for robust and efficient risk evaluation," Journal of Econometrics, Elsevier, vol. 217(2), pages 335-355.
  • Agnieszka Borowska & Lennart Hoogerheide & Siem Jan Koopman & Herman K. van Dijk, 2019. "Partially Censored Posterior for robust and efficient risk evaluation," Working Paper 2019/12, Norges Bank.
  • Agnieszka Borowska & Lennart Hoogerheide & Siem Jan Koopman & Herman van Dijk, 2019. "Partially Censored Posterior for Robust and Efficient Risk Evaluation," Tinbergen Institute Discussion Papers 19-057/III, Tinbergen Institute.
• Sander Barendse & Erik Kole & Dick van Dijk, 2023. "Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error," Journal of Financial Econometrics, Oxford University Press, vol. 21(2), pages 528-568.
  • Sander Barendse & Erik Kole & Dick van Dijk, 2019. "Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error," Tinbergen Institute Discussion Papers 19-058/III, Tinbergen Institute.
• Almeida, Caio & Ardison, Kym & Garcia, René, 2020. "Nonparametric assessment of hedge fund performance," Journal of Econometrics, Elsevier, vol. 214(2), pages 349-378.
  • Almeida, Caio & Ardison, Kim & Garcia, René, 2019. "Nonparametric Assessment of Hedge Fund Performance," TSE Working Papers 19-1024, Toulouse School of Economics (TSE).
  • Caio Almeida & Kim Ardison & René Garcia, 2020. "Nonparametric Assessment of Hedge Fund Performance," Post-Print hal-02550789, HAL.
• Audrone Virbickaite & Christoph Frey & Demian N. Macedo, 2019. "Sequential Stock Return Prediction Through Copulas," DEA Working Papers 91, Universitat de les Illes Balears, Departament d'Economía Aplicada.
• Abhinav Anand & John Cotter, 2019. "Integration Among US Banks," Working Papers 201913, Geary Institute, University College Dublin.
• Laura Garcia-Jorcano & Alfonso Novales, 2020. "A dominance approach for comparing the performance of VaR forecasting models," Computational Statistics, Springer, vol. 35(3), pages 1411-1448, September.
  • Laura Garcia-Jorcano & Alfonso Novales, 2019. "A dominance approach for comparing the performance of VaR forecasting models," Documentos de Trabajo del ICAE 2019-23, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Alfonso Novales & Alvaro Chamizo, 2019. "Splitting Credit Risk into Systemic, Sectorial and Idiosyncratic Components," JRFM, MDPI, vol. 12(3), pages 1-33, August.
  • Álvaro Chamizo & Alfonso Novales, 2019. "Splitting credit risk into systemic, sectorial and idiosyncratic components," Documentos de Trabajo del ICAE 2019-30, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Moreno, Manuel & Novales, Alfonso & Platania, Federico, 2018. "A term structure model under cyclical fluctuations in interest rates," Economic Modelling, Elsevier, vol. 72(C), pages 140-150.
  • Manuel Moreno & Alfonso Novales & Federico Platania, 2019. "A term structure model under cyclical fluctuations in interest rates," Documentos de Trabajo del ICAE 2019-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Asim Rafiq & Shahbib Hassan, 2019. "Macro-Economic Determinant And Interdependence Of The Stock Markets," Economic Journal of Emerging Markets, Universitas Islam Indonesia, vol. 11(1), pages 104-112, April.
• Mohamed Chikhi & Claude Diebolt, 2019. "Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors," Working Papers 03-19, Association Française de Cliométrie (AFC).
  • Mohamed Chikhi & Claude Diebolt, 2019. "Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors," Working Papers of BETA 2019-06, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
• Mohamed CHIKHI & Claude DIEBOLT & Tapas MISHRA, 2019. "Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model," Working Papers 07-19, Association Française de Cliométrie (AFC).
  • Mohamed Chikhi & Claude Diebolt & Tapas Mishra, 2019. "Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model," Working Papers of BETA 2019-24, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
• Gaye Del Lo, 2019. "About the relationship between renewable energy and oil markets," Working Papers of BETA 2019-31, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
• Mohamed CHIKHI & Claude DIEBOLT & Tapas MISHRA, 2019. "Does Predictive Ability of an Asset Price Rest in 'Memory'? Insights from a New Approach," Working Papers of BETA 2019-43, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
• Fousseni Chabi-Yo & Markus Huggenberger & Florian Weigert, 2019. "Multivariate Crash Risk," Working Papers on Finance 1901, University of St. Gallen, School of Finance.
• Kang, Boda & Nikitopoulos, Christina Sklibosios & Prokopczuk, Marcel, 2020. "Economic determinants of oil futures volatility: A term structure perspective," Energy Economics, Elsevier, vol. 88(C).
  • Boda Kang & Christina Sklibosios Nikitopoulos & Marcel Prokopczuk, 2019. "Economic Determinants of Oil Futures Volatility: A Term Structure Perspective," Research Paper Series 401, Quantitative Finance Research Centre, University of Technology, Sydney.
• Szubzda Filip & Chlebus Marcin, 2019. "Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions," Central European Economic Journal, Sciendo, vol. 6(53), pages 70-85, January.
  • Szubzda Filip & Chlebus Marcin, 2019. "Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions," Central European Economic Journal, Sciendo, vol. 6(53), pages 70-85, January.
• Szubzda Filip & Chlebus Marcin, 2019. "Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions," Central European Economic Journal, Sciendo, vol. 6(53), pages 70-85, January.
  • Szubzda Filip & Chlebus Marcin, 2019. "Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions," Central European Economic Journal, Sciendo, vol. 6(53), pages 70-85, January.
• Jańska Anna & Kędra Arleta, 2019. "Factors Determining the Purchase of Insurance Products," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 23(1), pages 19-28, March.
• Jańska Anna & Kędra Arleta, 2019. "Factors Determining the Purchase of Insurance Products," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 23(1), pages 19-28, March.
• Szczepocki Piotr, 2019. "Clustering Companies Listed on the Warsaw Stock Exchange According to Time-Varying Beta," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 23(2), pages 63-79, June.
• Senarathne Chamil W. & Šoja Tijana, 2019. "Heteroskedasticity in Excess Bitcoin Return Data: Google Trend vs. Garch Effects," Financial Sciences. Nauki o Finansach, Sciendo, vol. 24(3), pages 35-45, September.
• Senarathne Chamil W., 2019. "The Impact of Internet Information Flow Regarding ‘Innovation’ on Common Stock Returns: Volume vs Google Search Quarries," Management of Sustainable Development, Sciendo, vol. 11(1), pages 43-49, June.
• Nageri Kamaldeen Ibraheem, 2019. "Evaluating Good and Bad News During Pre and Post Financial Meltdown: Nigerian Stock Market Evidence," Studia Universitatis Babeș-Bolyai Oeconomica, Sciendo, vol. 64(3), pages 1-22, December.
• Nageri Kamaldeen Ibraheem & Abdulkadir Rihanat Idowu, 2019. "Is the Nigerian Stock Market Efficient? Pre and Post 2007-2009 Meltdown Analysis," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 29(3), pages 38-63, September.
• Mateusz BuczyÅ„ski & Marcin Chlebus, . "Old-fashioned parametric models are still the best: a comparison of value-at-risk approaches in several volatility states," Journal of Risk Model Validation, Journal of Risk Model Validation.
  • Mateusz Buczyński & Marcin Chlebus, 2019. "Old-fashioned parametric models are still the best. A comparison of Value-at-Risk approaches in several volatility states," Working Papers 2019-12, Faculty of Economic Sciences, University of Warsaw.
• Dinghai Xu, 2021. "A study on volatility spurious almost integration effect: A threshold realized GARCH approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4104-4126, July.
  • Dinghai Xu, 2019. "A Study on Volatility Spurious Almost Integration Effect: A Threshold Realized GARCH Approach," Working Papers 1903, University of Waterloo, Department of Economics, revised Dec 2019.
• C. Gouriéroux & A. Monfort & J.‐M. Zakoïan, 2019. "Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations," Econometrica, Econometric Society, vol. 87(1), pages 327-345, January.
  • Gouriéroux, Christian & Monfort, Alain & Zakoian, Jean-Michel, 2018. "Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations," MPRA Paper 87834, University Library of Munich, Germany.
  • Christian Gouriéroux & Alain Monfort & Jean-Michel Zakoian, 2018. "Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations," Working Papers 2018-08, Center for Research in Economics and Statistics.
• Xin Jin & John M. Maheu & Qiao Yang, 2019. "Bayesian parametric and semiparametric factor models for large realized covariance matrices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 641-660, August.
  • Jin, Xin & Maheu, John M & Yang, Qiao, 2017. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," MPRA Paper 81920, University Library of Munich, Germany.
  • Xin Jin & John M. Maheu & Qiao Yang, 2018. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," Working Paper series 18-02, Rimini Centre for Economic Analysis.
• Rangan Gupta & Tahir Suleman & Mark E. Wohar, 2019. "The role of time‐varying rare disaster risks in predicting bond returns and volatility," Review of Financial Economics, John Wiley & Sons, vol. 37(3), pages 327-340, July.
  • Rangan Gupta & Tahir Suleman & Mark E. Wohar, 2017. "The Role of Time-Varying Rare Disaster Risks in Predicting Bond Returns and Volatility," Working Papers 201770, University of Pretoria, Department of Economics.
• Robert Jarrow & Arkadev Chatterjea, 2019. "An Introduction to Derivative Securities, Financial Markets, and Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number y0018, February.
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Derivatives and Risk Management," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 1, pages 2-21, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Interest Rates," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 2, pages 22-52, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Stocks," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 3, pages 53-71, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Forwards and Futures," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 4, pages 72-91, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Options," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 5, pages 92-111, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Arbitrage and Trading," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 6, pages 112-128, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Financial Engineering and Swaps," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 7, pages 129-151, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Forwards and Futures Markets," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 8, pages 154-171, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Futures Trading," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 9, pages 172-191, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Futures Regulations," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 10, pages 192-208, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "The Cost-of-Carry Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 11, pages 209-228, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "The Extended Cost-of-Carry Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 12, pages 229-255, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Futures Hedging," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 13, pages 256-285, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Options Markets and Trading," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 14, pages 288-309, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Option Trading Strategies," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 15, pages 310-335, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Option Relations," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 16, pages 336-366, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Single-Period Binomial Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 17, pages 367-391, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Multiperiod Binomial Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 18, pages 392-421, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "The Black–Scholes–Merton Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 19, pages 422-461, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Using the Black–Scholes–Merton Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 20, pages 462-493, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Yields and Forward Rates," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 21, pages 496-537, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Interest Rate Swaps," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 22, pages 538-557, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Single-Period Binomial Heath–Jarrow–Morton Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 23, pages 558-591, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Multiperiod Binomial HJM Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 24, pages 592-617, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "The Heath–Jarrow–Morton Libor Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 25, pages 618-654, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Risk Management Models," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 26, pages 655-683, World Scientific Publishing Co. Pte. Ltd..
• Fischer, Henning & Stolper, Oscar, 2019. "The nonlinear dynamics of corporate bond spreads: Regime-dependent effects of their determinants," Discussion Papers 08/2019, Deutsche Bundesbank.
• Dumitru, Ana-Maria & Hizmeri, Rodrigo & Izzeldin, Marwan, 2019. "Forecasting the Realized Variance in the Presence of Intraday Periodicity," EconStor Preprints 193631, ZBW - Leibniz Information Centre for Economics.
• Dumitru, Ana-Maria & Holden, Thomas, 2019. "Quantifying the transmission of European sovereign default risk," EconStor Preprints 193632, ZBW - Leibniz Information Centre for Economics.
• Pele, Daniel Traian & Mazurencu-Marinescu-Pele, Miruna, 2019. "Metcalfe's law and herding behaviour in the cryptocurrencies market," Economics Discussion Papers 2019-16, Kiel Institute for the World Economy (IfW Kiel).
• Śmiech, Sławomir & Papież, Monika & Fijorek, Kamil & Dąbrowski, Marek A., 2019. "What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-32.
  • Śmiech, Sławomir & Papież, Monika & Dąbrowski, Marek A. & Fijorek, Kamil, 2018. "What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets," Economics Discussion Papers 2018-55, Kiel Institute for the World Economy (IfW Kiel).
• Pele, Daniel Traian & Mazurencu-Marinescu-Pele, Miruna, 2019. "Metcalfe's law and log-period power laws in the cryptocurrencies market," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-26.
• Qian, Ya & Tu, Jun & Härdle, Wolfgang Karl, 2019. "Information Arrival, News Sentiment, Volatilities and Jumps of Intraday Returns," IRTG 1792 Discussion Papers 2019-002, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Christian Conrad & Melanie Schienle, 2020. "Testing for an Omitted Multiplicative Long-Term Component in GARCH Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 229-242, April.
  • Conrad, Christian & Schienle, Melanie, 2019. "Testing for an omitted multiplicative long-term component in GARCH models," Working Paper Series in Economics 121, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Carsten Bormann & Melanie Schienle, 2020. "Detecting Structural Differences in Tail Dependence of Financial Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 380-392, April.
  • Bormann, Carsten & Schienle, Melanie, 2019. "Detecting structural differences in tail dependence of financial time series," Working Paper Series in Economics 122, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Buse, Rebekka & Schienle, Melanie, 2019. "Measuring connectedness of euro area sovereign risk," International Journal of Forecasting, Elsevier, vol. 35(1), pages 25-44.
  • Buse, Rebekka & Schienle, Melanie, 2019. "Measuring connectedness of euro area sovereign risk," Working Paper Series in Economics 123, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Verena Monschang & Bernd Wilfling, 2021. "Sup-ADF-style bubble-detection methods under test," Empirical Economics, Springer, vol. 61(1), pages 145-172, July.
  • Verena Monschang & Bernd Wilfling, 2019. "Sup-ADF-style bubble-detection methods under test," CQE Working Papers 7819, Center for Quantitative Economics (CQE), University of Muenster.
  • Monschang, Verena & Wilfling, Bernd, 2019. "Sup-ADF-style bubble detection methods under test," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203568, Verein für Socialpolitik / German Economic Association.
• Olivier Ledoit & Michael Wolf, 2019. "The power of (non-)linear shrinking: a review and guide to covariance matrix estimation," ECON - Working Papers 323, Department of Economics - University of Zurich, revised Feb 2020.
• Zhao Zhao & Olivier Ledoit & Hui Jiang, 2019. "Risk reduction and efficiency increase in large portfolios: leverage and shrinkage," ECON - Working Papers 328, Department of Economics - University of Zurich, revised Jan 2020.
• Rangan Gupta & Chi Keung Marco Lau & Seong-Min Yoon, 2019. "OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(4), pages 1-23, December.
  • Rangan Gupta & Chi Keung Marco Lau & Seong-Min Yoon, 2017. "OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration," Working Papers 201754, University of Pretoria, Department of Economics.
• Monica Billio & Roberto Casarin & Michele Costola & Lorenzo Frattarolo, 2019. "Opinion Dynamics and Disagreements on Financial Networks," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(4), pages 24-51, December.
• Federico Carlini & Paolo Santucci de Magistris, 2019. "Resuscitating the co-fractional model of Granger (1986)," CREATES Research Papers 2019-02, Department of Economics and Business Economics, Aarhus University.
• Kristoffer Pons Bertelsen, 2019. "Comparing Tests for Identification of Bubbles," CREATES Research Papers 2019-16, Department of Economics and Business Economics, Aarhus University.
• Bernardina Algieri & Matthias Kalkuhl, 2019. "Efficiency and Forecast Performance of Commodity Futures Markets," American Journal of Economics and Business Administration, Science Publications, vol. 11(1), pages 19-34, June.
• Önder Büberkökü & Simge Tüzün Şahmaroğlu & Akın Akar, 2019. "Portfolio Risk Analysis: Evidence From International Stock Markets," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 34(112), pages 199-224, October.
• Ayten Çetin & Nadira Seyidova, 2019. "Econometrical Analysis of the Impact of Banking Sector on the Environment in Turkey in Terms of Environmental Kuznets Curve Hypothesis," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 34(112), pages 57-76, October.
• Mohamed Chikhi & Claude Diebolt, 2019. "Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors," Working Papers of BETA 2019-06, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
  • Mohamed Chikhi & Claude Diebolt, 2019. "Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors," Working Papers 03-19, Association Française de Cliométrie (AFC).
• Mohamed Chikhi & Claude Diebolt & Tapas Mishra, 2019. "Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model," Working Papers of BETA 2019-24, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
  • Mohamed CHIKHI & Claude DIEBOLT & Tapas MISHRA, 2019. "Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model," Working Papers 07-19, Association Française de Cliométrie (AFC).
• Rangan Gupta & Chi Keung Marco Lau & Seong-Min Yoon, 2019. "OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(4), pages 1-23, December.
  • Rangan Gupta & Chi Keung Marco Lau & Seong-Min Yoon, 2019. "OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration," International Association of Decision Sciences, Asia University, Taiwan, vol. 23(4), pages 1-23, December.
  • Rangan Gupta & Chi Keung Marco Lau & Seong-Min Yoon, 2017. "OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration," Working Papers 201754, University of Pretoria, Department of Economics.
• Monica Billio & Roberto Casarin & Michele Costola & Lorenzo Frattarolo, 2019. "Opinion Dynamics and Disagreements on Financial Networks," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(4), pages 24-51, December.
  • Monica Billio & Roberto Casarin & Michele Costola & Lorenzo Frattarolo, 2019. "Opinion Dynamics and Disagreements on Financial Networks," International Association of Decision Sciences, Asia University, Taiwan, vol. 23(4), pages 24-51, December.
• Hafner, Christian M. & Linton, Oliver B. & Tang, Haihan, 2020. "Estimation of a multiplicative correlation structure in the large dimensional case," Journal of Econometrics, Elsevier, vol. 217(2), pages 431-470.
  • Hafner, C. & Linton, O. & Tang, H., 2018. "Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case," Cambridge Working Papers in Economics 1878, Faculty of Economics, University of Cambridge.
  • Hafner, Christian & Linton, Oliver & Tang, Haihan, 2020. "Estimation of a multiplicative correlation structure in the large dimensional case," LIDAM Reprints ISBA 2020028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Andres Fioriti, Fernando Andres Delbianco, 2019. "Dependence of Latin America external sector on commodity prices. A contemporaneity analysis using a descriptive approach," Económica, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 65, pages 173-200, January-D.
  • Andres Fioriti & Fernando Andres Delbianco, 2019. "Dependence of Latin America external sector on commodity prices. A contemporaneity analysis using a descriptive approach," Económica, Instituto de Investigaciones Económicas, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 65, pages 173-200, January-D.
• Farwa Abbas & Ahsan Ul Haq Satti, 2019. "Empirical Analysis of Effects of Expected Inflation on Stock Returns," Pakistan Journal of Economic Studies, Department of Economics, The Islamia University of Bahawalpur, Pakistan., vol. 2(1), pages 71-98, June.
• Andrea Bucci & Giulio Palomba & Eduardo Rossi, 2019. "Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach," Working Papers 440, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
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  • Dunne, Peter G., 2018. "Positive liquidity spillovers from sovereign bond-backed securities," ESRB Working Paper Series 67, European Systemic Risk Board.
  • Dunne, Peter G., 2018. "Positive Liquidity Spillovers from Sovereign Bond-Backed Securities," Research Technical Papers 5/RT/18, Central Bank of Ireland.
• Michael McAleer, 2019. "What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity, and (Non-) Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model," JRFM, MDPI, vol. 12(2), pages 1-9, April.
  • Michael McAleer, 2019. "What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model," Documentos de Trabajo del ICAE 2019-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • McAleer, M.J., 2019. "What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model," Econometric Institute Research Papers EI2019-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Michael McAleer, 2019. "What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity and (Non-) Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model," JRFM, MDPI, vol. 12(2), pages 1-7, April.
  • McAleer, M.J., 2019. "What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model," Econometric Institute Research Papers EI2019-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer, 2019. "What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model," Documentos de Trabajo del ICAE 2019-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Alfonso Novales & Alvaro Chamizo, 2019. "Splitting Credit Risk into Systemic, Sectorial and Idiosyncratic Components," JRFM, MDPI, vol. 12(3), pages 1-33, August.
  • Álvaro Chamizo & Alfonso Novales, 2019. "Splitting credit risk into systemic, sectorial and idiosyncratic components," Documentos de Trabajo del ICAE 2019-30, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Vásquez Cordano, Arturo Leonardo, 2019. "Evaluación del impacto económico de las interrupciones en el transporte de gas natural en el Perú," Documentos de Trabajo 003, Escuela de Postgrado GERENS.
• Ioannis Kyriakou & Parastoo Mousavi & Jens Perch Nielsen & Michael Scholz, 2019. "Machine Learning for Forecasting Excess Stock Returns The Five-Year-View," Graz Economics Papers 2019-06, University of Graz, Department of Economics.
• Enno Mammen & Jens Perch Nielsen & Michael Scholz & Stefan Sperlich, 2019. "Conditional variance forecasts for long-term stock returns," Graz Economics Papers 2019-08, University of Graz, Department of Economics.
• Gatfaoui, Hayette, 2019. "Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures," Energy Economics, Elsevier, vol. 80(C), pages 132-152.
  • Hayette Gatfaoui, 2018. "Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures," Papers 1811.02382, arXiv.org.
  • Hayette Gatfaoui, 2019. "Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures," Post-Print hal-02115626, HAL.
• Hernandez, Jose Areola & Shahzad, Syed Jawad Hussain & Uddin, Gazi Salah & Kang, Sang Hoon, 2019. "Can agricultural and precious metal commodities diversify and hedge extreme downside and upside oil market risk? An extreme quantile approach," Resources Policy, Elsevier, vol. 62(C), pages 588-601.
  • Jose Areola Hernandez & Syed Jawad Hussain Shahzad & Gazi Salah Uddin & Sang Hoon Kang, 2019. "Can agricultural and precious metal commodities diversify and hedge extreme downside and upside oil market risk? An extreme quantile approach," Post-Print hal-02159274, HAL.
• Hoang, Thi-Hong-Van & Zhu, Zhenzhen & El Khamlichi, Abdelbari & Wong, Wing-Keung, 2019. "Does the Shari’ah screening impact the gold-stock nexus? A sectorial analysis," Resources Policy, Elsevier, vol. 61(C), pages 617-626.
  • Thi-Hong-Van Hoang & Zhenzhen Zhu & Abdelbari El Khamlichi & Wing-Keung Wong, 2019. "Does the Shari’ah screening impact the gold-stock nexus? A sectorial analysis," Post-Print hal-02179795, HAL.
• Bouoiyour, Jamal & Selmi, Refk & Hammoudeh, Shawkat & Wohar, Mark E., 2019. "What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats?," Energy Economics, Elsevier, vol. 84(C).
  • Jamal Bouoiyour & Refk Selmi & Shawkat Hammoudeh & Mark E Wohar, 2019. "What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats?," Post-Print hal-02409062, HAL.
• Kang, Sang Hoon & Arreola Hernandez, Jose & Yoon, Seong-Min, 2019. "Who leads the inflation cycle in Europe? Inflation cycle and spillover influence among Eurozone and non-Eurozone economies," International Economics, Elsevier, vol. 160(C), pages 56-71.
  • Sang Hoon Kang & Jose Arreola Hernandez & Seong-Min Yoon, 2019. "Who leads the inflation cycle in Europe? Inflation cycle and spillover influence among Eurozone and non-Eurozone economies," International Economics, CEPII research center, issue 160, pages 56-71.
  • Sang Hoon Kang & Jose Arreola Hernandez & Seong-Min Yoon, 2019. "Who leads the inflation cycle in Europe? Inflation cycle and spillover influence among Eurozone and non-Eurozone economies," Post-Print hal-02430651, HAL.
• Kang, Sang Hoon & McIver, Ron P. & Hernandez, Jose Arreola, 2019. "Co-movements between Bitcoin and Gold: A wavelet coherence analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  • Sang Hoon Kang & Ron Mciver & Jose Arreola Hernandez, 2019. "Co-movements between Bitcoin and Gold: A wavelet coherence analysis," Post-Print hal-02468160, HAL.
• Abid, Ilyes & Dhaoui, Abderrazak & Goutte, Stéphane & Guesmi, Khaled, 2019. "Contagion and bond pricing: The case of the ASEAN region," Research in International Business and Finance, Elsevier, vol. 47(C), pages 371-385.
  • Ilyes Abid & Abderrazak Dhaoui & Stéphane Goutte & Khaled Guesmi, 2019. "Contagion and bond pricing: The case of the ASEAN region," Post-Print halshs-02148928, HAL.
• Becker, Janis & Hollstein, Fabian & Prokopczuk, Marcel & Sibbertsen, Philipp, 2019. "The Memory of Beta Factors," Hannover Economic Papers (HEP) dp-661, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Farago, Adam & Hjalmarsson, Erik, 2019. "Compound Returns," Working Papers in Economics 767, University of Gothenburg, Department of Economics.
• Mikhail Stolbov, 2019. "Constructing a Financial Stress Index for Russia: New Approaches," HSE Economic Journal, National Research University Higher School of Economics, vol. 23(1), pages 32-60.
• Valeria V. Lakshina, 2019. "Do Portfolio Investors Need To Consider The Asymmetry Of Returns On The Russian Stock Market?," HSE Working papers WP BRP 75/FE/2019, National Research University Higher School of Economics.

2018

• Mike K. P. So & Wing Ki Liu & Amanda M. Y. Chu, 2018. "Bayesian Shrinkage Estimation Of Time-Varying Covariance Matrices In Financial Time Series," Advances in Decision Sciences, Asia University, Taiwan, vol. 22(1), pages 369-404, December.
• Isabel Casas & Xiuping Mao & Helena Veiga, 2018. "Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium," CREATES Research Papers 2018-10, Department of Economics and Business Economics, Aarhus University.
• Bu, Ruijun & Hadri, Kaddour & Kristensen, Dennis, 2021. "Diffusion copulas: Identification and estimation," Journal of Econometrics, Elsevier, vol. 221(2), pages 616-643.
  • Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2018. "Diffusion Copulas: Identification and Estimation," Working Papers 20184, University of Liverpool, Department of Economics.
  • Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2020. "Diffusion Copulas: Identification and Estimation," Papers 2005.03513, arXiv.org.
  • Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2018. "Diffusion Copulas: Identification and Estimation," CREATES Research Papers 2018-20, Department of Economics and Business Economics, Aarhus University.
• Kim Christensen & Roel Oomen & Roberto Renò, 2018. "The drift burst hypothesis," CREATES Research Papers 2018-21, Department of Economics and Business Economics, Aarhus University.
• Maxime Morariu-Patrichi & Mikko Pakkanen, 2018. "State-dependent Hawkes processes and their application to limit order book modelling," CREATES Research Papers 2018-26, Department of Economics and Business Economics, Aarhus University.
• Niels S. Grønborg & Asger Lunde & Kasper V. Olesen & Harry Vander Elst, 2018. "Realizing Correlations Across Asset Classes," CREATES Research Papers 2018-37, Department of Economics and Business Economics, Aarhus University.
• Ion Anghel & Marian Siminica & Mirela Cristea & Mirela Sichigea & Gra?iela Georgiana Noja, 2018. "Intellectual Capital and Financial Performance of Biotech Companies in the Pharmaceutical Industry," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 20(49), pages 631-631, August.
• Dingaan Jack Khoza & J.W. Muteba Mwamba, 2018. "Modelling Aggregate Risk of the South African Banking Industry: An Application to Pillar II Economic Capital," The African Finance Journal, Africagrowth Institute, vol. 20(1), pages 39-65.
• Mike K. P. So & Wing Ki Liu & Amanda M. Y. Chu, 2018. "Bayesian Shrinkage Estimation Of Time-Varying Covariance Matrices In Financial Time Series," International Association of Decision Sciences, Asia University, Taiwan, vol. 22(1), pages 369-404, December.
• Darolles, Serge & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Journal of Econometrics, Elsevier, vol. 204(2), pages 223-247.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2016. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590533, HAL.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," AMSE Working Papers 1845, Aix-Marseille School of Economics, France.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590251, HAL.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-01980815, HAL.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590232, HAL.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2017. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590471, HAL.
  • Darolles, Serges & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," MPRA Paper 83988, University Library of Munich, Germany.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2017. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590522, HAL.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," Working Papers halshs-01944656, HAL.
  • Serge Darolles & Christian Francq & Sebastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590180, HAL.
• Dorobanțu Alin Ionuț & Dumitrescu Ioan Alexandru, 2018. "The Analysis Of The Structure Influence And The Financial Balance Of Economic Renewability In The Hotel-Restaurant Sector In Dolj Region," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 1(46), pages 71-80, November.
• Dorobanțu Alin Ionuț & Dumitrescu Ioan Alexandru, 2018. "Analysis Of The Correlation Between Profitability And Risk In The Services Sector In Dolj Region," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 1(46), pages 81-89, November.
• Christian M Hafner, 2020. "Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 233-249.
  • HAFNER Christian,, 2018. "Testing for bubbles in cryptocurrencies with time-varying volatility," LIDAM Discussion Papers CORE 2018019, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Hafner, Christian, 2018. "Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility," LIDAM Reprints ISBA 2018045, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • Christian M. Hafner, 2018. "Testing for bubbles in cryptocurrencies with time-varying volatility," LIDAM Reprints CORE 3025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Hafner, Christian M., 2018. "Testing for bubbles in cryptocurrencies with time-varying volatility," IRTG 1792 Discussion Papers 2018-005, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Milica Latinovic & Vesna Bogojevic Arsic & Milica Bulajic, 2018. "Volatility Spillover Effect in Western Balkans," Acta Oeconomica, Akadémiai Kiadó, Hungary, vol. 68(1), pages 79-100, March.
• H & I & M, 2018. "Theoretical And Practical Aspects Of The Financial Diagnosis For The Romanian Public Institutions," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 2(20), pages 1-7.
• Aurelia Stefanescu & Ileana Cosmina Pitulice & Viorica Georgiana Minzu, 2018. "The Impact of Income Tax Over Financial Performance of Companies Listed on The Bucharest Stock Exchange," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 17(4), pages 626-640, December.
• Guofu Zhou, 2018. "Measuring Investor Sentiment," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 239-259, November.
• Allan Timmermann, 2018. "Forecasting Methods in Finance," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 449-479, November.
• Wang, Hong & Forbes, Catherine S. & Fenech, Jean-Pierre & Vaz, John, 2020. "The determinants of bank loan recovery rates in good times and bad – New evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 177(C), pages 875-897.
  • Hong Wang & Catherine S. Forbes & Jean-Pierre Fenech & John Vaz, 2018. "The determinants of bank loan recovery rates in good times and bad -- new evidence," Monash Econometrics and Business Statistics Working Papers 7/18, Monash University, Department of Econometrics and Business Statistics.
  • Hong Wang & Catherine S. Forbes & Jean-Pierre Fenech & John Vaz, 2018. "The determinants of bank loan recovery rates in good times and bad - new evidence," Papers 1804.07022, arXiv.org.
• Jozef Baruník & Evžen KoÄ enda, 2019. "Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets," The Energy Journal, , vol. 40(2_suppl), pages 157-174, December.
  • Jozef Baruník and Ev~en Kocenda, 2019. "Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Special I).
  • Jozef Barun'ik & Evv{z}en Kov{c}enda, 2018. "Total, asymmetric and frequency connectedness between oil and forex markets," Papers 1805.03980, arXiv.org, revised Feb 2019.
  • Jozef Baruník & Evžen Kocenda, 2019. "Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets," CESifo Working Paper Series 7756, CESifo.
• Jozef Baruník & Matěj Nevrla, 2023. "Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices," Journal of Financial Econometrics, Oxford University Press, vol. 21(5), pages 1590-1646.
  • Jozef Barun'ik & Matv{e}j Nevrla, 2018. "Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices," Papers 1806.06148, arXiv.org, revised Dec 2021.
• Bouoiyour, Jamal & Selmi, Refk & Wohar, Mark E., 2018. "Measuring the response of gold prices to uncertainty: An analysis beyond the mean," Economic Modelling, Elsevier, vol. 75(C), pages 105-116.
  • Jamal Bouoiyour & Refk Selmi & Mark Wohar, 2018. "Measuring the response of gold prices to uncertainty: An analysis beyond the mean," Post-Print hal-01817067, HAL.
  • Jamal Bouoiyour & Refk Selmi & Mark Wohar, 2018. "Measuring the response of gold prices to uncertainty: An analysis beyond the mean," Papers 1806.07623, arXiv.org.
• Anatolyev, Stanislav & Mikusheva, Anna, 2022. "Factor models with many assets: Strong factors, weak factors, and the two-pass procedure," Journal of Econometrics, Elsevier, vol. 229(1), pages 103-126.
  • Stanislav Anatolyev & Anna Mikusheva, 2018. "Factor models with many assets: strong factors, weak factors, and the two-pass procedure," Papers 1807.04094, arXiv.org, revised Apr 2019.
• Beutner, Eric & Heinemann, Alexander & Smeekes, Stephan, 2024. "A residual bootstrap for conditional Value-at-Risk," Journal of Econometrics, Elsevier, vol. 238(2).
  • Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2018. "A Residual Bootstrap for Conditional Value-at-Risk," Papers 1808.09125, arXiv.org, revised Aug 2023.
• Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2020. "Spanning tests for Markowitz stochastic dominance," Journal of Econometrics, Elsevier, vol. 217(2), pages 291-311.
  • Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2018. "Spanning tests for markowitz stochastic dominance," Working Papers unige:102836, University of Geneva, Geneva School of Economics and Management.
  • Stelios Arvanitis & Olivier Scaillet & Nikolas Topaloglou, 2018. "Spanning Tests for Markowitz Stochastic Dominance," Papers 1810.10800, arXiv.org.
  • Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou, 2018. "Spanning Tests for Markowitz Stochastic Dominance," Swiss Finance Institute Research Paper Series 18-08, Swiss Finance Institute.
• Gatfaoui, Hayette, 2019. "Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures," Energy Economics, Elsevier, vol. 80(C), pages 132-152.
  • Hayette Gatfaoui, 2018. "Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures," Papers 1811.02382, arXiv.org.
  • Hayette Gatfaoui, 2019. "Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures," Post-Print hal-02115626, HAL.
• Bastianin, Andrea & Manera, Matteo, 2018. "How Does Stock Market Volatility React To Oil Price Shocks?," Macroeconomic Dynamics, Cambridge University Press, vol. 22(3), pages 666-682, April.
  • Andrea BASTIANIN & Matteo MANERA, 2015. "How Does Stock Market Volatility React to Oil Shocks?," Departmental Working Papers 2015-09, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
  • Andrea Bastianin & Matteo Manera, 2018. "How does stock market volatility react to oil shocks?," Papers 1811.03820, arXiv.org.
  • Andrea Bastianin & Matteo Manera, 2015. "How Does Stock Market Volatility React to Oil Shocks?," Working Papers 2014.110, Fondazione Eni Enrico Mattei.
  • Bastianin, Andrea & Manera, Matteo, 2015. "How Does Stock Market Volatility React to Oil Shocks?," Energy: Resources and Markets 196919, Fondazione Eni Enrico Mattei (FEEM).
• Barigozzi, Matteo & Hallin, Marc, 2020. "Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals," Journal of Econometrics, Elsevier, vol. 216(1), pages 4-34.
  • Matteo Barigozzi & Marc Hallin, 2018. "Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals," Working Papers ECARES 2018-33, ULB -- Universite Libre de Bruxelles.
  • Matteo Barigozzi & Marc Hallin, 2018. "Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals," Papers 1811.10045, arXiv.org, revised Jul 2019.
• Francisco Blasques & Vladim'ir Hol'y & Petra Tomanov'a, 2018. "Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros," Papers 1812.07318, arXiv.org, revised May 2024.
  • Francisco Blasques & Vladimir Holy & Petra Tomanova, 2019. "Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros," Tinbergen Institute Discussion Papers 19-004/III, Tinbergen Institute.
• Tobias Hartl & Roland Weigand, 2018. "Multivariate Fractional Components Analysis," Papers 1812.09149, arXiv.org, revised Jan 2019.
  • Hartl, Tobias & Weigand, Roland, 2019. "Multivariate Fractional Components Analysis," University of Regensburg Working Papers in Business, Economics and Management Information Systems 38283, University of Regensburg, Department of Economics.
• Jokosenumi Saidat Omolola & Adesete Ahmed Adefemi, 2018. "Modelling the Effect of Stock Market Volatility and Exchange Rate Volatility on Foreign Direct Investment in Nigeria: A New Framework Approach," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 8(12), pages 1482-1505, December.
• Sumeet Roy & Krishna Prasanna, 2018. "Validity of Expectation Hypothesis: Information Content of Term Structure," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 8(6), pages 762-774, June.
• Ganna Kornienko & Mykola Chabanenko & Yulia Leheza, 2018. "Assessment Of The Economic Efficiency Of It Application At Enterprises," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", vol. 4(3).
• Hong Thai Le & Marta Disegna, 2018. "Responses of macroeconomy and stock markets to structural oil price shocks: New evidence from Asian oil refinery," BAFES Working Papers BAFES25, Department of Accounting, Finance & Economic, Bournemouth University.
• Héctor Pérez Saiz & Blair Williams & Gabriel Xerri, 2018. "Tail Risk in a Retail Payment System: An Extreme-Value Approach," Discussion Papers 18-2, Bank of Canada.
• Héctor Pérez Saiz & Siddharth Untawala & Gabriel Xerri, 2018. "A Calibrated Model of Intraday Settlement," Discussion Papers 18-3, Bank of Canada.
• Jon Danielsson & Lerby Ergun & Casper G. de Vries, 2018. "Challenges in Implementing Worst-Case Analysis," Staff Working Papers 18-47, Bank of Canada.
• Sara Ferreira Filipe, 2018. "Housing prices and mortgage credit in Luxembourg," BCL working papers 117, Central Bank of Luxembourg.
• Bošnjak Mile & Kordić Gordana & Bilas Vlatka, 2018. "Determinants Of Financial Euroisation In A Small Open Economy: The Case Of Serbia," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 63(218), pages 9-22, July – Se.
• Alexey Vasilenko, 2018. "Systemic Risk and Financial Fragility in the Chinese Economy: A Dynamic Factor Model Approach," Bank of Russia Working Paper Series wps30, Bank of Russia.
• Giampiero M. Gallo & Edoardo Otranto, 2018. "Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 67(3), pages 549-573, April.
  • Giampiero M. Gallo & Edoardo Otranto, 2017. "Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach," Econometrics Working Papers Archive 2017_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
• Baum, Christopher F. & Zerilli, Paola & Chen, Liyuan, 2021. "Stochastic volatility, jumps and leverage in energy and stock markets: Evidence from high frequency data," Energy Economics, Elsevier, vol. 93(C).
  • Christopher F Baum & Paola Zerilli & Liyuan Chen, 2018. "Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data," Boston College Working Papers in Economics 952, Boston College Department of Economics, revised 29 May 2019.
• Chen, Liyuan & Zerilli, Paola & Baum, Christopher F., 2019. "Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications," Energy Economics, Elsevier, vol. 79(C), pages 111-129.
  • Liyuan Chen & Paola Zerilli & Christopher F Baum, 2018. "Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications," Boston College Working Papers in Economics 953, Boston College Department of Economics.
• Lloyd, Simon P., 2020. "Estimating nominal interest rate expectations: Overnight indexed swaps and the term structure," Journal of Banking & Finance, Elsevier, vol. 119(C).
  • Lloyd, S. P., 2017. "Estimating Nominal Interest Rate Expectations: Overnight Indexed Swaps and the Term Structure," Cambridge Working Papers in Economics 1734, Faculty of Economics, University of Cambridge.
  • Simon Lloyd, 2018. "Estimating nominal interest rate expectations: overnight indexed swaps and the term structure," Bank of England working papers 763, Bank of England.
• Faria, Gonçalo & Verona, Fabio, 2018. "The equity risk premium and the low frequency of the term spread," Research Discussion Papers 7/2018, Bank of Finland.
• Cheonggu Cho, 2018. "Structural Relationships between Equity Flows, Stock Prices and Exchange Rate (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 24(2), pages 89-129, June.
• Rubaiyat Ahsan Bhuiyan & Maya Puspa Rahman & Buerhan Saiti & Gairuzazmi Mat Ghani, 2018. "Financial integration between sukuk and bond indices of emerging markets: Insights from wavelet coherence and multivariate-GARCH analysis," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 18(3), pages 218-230, September.
• Rania Zghal & Ahmed Ghorbel & Mohamed Triki, 2018. "Dynamic model for hedging of the European stock sector with credit default swaps and EURO STOXX 50 volatility index futures," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 18(4), pages 312-328, December.
• Lya Paola Sierra & Luis Eduardo Girón & Victor Girón & Andrés Girón, 2018. "What is the Spillover Effect of the U.S. Equity and Money Market on the Key Latin American Agricultural Exports?," Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., vol. 18(4), pages 1-9, December.
  • Sierra Lya Paola & Girón Luis Eduardo & Girón Victor & Girón Andrés, 2018. "What is the Spillover Effect of the U.S. Equity and Money Market on the Key Latin American Agricultural Exports?," Global Economy Journal, De Gruyter, vol. 18(4), pages 1-9, December.
• Mazur Błażej & Pipień Mateusz, 2018. "Time-varying asymmetry and tail thickness in long series of daily financial returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-21, December.
• Prono Todd, 2018. "Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-25, December.
• Anna Gloria Billé & Leopoldo Catania, 2018. "Dynamic Spatial Autoregressive Models with Time-varying Spatial Weighting Matrices," BEMPS - Bozen Economics & Management Paper Series BEMPS55, Faculty of Economics and Management at the Free University of Bozen.
• Hong, Seok Young & Linton, Oliver, 2020. "Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff," Journal of Econometrics, Elsevier, vol. 219(2), pages 389-424.
  • Hong, S-Y. & Linton, O., 2018. "Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff," Cambridge Working Papers in Economics 1877, Faculty of Economics, University of Cambridge.
• Hafner, Christian M. & Linton, Oliver B. & Tang, Haihan, 2020. "Estimation of a multiplicative correlation structure in the large dimensional case," Journal of Econometrics, Elsevier, vol. 217(2), pages 431-470.
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• Alper Ozun & Hasan Murat Ertugrul & Yener Coskun, 2018. "A dynamic model for housing price spillovers with an evidence from the US and the UK markets," Journal of Capital Markets Studies, Emerald Group Publishing Limited, vol. 2(1), pages 70-81, April.
• Prem Sikka, 2018. "Combating corporate tax avoidance by requiring large companies to file their tax returns," Journal of Capital Markets Studies, Emerald Group Publishing Limited, vol. 2(1), pages 9-20, March.
• Muhammad Rizky Prima Sakti & Mansur Masih & Buerhan Saiti & Mohammad Ali Tareq, 2018. "Unveiling the diversification benefits of Islamic equities and commodities: Evidence from multivariate-GARCH and continuous wavelet analysis," Managerial Finance, Emerald Group Publishing, vol. 44(6), pages 830-850, June.
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• Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "An Event Study of Chinese Tourists to Taiwan," Tinbergen Institute Discussion Papers 18-003/III, Tinbergen Institute.
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  • Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "An event study of chinese tourists to Taiwan," Documentos de Trabajo del ICAE 2018-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chia-Lin Chang & Te-Ke Mai & Michael Mcaleer, 2018. "Pricing Carbon Emissions In China," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 1-37, September.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Pricing Carbon Emissions in China," Tinbergen Institute Discussion Papers 18-001/III, Tinbergen Institute.
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  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Pricing carbon emissions in China," Documentos de Trabajo del ICAE 2018-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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  • Chia-Lin Chang & Michael McAleer, 2018. "The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions," Tinbergen Institute Discussion Papers 17-015/III, Tinbergen Institute.
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• Jukka Ilomaki & Hannu Laurila & Michael McAleer, 2018. "Simple Market Timing with Moving Averages," Tinbergen Institute Discussion Papers 18-048/III, Tinbergen Institute.
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• Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Documentos de Trabajo del ICAE 2018-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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• Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Documentos de Trabajo del ICAE 2018-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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  • Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Tinbergen Institute Discussion Papers 18-047/III, Tinbergen Institute.
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• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," JRFM, MDPI, vol. 11(4), pages 1-25, September.
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• Chia-Lin Chang & Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018. "Long Run Returns Predictability and Volatility with Moving Averages," Risks, MDPI, vol. 6(4), pages 1-18, September.
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• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," JRFM, MDPI, vol. 11(4), pages 1-25, September.
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• Chia-Lin Chang & Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018. "Long Run Returns Predictability and Volatility with Moving Averages," Risks, MDPI, vol. 6(4), pages 1-18, September.
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• Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2018. "Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 34-62.
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• Claudia Yeap & Simon S Kwok & S T Boris Choy, 2018. "A Flexible Generalized Hyperbolic Option Pricing Model and Its Special Cases," Journal of Financial Econometrics, Oxford University Press, vol. 16(3), pages 425-460.
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• Aleksey Kolokolov & Roberto Renò, 2018. "Efficient Multipowers," Journal of Financial Econometrics, Oxford University Press, vol. 16(4), pages 629-659.
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• Iuga Iulia, 2018. "Does Gross Average Earning Affect Residual Loans in Romania?," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 464-469, July.
• Kralik Lóránd István, 2018. "Conditional Correlation on CEE Stock Markets," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 130-136, December.
• El Jebari, Ouael & Hakmaoui, Abdelati, 2018. "GARCH Family Models vs EWMA: Which is the Best Model to Forecast Volatility of the Moroccan Stock Exchange Market? || Modelos de la familia GARCH vs EWMA: ¿cuál es el mejor modelo para pronosticar la ," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 26(1), pages 237-249, Diciembre.
• Wolfgang Karl Härdle & David Kuo Chuen Lee & Sergey Nasekin & Alla Petukhina, 2018. "Tail Event Driven ASset allocation: evidence from equity and mutual funds’ markets," Journal of Asset Management, Palgrave Macmillan, vol. 19(1), pages 49-63, January.
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• Marcin Chlebus, 2018. "One-day-ahead forecast of state of turbulence based on today's economic situation," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 13(3), pages 357-389, September.
• Alicja Fras, 2018. "The relation between management fees and the mutual funds` performance in Poland in 2015," Oeconomia Copernicana, Institute of Economic Research, vol. 9(2), pages 245-259, June.
• Martin Pazicky, 2018. "The consequences of unconventional monetary policy in euro area in times of monetary easing," Oeconomia Copernicana, Institute of Economic Research, vol. 9(4), pages 581-615, December.
• Nora Abu Asab & Juan Carlos Cuestas & Alberto Montagnoli, 2018. "Inflation targeting or exchange rate targeting: Which framework supports the goal of price stability in emerging market economies?," PLOS ONE, Public Library of Science, vol. 13(8), pages 1-21, August.
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• Aziz, Nur Aziah & Masih, Mansur, 2018. "The determinants of islamic mudharabah interbank investment rate: Malaysia as a case study," MPRA Paper 100263, University Library of Munich, Germany.
• Sucarrat, Genaro, 2018. "The Log-GARCH Model via ARMA Representations," MPRA Paper 100386, University Library of Munich, Germany.
• Zichu, Jin & Masih, Mansur, 2018. "Nexus of infrastructure investment, economic growth and domestic credit level: evidence from China based on nonlinear ARDL approach," MPRA Paper 100595, University Library of Munich, Germany.
• Hashim, Norhaziah & Masih, Mansur, 2018. "The impact of interest rate changes on islamic home financing: Malaysia as a case study," MPRA Paper 100644, University Library of Munich, Germany.
• Hassan, Fatimatul & Masih, Mansur, 2018. "Relationship between crude oil prices and global sukuk (islamic bond) index: evidence from Dow Jones Citygroup sukuk index," MPRA Paper 100689, University Library of Munich, Germany.
• Sapian, Safeza & Masih, Mansur, 2018. "Do macroeconomic factors affect the credit risk of islamic banks? evidence from Malaysia," MPRA Paper 100719, University Library of Munich, Germany.
• Abu Bakr, Norhidayah & Masih, Mansur, 2018. "Are the factors accounting for islamic and conventional bank credit cycles really different ? Malaysian evidence based on two-step GMM approach," MPRA Paper 101110, University Library of Munich, Germany.
• Anuar, Khairul & Masih, Mansur, 2018. "What drives shariah (islamic) stock index? a case study of Malaysia," MPRA Paper 101248, University Library of Munich, Germany.
• Ariffian, Suffian & Masih, Mansur, 2018. "Which islamic equity market is the leading one in Southeast Asia ? evidence from some select equity markets," MPRA Paper 101873, University Library of Munich, Germany.
• Yousef, Mona & Masih, Mansur, 2018. "Dynamics between shariah (islamic) and non-shariah stock market indices: GCC market evidence based on static and dynamic panel techniques," MPRA Paper 101934, University Library of Munich, Germany.
• Liyana, Anis & Masih, Mansur, 2018. "Does unemployment rate lead GDP growth or the other way around ? Malaysia’s case," MPRA Paper 102459, University Library of Munich, Germany.
• Shafaai, Shafizal & Masih, Mansur, 2018. "The dynamics of growth, exports, exchange rate and foreign direct investment: evidence from Malaysia," MPRA Paper 102538, University Library of Munich, Germany.
• Asad, Mohammad & Masih, Mansur, 2018. "Islamic equity market and macroeconomic variables: evidence from the UK," MPRA Paper 102580, University Library of Munich, Germany.
• Fairuz, Sharifah & Masih, Mansur, 2018. "What drives the profit rates of islamic banks ? Malaysia’s case," MPRA Paper 102599, University Library of Munich, Germany.
• Musaeva, Gulzhan & Masih, Mansur, 2018. "Granger-causal relationship between islamic stock markets and oil prices: a case study of Malaysia," MPRA Paper 102862, University Library of Munich, Germany.
• Touati, Fatima & Masih, Mansur, 2018. "What drives the European islamic market: is it the conventional market or the other islamic markets ?," MPRA Paper 102911, University Library of Munich, Germany.
• Jamil, Sakinah & Masih, Mansur, 2018. "Factors influencing shariah (islamic) compliant stock index: Malaysian evidence," MPRA Paper 102953, University Library of Munich, Germany.
• Khalaf, Tasneem & Masih, Mansur, 2018. "Is the relationship between non-performing loans of banks and economic growth asymmetric ? Malaysia’s evidence based on linear and nonlinear ARDL approaches," MPRA Paper 103714, University Library of Munich, Germany.
• Osman, Khairul Nizam & Masih, Mansur, 2018. "Granger-causality of selective Dow Jones islamic and sustainability regional equity indices," MPRA Paper 104185, University Library of Munich, Germany.
• Lajis, Siti & Masih, Mansur, 2018. "Is the islamic equity market independent of the influence of primary commodities ? Malaysian evidence," MPRA Paper 104766, University Library of Munich, Germany.
• Ariffin, Kartina & Masih, Mansur, 2018. "Determinants of islamic banking investment account rates: Malaysia’s evidence," MPRA Paper 104833, University Library of Munich, Germany.
• Gadhoum, Anouar & Masih, Mansur, 2018. "Emerging market equities and US policy uncertainty: evidence from Malaysia based on ARDL," MPRA Paper 105469, University Library of Munich, Germany.
• Aini, Sarah & Masih, Mansur, 2018. "Investigating the major determinants of islamic bank savings: Malaysian evidence," MPRA Paper 105492, University Library of Munich, Germany.
• Rahman, Salman & Masih, Mansur, 2018. "Demography and economic growth from islamic perspective: Malaysia as a case study," MPRA Paper 105595, University Library of Munich, Germany.
• Farid, Hazim & Masih, Mansur, 2018. "Is there any causal link between shariah index and islamic unit trust growth ? Malaysian evidence," MPRA Paper 106226, University Library of Munich, Germany.
• Rahman, Syarifah & Masih, Mansur, 2018. "The vulnerability of Islamic bank’s credit risk to oil price shocks: evidence from Malaysia based on ARDL approach," MPRA Paper 106776, University Library of Munich, Germany.
• Othman, Nurhuda & Masih, Mansur, 2018. "Granger-causality between palm oil, gold and stocks (islamic and conventional): Malaysian evidence based on ARDL approach," MPRA Paper 106777, University Library of Munich, Germany.
• Zain, Syahirah & Masih, Mansur, 2018. "Are profit rates of the islamic investment deposit accounts independent of the interest rates of conventional banks ?," MPRA Paper 106800, University Library of Munich, Germany.
• Rosle, Alia Nadira & Masih, Mansur, 2018. "Can the islamic banks’ credit risk be explained by macroeconomic shocks? evidence from Malaysia," MPRA Paper 107059, University Library of Munich, Germany.
• Tew, Li Mei & Masih, Mansur, 2018. "Google trends search query and islamic stock indices: an analysis of their lead-lag relationship based on the Malaysian data," MPRA Paper 107067, University Library of Munich, Germany.
• Alchaar, Osama & Masih, Mansur, 2018. "Do islamic or conventional mutual funds lead economic growth? evidence from Malaysia," MPRA Paper 107224, University Library of Munich, Germany.
• Ali, Shah & Masih, Mansur, 2018. "The determinants of economic growth: the Malaysian case," MPRA Paper 107859, University Library of Munich, Germany.
• Taher, Sumaiyah & Masih, Mansur, 2018. "Which market is the driver of the Asian stock markets ?," MPRA Paper 107975, University Library of Munich, Germany.
• Azahar, Nurshuhaida & Masih, Mansur, 2018. "The effect of sub-prime crisis on select southeast Asian stock markets," MPRA Paper 108032, University Library of Munich, Germany.
• Robbana, Aroua & Masih, Mansur, 2018. "Lead-lag relationship between remittance and growth: ARDL approach," MPRA Paper 108427, University Library of Munich, Germany.
• Abdul, Salman & Masih, Mansur, 2018. "Relationship between demography and economic growth from the islamic perspective: a case study of Malaysia," MPRA Paper 108463, University Library of Munich, Germany.
• Ghazali, Ummu & Masih, Mansur, 2018. "Should Malaysia depreciate her exchange rate ?," MPRA Paper 108481, University Library of Munich, Germany.
• Samad, Abdul & Masih, Mansur, 2018. "Does institutional quality matter in attracting foreign direct investment? the case of Ethiopia based on ARDL approach," MPRA Paper 108493, University Library of Munich, Germany.
• Azmi, Muhammad Saifullah & Masih, Mansur, 2018. "Does education expenditure lead or lag GDP ? Malaysian evidence," MPRA Paper 108891, University Library of Munich, Germany.
• Haq, Marifatul & Masih, Mansur, 2018. "Macroeconomic determinants of stock markets: Indian case," MPRA Paper 108900, University Library of Munich, Germany.
• Azzi, Abdelkebir & Masih, Mansur, 2018. "Oil price volatility and macroeconomic determinants of growth: evidence from Morocco," MPRA Paper 108943, University Library of Munich, Germany.
• Mahmood, Ilham & Masih, Mansur, 2018. "Is there any long run Granger-causality between economic growth and energy consumption ? evidence from Singapore," MPRA Paper 109225, University Library of Munich, Germany.
• Fadzil, Anas & Masih, Mansur, 2018. "What drives the stock markets ? evidence from India," MPRA Paper 109248, University Library of Munich, Germany.
• Okedina, Jellil & Masih, Mansur, 2018. "The nexus between poverty and crime: evidence from India," MPRA Paper 109263, University Library of Munich, Germany.
• Golding, Khabran & Masih, Mansur, 2018. "Does foreign direct investment lead or lag employment ? an ARDL approach," MPRA Paper 109300, University Library of Munich, Germany.
• Saupi, Nabil & Masih, Mansur, 2018. "Lead-lag between exchange rates and trade balance: Malaysian evidence," MPRA Paper 109874, University Library of Munich, Germany.
• Izyani, Nurul & Masih, Mansur, 2018. "Do the trading partners’ exchange rates impact the export performance of a country? evidence from Malaysia," MPRA Paper 109907, University Library of Munich, Germany.
• Samad, Esma & Masih, Mansur, 2018. "Effects of fiscal components on economic growth: evidence from Malaysia," MPRA Paper 110224, University Library of Munich, Germany.
• Othman, Nooramylia & Masih, Mansur, 2018. "Relation between macro economic variables and government securities: Malaysian case," MPRA Paper 110256, University Library of Munich, Germany.
• Rahim, Adam Mohamed & Masih, Mansur, 2018. "Comovement of stock markets of Singapore and its major Asian trading partners," MPRA Paper 110319, University Library of Munich, Germany.
• Olujobi, Khalilat & Masih, Mansur, 2018. "Does the purchasing power parity theory hold for the exchange rate between the USA and Malaysia ?," MPRA Paper 110332, University Library of Munich, Germany.
• Mazlan, Zuhry & Masih, Mansur, 2018. "Causality between domestic fuel price and economic sectors: evidence from Malaysia," MPRA Paper 110682, University Library of Munich, Germany.
• Baddou, Mehdi & Masih, Mansur, 2018. "What are the factors that drive economic growth? evidence from Turkey," MPRA Paper 111202, University Library of Munich, Germany.
• Ikram, Ahmad & Masih, Mansur, 2018. "Does international trade lead industrial production or the other way around ? evidence from Malaysia," MPRA Paper 111210, University Library of Munich, Germany.
• Rahmani, Halima & Masih, Mansur, 2018. "Does remittance lead or lag exchange rate? evidence from Morocco," MPRA Paper 111220, University Library of Munich, Germany.
• Abubakar, Fahrurrazi & Masih, Mansur, 2018. "Palm oil export : is it price led or exchange rate led? evidence from Malaysia," MPRA Paper 111229, University Library of Munich, Germany.
• Saparova, Nurzhamal & Masih, Mansur, 2018. "Does foreign direct investment lead or lag economic growth ? evidence from Russia," MPRA Paper 111252, University Library of Munich, Germany.
• Naleef, Mohamed & Masih, Mansur, 2018. "Impact of political instability on economic growth, exchange rates and unemployment: Malaysian evidence," MPRA Paper 111652, University Library of Munich, Germany.
• Lengnoo, Hayatee & Masih, Mansur, 2018. "Granger-causality between real exchange rate and economic growth: evidence from Thailand," MPRA Paper 111692, University Library of Munich, Germany.
• Roslan, Syed & Masih, Mansur, 2018. "Savings and bank loans dynamics in implementing the new international accounting standard IFRS-9: Malaysia as a case study," MPRA Paper 111730, University Library of Munich, Germany.
• Aiman, Muhammad & Masih, Mansur, 2018. "Impact of macroeconomic factors on shariah and conventional stocks: Malaysian evidence," MPRA Paper 111736, University Library of Munich, Germany.
• Mukrim, Syahirah & Masih, Mansur, 2018. "Do islamic indices help portfolio diversification ? application of multivariate GARCH and wavelet coherence," MPRA Paper 112099, University Library of Munich, Germany.
• Razak, Najwa & Masih, Mansur, 2018. "The relationship between exchange rate and trade balance: evidence from Malaysia based on ARDL and Nonlinear ARDL approaches," MPRA Paper 112447, University Library of Munich, Germany.
• Haskanbancha, Nazmi & Masih, Mansur, 2018. "Does public infrastructure lead or lag GDP? evidence from Thailand based on NARDL," MPRA Paper 112459, University Library of Munich, Germany.
• Ihsaanul, Ahmad & Masih, Mansur, 2018. "Would the volatility of oil price affect the GDP of a country ? Singaporean evidence," MPRA Paper 112462, University Library of Munich, Germany.
• Mohd, Rafede & Masih, Mansur, 2018. "Testing the asymmetric and lead-lag relationship between CPI and PPI: an application of the ARDL and NARDL approaches," MPRA Paper 112500, University Library of Munich, Germany.
• Hossain, Saddam & Masih, Mansur, 2018. "Is the relationship between FDI and inflation nonlinear and asymmetric? new evidence from NARDL approach," MPRA Paper 112549, University Library of Munich, Germany.
• Adedamola, Qazeem & Mustapha, Ishaq & Masih, Mansur, 2018. "Fresh evidence on growth, expenditure and energy debate: GMM, Quantile and Threshold approaches," MPRA Paper 112885, University Library of Munich, Germany.
• Ahmad, Syafiq & Masih, Mansur, 2018. "The lead-lag relationship between industrial production and international trade: Malaysian evidence," MPRA Paper 114290, University Library of Munich, Germany.
• Shahwahid, Muhammad & Masih, Mansur, 2018. "Macroeconomic determinants of islamic and conventional stocks: Malaysian evidence based on ARDL and NARDL approaches," MPRA Paper 114368, University Library of Munich, Germany.
• Athirah, Wan & Masih, Mansur, 2018. "Is the relationship between lending interest rate and non-performing loans nonlinear asymmetric ? Malaysian evidence," MPRA Paper 114370, University Library of Munich, Germany.
• Leila Dagher & Ibrahim Jamali & Nasser Badra, 2020. "The Predictive Power of Oil and Commodity Prices for Equity Markets," World Scientific Book Chapters, in: Stéphane Goutte & Khaled Guesmi (ed.), Risk Factors and Contagion in Commodity Markets and Stocks Markets, chapter 3, pages 47-82, World Scientific Publishing Co. Pte. Ltd..
  • Dagher, Leila & Jamali, Ibrahim & badra, nasser, 2018. "The Predictive Power of Oil and Commodity Prices for Equity Markets," MPRA Paper 116055, University Library of Munich, Germany.
• Mestiri, Sami & Farhat, Abdejelil, 2018. "Credit Risk Prediction based on Bayesian estimation of logistic regression model with random effects," MPRA Paper 119960, University Library of Munich, Germany.
• Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos, 2018. "Periodicity in Bitcoin returns: A time-varying volatility approach," MPRA Paper 122529, University Library of Munich, Germany, revised 28 Oct 2024.
• Peterson K. Ozili, 2018. "Bank loan loss provisions, investor protection and the macroeconomy," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 13(1), pages 45-65, January.
  • Ozili, Peterson K, 2018. "Bank Loan Loss Provisions, Investor Protection and the Macroeconomy," MPRA Paper 80281, University Library of Munich, Germany.
• Gerlach, Richard & Naimoli, Antonio & Storti, Giuseppe, 2018. "Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting," MPRA Paper 94289, University Library of Munich, Germany.
  • Gerlach, Richard & Naimoli, Antonio & Storti, Giuseppe, 2018. "Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting," MPRA Paper 83893, University Library of Munich, Germany.
• Darolles, Serge & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Journal of Econometrics, Elsevier, vol. 204(2), pages 223-247.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2016. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590533, HAL.
  • Darolles, Serges & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," MPRA Paper 83988, University Library of Munich, Germany.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590251, HAL.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," AMSE Working Papers 1845, Aix-Marseille School of Economics, France.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590232, HAL.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," Working Papers halshs-01944656, HAL.
  • Serge Darolles & Christian Francq & Sebastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590180, HAL.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2017. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590471, HAL.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-01980815, HAL.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2017. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590522, HAL.
• Cerovecki, Clément & Francq, Christian & Hörmann, Siegfried & Zakoïan, Jean-Michel, 2019. "Functional GARCH models: The quasi-likelihood approach and its applications," Journal of Econometrics, Elsevier, vol. 209(2), pages 353-375.
  • Cerovecki, Clément & Francq, Christian & Hormann, Siegfried & Zakoian, Jean-Michel, 2018. "Functional GARCH models: the quasi-likelihood approach and its applications," MPRA Paper 83990, University Library of Munich, Germany.
• He, Zhongfang, 2018. "A Class of Generalized Dynamic Correlation Models," MPRA Paper 84820, University Library of Munich, Germany.
• Bo Tang, 2019. "Does the currency exposure affect stock returns of Chinese automobile firms?," Empirical Economics, Springer, vol. 57(1), pages 53-77, July.
  • Tang, Bo, 2018. "Does the currency exposure affect stock returns of Chinese automobile firms?," MPRA Paper 85125, University Library of Munich, Germany.
• Cassim, Lucius, 2018. "A semi-parametric GARCH (1, 1) estimator under serially dependent innovations," MPRA Paper 86572, University Library of Munich, Germany.
• Cassim, Lucius, 2018. "Modelling asymmetric conditional heteroskedasticity in financial asset returns: an extension of Nelson’s EGARCH model," MPRA Paper 86615, University Library of Munich, Germany.
• Adebumiti, Qazeem & Masih, Mansur, 2018. "Economic growth, energy consumption and government expenditure:evidence from a nonlinear ARDL analysis," MPRA Paper 87527, University Library of Munich, Germany.
• Suwanhirunkul, Suwijak & Masih, Mansur, 2018. "Exchange rate and trade balance linkage: sectoral evidence from Thailand based on nonlinear ARDL," MPRA Paper 87541, University Library of Munich, Germany.
• Bamahriz, Omar & Masih, Mansur, 2018. "Brain drain or brain gain? investigating the diaspora’s effect on the economy and real estate bubble: new evidence from Kenya based on ARDL analysis," MPRA Paper 87556, University Library of Munich, Germany.
• Abu-Bakar, Muhammad & Masih, Mansur, 2018. "Is the oil price pass-through to domestic inflation symmetric or asymmetric? new evidence from India based on NARDL," MPRA Paper 87569, University Library of Munich, Germany.
• Haffejee, muhammad Ismail & Masih, Mansur, 2018. "Is the relationship between financial development and income inequality symmetric or asymmetric ? new evidence from South Africa based on NARDL," MPRA Paper 87574, University Library of Munich, Germany.
• Hamzah, Nurrawaida Husna & Masih, Mansur, 2018. "Revisiting effectiveness of interest rate as a tool to control inflation: evidence from Malaysia based on ARDL and NARDL," MPRA Paper 87576, University Library of Munich, Germany.
• Zahir, Faathih & Masih, Mansur, 2018. "Is the lead-lag relationship between financial development and economic growth symmetric ? new evidence from Bangladesh based on ARDL ad NARDL," MPRA Paper 87577, University Library of Munich, Germany.
• Morema, Kgotso & Bonga-Bonga, Lumengo, 2018. "The impact of oil and gold price fluctuations on the South African equity market: volatility spillovers and implications for portfolio management," MPRA Paper 87637, University Library of Munich, Germany.
• C. Gouriéroux & A. Monfort & J.‐M. Zakoïan, 2019. "Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations," Econometrica, Econometric Society, vol. 87(1), pages 327-345, January.
  • Christian Gouriéroux & Alain Monfort & Jean-Michel Zakoian, 2018. "Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations," Working Papers 2018-08, Center for Research in Economics and Statistics.
  • Gouriéroux, Christian & Monfort, Alain & Zakoian, Jean-Michel, 2018. "Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations," MPRA Paper 87834, University Library of Munich, Germany.
• Lumengo Bonga-Bonga & Mathias mandla Manguzvane, 2020. "Assessing the extent of contagion of sovereign credit risk among BRICS countries," Economics Bulletin, AccessEcon, vol. 40(2), pages 1017-1032.
  • Bonga-Bonga, Lumengo & Manguzvane, Mathias Mandla, 2018. "Assessing the extent of contagion of sovereign credit risk among BRICS countries," MPRA Paper 89200, University Library of Munich, Germany.
• Pincheira, Pablo & Hardy, Nicolas, 2018. "The predictive relationship between exchange rate expectations and base metal prices," MPRA Paper 89423, University Library of Munich, Germany.
• Naser, Hanan, 2018. "Financial Development and Economic Growth in Oil-Dependent Economy: The case of Bahrain," MPRA Paper 89743, University Library of Munich, Germany, revised 04 Sep 2018.
• Igor Fedotenkov, 2020. "A Review of More than One Hundred Pareto-Tail Index Estimators," Statistica, Department of Statistics, University of Bologna, vol. 80(3), pages 245-299.
  • Fedotenkov, Igor, 2018. "A review of more than one hundred Pareto-tail index estimators," MPRA Paper 90072, University Library of Munich, Germany.
• Yildirim, Ramazan & Masih, Mansur, 2018. "Investigating International Portfolio Diversification Opportunities for the Asian Islamic Stock Market Investors," MPRA Paper 90281, University Library of Munich, Germany.
• Pincheira-Brown, Pablo & Neumann, Federico, 2020. "Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile," Finance Research Letters, Elsevier, vol. 37(C).
  • Pincheira, Pablo & Neumann, Federico, 2018. "Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile," MPRA Paper 90432, University Library of Munich, Germany.
• Shaw, Charles, 2018. "Conditional heteroskedasticity in crypto-asset returns," MPRA Paper 90437, University Library of Munich, Germany.
• Halkos, George & Tzirivis, Apostolos, 2018. "Effective energy commodities’ risk management: Econometric modeling of price volatility," MPRA Paper 90781, University Library of Munich, Germany.
• Aknouche, Abdelhakim & Francq, Christian, 2021. "Count And Duration Time Series With Equal Conditional Stochastic And Mean Orders," Econometric Theory, Cambridge University Press, vol. 37(2), pages 248-280, April.
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• Aknouche, Abdelhakim & Demmouche, Nacer & Touche, Nassim, 2018. "Bayesian MCMC analysis of periodic asymmetric power GARCH models," MPRA Paper 91136, University Library of Munich, Germany.
• Aqsha, Nur Suhairah & Masih, Mansur, 2018. "Is residential property the ultimate hedge against inflation ? new evidence from Malaysia based on ARDL and nonlinear ARDL," MPRA Paper 91508, University Library of Munich, Germany.
• Adznan, Syaima & Masih, Mansur, 2018. "Exchange rate and trade balance linkage: evidence from Malaysia based on ARDL and NARDL," MPRA Paper 91509, University Library of Munich, Germany.
• Hasan, Amiratul Nadiah & Masih, Mansur, 2018. "Determinants of food price inflation: evidence from Malaysia based on linear and nonlinear ARDL," MPRA Paper 91517, University Library of Munich, Germany.
• Affendi, Diyana Najwa & Masih, Mansur, 2018. "Is inflation targeting compatible with economic growth ? Korean experience based on ARDL and NARDL," MPRA Paper 91519, University Library of Munich, Germany.
• Adediran, Ibrahim Opeyemi & Masih, Mansur, 2018. "Oil price and the global conventional and islamic stock markets: Is the relationship symmetric or asymmetric ? evidence from nonlinear ARDL," MPRA Paper 91558, University Library of Munich, Germany.
• Bahruddin, Wan Athirah & Masih, Mansur, 2018. "Is the relation between lending interest rate and non-performing loans symmetric or asymmetric ? evidence from ARDL and NARDL," MPRA Paper 91565, University Library of Munich, Germany.
• Sabry, Saajid & Masih, Mansur, 2018. "Is gold a hedge against equity risk? Malaysian experience based on NARDL approach," MPRA Paper 91584, University Library of Munich, Germany.
• Nkoba, Malik Abdulrahman & Masih, Mansur, 2018. "Revisiting the Phillips curve trade-off: evidence from Tanzania using nonlinear ARDL approach," MPRA Paper 91631, University Library of Munich, Germany.
• Akhtar, Sharmin & Masih, Mansur, 2018. "Does asymmetry matter in the relationship between exchange rate and remittance? Evidence from a remittance recipient country based on ARDL and NARDL," MPRA Paper 91764, University Library of Munich, Germany.
• Lee, Kam Weng & Masih, Mansur, 2018. "Investigating the causal relationship between exchange rate variability and palm oil export: evidence from Malaysia based on ARDL and nonlinear ARDL approaches," MPRA Paper 91801, University Library of Munich, Germany.
• Suwanhirunkul, Suwijak & Masih, Mansur, 2018. "Islamic equity as an alternative investment from the perspective of the Southeast Asian investors: evidence from MGARCH-DCC and Wavelet Coherence," MPRA Paper 93542, University Library of Munich, Germany.
• Suwanhirunkul, Prachaya & Masih, Mansur, 2018. "Effect of dividend policy on stock price volatility in the Dow Jones U.S. index and the Dow Jones islamic U.S. index: evidences from GMM and quantile regression," MPRA Paper 93543, University Library of Munich, Germany.
• Tayeb, Hamza & Masih, Mansur, 2018. "The lead lag relationship between oil prices and exchange rate in an oil importing country: evidence fromThailand using ARDL," MPRA Paper 94197, University Library of Munich, Germany.
• Razak, Nursakina & Masih, Mansur, 2018. "Does income or house price lead in the public housing market? a case study of Singapore’s public housing sector," MPRA Paper 94212, University Library of Munich, Germany.
• Gerlach, Richard & Naimoli, Antonio & Storti, Giuseppe, 2018. "Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting," MPRA Paper 83893, University Library of Munich, Germany.
  • Gerlach, Richard & Naimoli, Antonio & Storti, Giuseppe, 2018. "Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting," MPRA Paper 94289, University Library of Munich, Germany.
• Brummelhuis, Raymond & Luo, Zhongmin, 2018. "Arbitrage Opportunities in CDS Term Structure: Theory and Implications for OTC Derivatives," MPRA Paper 94778, University Library of Munich, Germany.
• Mahmood, Nihal & Masih, Mansur, 2018. "Dynamics between islamic banking performance and CO2 emissions: evidence from the OIC countries," MPRA Paper 95652, University Library of Munich, Germany.
• Fries, Sébastien, 2018. "Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds," MPRA Paper 97353, University Library of Munich, Germany, revised Nov 2019.
• Ibrahim, Norhaslina & Masih, Mansur, 2018. "The finance-growth nexus: is finance supply-leading or demand-following in islamic finance ? evidence from Malaysia," MPRA Paper 98676, University Library of Munich, Germany.
• Rahman, Nadiah & Masih, Mansur, 2018. "Do deposits in islamic banks have an impact on equity market? evidence from Malaysia," MPRA Paper 98734, University Library of Munich, Germany.
• Nasir, Nur Alissa & Masih, Mansur, 2018. "Are the stock indices of FTSE Malaysia, China and USA causally linked together ?," MPRA Paper 98782, University Library of Munich, Germany.
• Aziz, Abdul & Masih, Mansur, 2018. "Lead-lag relationship between macroeconomic variables and stock market: evidence from Korea," MPRA Paper 99894, University Library of Munich, Germany.
• Michal Rychnovský, 2018. "Survival Analysis As A Tool For Better Probability Of Default Prediction," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2018(1), pages 34-46.
• Jan Hanousek & Anastasiya Shamshur & Jiří Trešl, 2018. "Investiční rozhodování firem v korupčním prostředí ve střední a východní Evropě [Innovation Decisions in Uncertain Business Environments of CEE Countries]," Politická ekonomie, Prague University of Economics and Business, vol. 2018(3), pages 287-301.
• Lukáš Frýd, 2018. "Asymetrie během finančních krizí: asymetrická volatilita převyšuje důležitost asymetrické korelace [Asymmetry of Financial Time Series During the Financial Crisis: Asymmetric Volatility Outperforms," Politická ekonomie, Prague University of Economics and Business, vol. 2018(3), pages 302-329.
• Markéta Arltová & Tomáš Kábrt, 2018. "Hlavní determinanty ovlivňující poptávku po životním pojištění v České republice [Analysis of Determinants, Influencing Life Insurance Demand in the Czech Republic]," Politická ekonomie, Prague University of Economics and Business, vol. 2018(3), pages 344-365.
• Abderrazak Ben Maatoug & Rim Lamouchi & Russell Davidson & Ibrahim Fatnassi, 2018. "Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 10(1), pages 1-25, March.
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• Pranvera Mulla & Ornela Shalari & Anita Gumeni, 2018. "An Examination of the Occurrence of Speculative Bubbles in the US Stock Markets," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 21(67), pages 98-109, March.
• Xin Jin & John M. Maheu & Qiao Yang, 2019. "Bayesian parametric and semiparametric factor models for large realized covariance matrices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 641-660, August.
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  • Xin Jin & John M. Maheu & Qiao Yang, 2018. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," Working Paper series 18-02, Rimini Centre for Economic Analysis.
• Giudici, Paolo & Huang, Bihong & Spelta, Alessandro, 2018. "Trade Networks and Economic Fluctuations in Asia," ADBI Working Papers 832, Asian Development Bank Institute.
• Borzykh, Dmitriy & Khasykov, Mikhail, 2018. "The refinement procedure of ICSS algorithm for structural breaks detection in GARCH-models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 51, pages 126-139.
• Aganin, Artem & Peresetsky, Anatoly, 2018. "Volatility of ruble exchange rate: Oil and sanctions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 52, pages 5-21.
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• Adeniji, Sesan & Obansa , S. A. J. & Okoroafor, David, 2018. "Monetary policy shocks and stock market prices volatility in Nigeria," BizEcons Quarterly, Strides Educational Foundation, vol. 3, pages 3-26.
• Öztürk, Hakkı, 2018. "Cointegration Analysis of BIST 30 Index and MSCI Emerging Markets Index: Pre and Post Global Financial Crisis," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 9(1), pages 109-121, January.
• Koy, Ayben, 2018. "Testing Multi Bubbles for Commodity Derivative Markets: A Study on MCX," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 9(2), pages 291-299, April.
• BONGA-BONGA, Lumengo & NLEYA, Lebogang, 2018. "Assessing Portfolio Market Risk in the BRICS Economies: Use of Multivariate GARCH Models," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 71(2), pages 87-128.
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• AMATO, Amedeo, 2018. "Some International Financial Contributions: Empirical Results and Policy Implications," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 71(2), pages 1-1.
• Khan, Vina Javed & Saeed, Muhammad & Ibrahim, Tella Oluwatoba & Rizwan, Muhammad, 2018. "Financial Cointegration of Emerging Economies: Evidence from Bivariate Cointegration and Granger Causality," Empirical Economic Review, Department of Economics and Statistics, Dr Hassan Murad School of Management, University of Management and Technology, Lahore, vol. 1(1), pages 49-70.
• Yufeng Chen & Wenqi Li & Xi Jin, 2018. "Volatility Spillovers between Crude Oil Prices and New Energy Stock Price in China," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 43-62, December.
• Dejan ŽIVKOV & Jovan NJEGIĆ & Ivan MILENKOVIĆ, 2018. "Interrelationship between DAX Index and Four Largest Eastern European Stock Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 88-103, September.
• Andrea Baldini, 2018. "Determinants Of Loan And Bad Loan Dynamics: Evidence From Italy," Departmental Working Papers of Economics - University 'Roma Tre' 0232, Department of Economics - University Roma Tre.
• Marco Causi & Andrea Baldini, 2018. "Determinants Of Loan And Bad Loan Dynamics: Evidence From Italy," Departmental Working Papers of Economics - University 'Roma Tre' o232, Department of Economics - University Roma Tre.
• Iseringhausen, Martin, 2020. "The time-varying asymmetry of exchange rate returns: A stochastic volatility – stochastic skewness model," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 275-292.
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• Joseph P. Hughes & Julapa Jagtiani & Choon-Geol Moon, 2022. "Consumer lending efficiency: commercial banks versus a fintech lender," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-39, December.
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• Cathy Ning & Wanling Huang, 2018. "Is the potential for inter- and intro- continental diversification disappearing? A vine copula approach," Working Papers 071, Toronto Metropolitan University, Department of Economics.
• Cathy Ning & Wanling Huang, 2018. "Is the potential for inter- and intro- continental diversification disappearing? A vine copula approach," Working Papers 092, Toronto Metropolitan University, Department of Economics.
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• Mohammad Abu Sayeed & Mardi Dungey & Wenying Yao, 2018. "High-frequency Characterisation of Indian Banking Stocks," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 213-238, August.
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• John Francis T. Diaz, 2018. "Volatility Dynamics in the ASEAN– China Free Trade Agreement," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(3), pages 287-306, December.
• Thai-Ha Le & Donghyun Park & Cong-Phu-Khanh Tran & Binh Tran-Nam, 2018. "The Impact of the Hai Yang Shi You 981 Event on Vietnam’s Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(3_suppl), pages 344-375, December.
• Chiranjit Mukhopadhyay, 2018. "New More Powerful Likelihood Ratio Tests for Short Horizon Event Studies," Proceedings of International Academic Conferences 6408700, International Institute of Social and Economic Sciences.
• VICTORIA NIKULINA & Maxim Bouev, 2018. "Measuring herding behavior in the Russian stock market," Proceedings of International Academic Conferences 6409412, International Institute of Social and Economic Sciences.
• Ma?gorzata Just, 2018. "The Dynamics of Dependencies between the World Grain and Oilseed Markets," Proceedings of Economics and Finance Conferences 6910166, International Institute of Social and Economic Sciences.
• Tanapol Rattanasamakarn & Roengchai Tansuchat, 2018. "Realized Volatility in Agricultural Commodities Futures," Proceedings of Economics and Finance Conferences 7109342, International Institute of Social and Economic Sciences.
• Massa Roldán. Ricardo. & Pérez Navarro, Ricardo, 2018. "Relación entre la volatilidad de los rendimientos accionarios del sector desarrollo de vivienda y la actividad económica mexicana/Relationship between the housing development sector stock returns vola," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 8(1), pages 5-34, enero-jun.
• Reyes Hernández, Naim & Ponsich, Antonin & Hoyos Reyes, Luis Fernando, 2018. "Técnicas metaheurísticas de optimización multiobjetivo para resolver el problema del portafolio de inversión / Metaheuristic techniques of multiobjective optimization to solve the investment portfolio," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 8(2), pages 149-182, julio-dic.
• Marcin Sztaudynger, 2018. "Czynniki makroekonomiczne a spłacalność kredytów konsumpcyjnych," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 4, pages 155-177.
• Marek Gruszczyñski, 2018. "Good Practices in Empirical Corporate Finance and Accounting Research," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 2(10), pages 45-51, December.
• Alicja Fras, 2018. "Are the Highest Mutual Fund Fees Justified by Their Performance? (Czy wyniki tlumacza wysokosc op³at w najdrozszych funduszach inwestycyjnych?)," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 16(74), pages 62-73.
• Barbara Bedowska-Sojka, 2018. "Emerging and Mature Markets – Behaviour of Low-Frequency Liquidity Measures. The Case of the German and Polish Stock Markets (Rynek wschodzacy i rynek dojrzaly – zachowanie miar plynnosci o niskiej cz," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 16(76), pages 24-36.
• Guerini, Mattia & Moneta, Alessio & Napoletano, Mauro & Roventini, Andrea, 2020. "The Janus-Faced Nature Of Debt: Results From A Data-Driven Cointegrated Svar Approach," Macroeconomic Dynamics, Cambridge University Press, vol. 24(1), pages 24-54, January.
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• David Feldman & Xin Xu, 2018. "Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)," Annals of Operations Research, Springer, vol. 262(2), pages 493-518, March.
• Ephraim Clark & Selima Baccar, 2018. "Modelling credit spreads with time volatility, skewness, and kurtosis," Annals of Operations Research, Springer, vol. 262(2), pages 431-461, March.
• Christos Avdoulas & Stelios Bekiros & Sabri Boubaker, 2018. "Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets," Annals of Operations Research, Springer, vol. 262(2), pages 307-333, March.
• Dimitrios Koutmos, 2018. "Interdependencies between CDS spreads in the European Union: Is Greece the black sheep or black swan?," Annals of Operations Research, Springer, vol. 266(1), pages 441-498, July.
• Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2018. "Asset allocation strategies based on penalized quantile regression," Computational Management Science, Springer, vol. 15(1), pages 1-32, January.
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• Taras Bodnar & Yarema Okhrin & Valdemar Vitlinskyy & Taras Zabolotskyy, 2018. "Determination and estimation of risk aversion coefficients," Computational Management Science, Springer, vol. 15(2), pages 297-317, June.
• L. C. G. Rogers, 2018. "Sense, nonsense and the S&P500," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 447-461, November.
• Neharika Sobti, 2018. "Domestic intermarket linkages: measuring dynamic return and volatility connectedness among Indian financial markets," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 45(4), pages 325-344, December.
• Gopal K. Basak & Arnab Bhattacharjee & Samarjit Das, 2018. "Causal ordering and inference on acyclic networks," Empirical Economics, Springer, vol. 55(1), pages 213-232, August.
• Bastian Gribisch, 2018. "A latent dynamic factor approach to forecasting multivariate stock market volatility," Empirical Economics, Springer, vol. 55(2), pages 621-651, September.
• Gordon H. Dash & Nina Kajiji & Domenic Vonella, 2018. "The role of supervised learning in the decision process to fair trade US municipal debt," EURO Journal on Decision Processes, Springer;EURO - The Association of European Operational Research Societies, vol. 6(1), pages 139-168, June.
• Omar Euch & Masaaki Fukasawa & Mathieu Rosenbaum, 2018. "The microstructural foundations of leverage effect and rough volatility," Finance and Stochastics, Springer, vol. 22(2), pages 241-280, April.
• Hazem Krichene & Mhamed-Ali El-Aroui, 2018. "Artificial stock markets with different maturity levels: simulation of information asymmetry and herd behavior using agent-based and network models," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(3), pages 511-535, October.
• Vinodh Madhavan & Partha Ray, 2018. "Evolving Efficiency of Dually-Listed Indian Stocks: A Nonlinear Perspective," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(1), pages 13-35, March.
• Alok Dixit & Shivam Singh, 2018. "Ad-Hoc Black–Scholes vis-à-vis TSRV-based Black–Scholes: Evidence from Indian Options Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(1), pages 57-88, March.
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• Saha, Kunal, 2018. "An investigation into the dependence structure of major cryptocurrencies," EconStor Preprints 181878, ZBW - Leibniz Information Centre for Economics.
• Sumon Kumar Bhaumik & Manisha Chakrabarty & Ali M. Kutan & Ekta Selarka, 2021. "How Effective are Stock Market Reforms in Emerging Market Economies? Evidence from a Panel VAR Model of the Indian Stock Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(4), pages 795-818, December.
  • Bhaumik, Sumon Kumar & Chakrabarty, Manisha & Kutan, Ali M. & Selarka, Ekta, 2018. "How Effective are Stock Market Reforms in Emerging Market Economies? Evidence from a Panel VAR Model of the Indian Stock Market," GLO Discussion Paper Series 290, Global Labor Organization (GLO).
• Śmiech, Sławomir & Papież, Monika & Fijorek, Kamil & Dąbrowski, Marek A., 2019. "What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-32.
  • Śmiech, Sławomir & Papież, Monika & Dąbrowski, Marek A. & Fijorek, Kamil, 2018. "What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets," Economics Discussion Papers 2018-55, Kiel Institute for the World Economy (IfW Kiel).
• Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Hou, Ai Jun & Wang, Weining, 2018. "Pricing Cryptocurrency options: the case of CRIX and Bitcoin," IRTG 1792 Discussion Papers 2018-004, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Paolo Pagnottoni & Thomas Dimpfl, 2019. "Price discovery on Bitcoin markets," Digital Finance, Springer, vol. 1(1), pages 139-161, November.
  • Pagnottoni, Paolo & Baur, Dirk G. & Dimpfl, Thomas, 2018. "Price Discovery on Bitcoin Markets," IRTG 1792 Discussion Papers 2018-014, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Klein, Tony & Pham Thu, Hien & Walther, Thomas, 2018. "Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 105-116.
  • Thomas Walther & Tony Klein & Hien Pham Thu, 2018. "Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance," Working Papers on Finance 1812, University of St. Gallen, School of Finance.
  • Klein, Tony & Thu, Hien Pham & Walther, Thomas, 2018. "Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance," IRTG 1792 Discussion Papers 2018-015, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  • Klein, Tony & Hien, Pham Thu & Walther, Thomas, 2018. "Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance," QBS Working Paper Series 2018/01, Queen's University Belfast, Queen's Business School.
• Yi-Hsuan Chen, Cathy & Fengler, Matthias & Härdle, Wolfgang Karl & Liu, Yanchu, 2018. "Textual Sentiment, Option Characteristics, and Stock Return Predictability," Economics Working Paper Series 1808, University of St. Gallen, School of Economics and Political Science.
  • Chen, Cathy Yi-Hsuan & Fengler, Matthias R. & Härdle, Wolfgang Karl & Liu, Yanchu, 2018. "Textual Sentiment, Option Characteristics, and Stock Return Predictability," IRTG 1792 Discussion Papers 2018-023, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Packham, Natalie & Woebbeking, Fabian, 2018. "A factor-model approach for correlation scenarios and correlation stress-testing," IRTG 1792 Discussion Papers 2018-034, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Wolfgang Karl Härdle & Campbell R Harvey & Raphael C G Reule, 2020. "Understanding Cryptocurrencies," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 181-208.
  • Härdle, Wolfgang Karl & Harvey, Campbell R. & Reule, Raphael C. G., 2018. "Understanding Cryptocurrencies," IRTG 1792 Discussion Papers 2018-044, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Bibinger, Markus & Neely, Christopher & Winkelmann, Lars, 2019. "Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book," Journal of Econometrics, Elsevier, vol. 209(2), pages 158-184.
  • Markus Bibinger & Christopher J. Neely & Lars Winkelmann, 2017. "Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book," Working Papers 2017-12, Federal Reserve Bank of St. Louis.
  • Bibinger, Markus & Neely, Christopher & Winkelmann, Lars, 2018. "Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book," IRTG 1792 Discussion Papers 2018-055, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Pele, Daniel Traian & Mazurencu-Marinescu-Pele, Miruna, 2018. "Cryptocurrencies, Metcalfe's law and LPPL models," IRTG 1792 Discussion Papers 2018-056, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Petukhina, Alla & Trimborn, Simon & Härdle, Wolfgang Karl & Elendner, Hermann, 2018. "Investing with cryptocurrencies - evaluating the potential of portfolio allocation strategies," IRTG 1792 Discussion Papers 2018-058, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Choi, Seungmoon, 2018. "Comparison of the Korean and US Stock Markets Using Continuous-time Stochastic Volatility Models," KDI Journal of Economic Policy, Korea Development Institute (KDI), vol. 40(4), pages 1-22.
• Klein, Tony & Pham Thu, Hien & Walther, Thomas, 2018. "Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 105-116.
  • Thomas Walther & Tony Klein & Hien Pham Thu, 2018. "Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance," Working Papers on Finance 1812, University of St. Gallen, School of Finance.
  • Klein, Tony & Hien, Pham Thu & Walther, Thomas, 2018. "Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance," QBS Working Paper Series 2018/01, Queen's University Belfast, Queen's Business School.
  • Klein, Tony & Thu, Hien Pham & Walther, Thomas, 2018. "Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance," IRTG 1792 Discussion Papers 2018-015, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Walther, Thomas & Klein, Tony & Bouri, Elie, 2019. "Exogenous drivers of Bitcoin and Cryptocurrency volatility – A mixed data sampling approach to forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
  • Walther, Thomas & Klein, Tony & Bouri, Elie, 2018. "Exogenous Drivers of Bitcoin and Cryptocurrency Volatility – A Mixed Data Sampling Approach to Forecasting," QBS Working Paper Series 2018/02, Queen's University Belfast, Queen's Business School.
• Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2023. "Networks in risk spillovers: A multivariate GARCH perspective," Econometrics and Statistics, Elsevier, vol. 28(C), pages 1-29.
  • Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2016. "Networks in risk spillovers: a multivariate GARCH perspective," Working Papers 2016:03, Department of Economics, University of Venice "Ca' Foscari".
  • Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2018. "Networks in risk spillovers: A multivariate GARCH perspective," SAFE Working Paper Series 225, Leibniz Institute for Financial Research SAFE.
  • Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2020. "Networks in risk spillovers: A multivariate GARCH perspective," Working Papers 2020:16, Department of Economics, University of Venice "Ca' Foscari".
• Lips, Johannes, 2018. "Debt and the Oil Industry - Analysis on the Firm and Production Level," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181504, Verein für Socialpolitik / German Economic Association.
• Gianluca De Nard & Olivier Ledoit & Michael Wolf, 2018. "Factor models for portfolio selection in large dimensions: the good, the better and the ugly," ECON - Working Papers 290, Department of Economics - University of Zurich, revised Dec 2018.

2017

• Cathy Yi-Hsuan Chen & Wolfgang Karl Härdle & Yarema Okhrin, 2017. "Tail event driven networks of SIFIs," SFB 649 Discussion Papers SFB649DP2017-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Wolfgang Karl Härdle & Cathy Yi-Hsuan Chen, 2017. "Data Science & Digital Society," SFB 649 Discussion Papers SFB649DP2017-010, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Ya Qian & Wolfgang Karl Härdle & Cathy Yi-Hsuan Chen, 2017. "Industry Interdependency Dynamics in a Network Context," SFB 649 Discussion Papers SFB649DP2017-012, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Simon Trimborn & Mingyang Li & Wolfgang Karl Härdle, 2020. "Investing with Cryptocurrencies—a Liquidity Constrained Investment Approach," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 280-306.
  • Simon Trimborn & Mingyang Li & Wolfgang Karl Härdle, 2017. "Investing with cryptocurrencies - A liquidity constrained investment approach," SFB 649 Discussion Papers SFB649DP2017-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Cathy Yi-Hsuan Chen & Sergey Nasekin, 2017. "The systemic risk of central SIFIs," SFB 649 Discussion Papers SFB649DP2017-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Burda Michael C. & Seele Stefanie, 2017. "Das deutsche Arbeitsmarktwunder: Eine Bilanz," Perspektiven der Wirtschaftspolitik, De Gruyter, vol. 18(3), pages 179-204, October.
  • Burda, Michael C. & Seele, Stefanie, 2017. "Das deutsche Arbeitsmarktwunder: Eine Bilanz," IZA Standpunkte 89, Institute of Labor Economics (IZA).
  • Michael C. Burda & Stefanie Seele, 2017. "Das deutsche Arbeitsmarktwunder: Eine Bilanz," SFB 649 Discussion Papers SFB649DP2017-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Yongcheol Shin, 2017. "What’s Mine Is Yours: Sovereign Risk Transmission during the European Debt Crisis," Melbourne Institute Working Paper Series wp2017n17, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
• Jack J.W. Yang & Chien-Tsung Li, 2017. "Can Skewed Garch-Type Distributions Improve Volatility Forecasts During Global Financial Crisis?," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 11(2), pages 39-50.
• Zi-Yi Guo & Yangxiaoteng Luo, 2017. "Dynamic Stochastic Factors, Risk Management and the Energy Futures," International Business Research, Canadian Center of Science and Education, vol. 10(9), pages 50-59, September.
• Hounyo, Ulrich & Gonçalves, Sílvia & Meddahi, Nour, 2017. "Bootstrapping Pre-Averaged Realized Volatility Under Market Microstructure Noise," Econometric Theory, Cambridge University Press, vol. 33(4), pages 791-838, August.
  • Ulrich Hounyo & Sílvia Goncalves & Nour Meddahi, 2013. "Bootstrapping pre-averaged realized volatility under market microstructure noise," CREATES Research Papers 2013-28, Department of Economics and Business Economics, Aarhus University.
  • Goncalves, Silvia & Hounyo, Ulrich & Meddahi, Nour, 2017. "Bootstrapping Pre-Averaged Realized Volatility under Market Microstructure Noise," IDEI Working Papers 869, Institut d'Économie Industrielle (IDEI), Toulouse.
  • Goncalves, Silvia & Hounyo, Ulrich & Meddahi, Nour, 2017. "Bootstrapping Pre-Averaged Realized Volatility under Market Microstructure Noise," TSE Working Papers 17-809, Toulouse School of Economics (TSE).
  • Ulrich Hounyo & Silvia Gonçalves & Nour Meddahi, 2016. "Bootstrapping pre-averaged realized volatility under market microstructure noise," CIRANO Working Papers 2016s-25, CIRANO.
• Sri Andaiyani & Telisa Aulia Falianty, 2017. "Asean Credit Growth And Asset Price Response To Global Financial Cycle," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 20(2), pages 1-26, October.
• Linda Karlina Sari & Noer Azam Achsani & Bagus Sartono, 2017. "Volatility Transmission Of The Main Global Stock Return Towards Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 20(2), pages 1-26, October.
• Linda Karlina Sari & Noer Azam Achsani & Bagus Sartono, 2017. "Volatility Transmission Of The Main Global Stock Return Towards Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 20(2), pages 229-256, October.
• Anatoly A. Peresetsky & Ruslan I. Yakubov, 2017. "Autocorrelation in an unobservable global trend: does it help to forecast market returns?," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 7(1/2), pages 152-169.
  • Peresetsky, Anatoly & Yakubov, Ruslan, 2015. "Autocorrelation in an unobservable global trend: Does it help to forecast market returns?," MPRA Paper 64579, University Library of Munich, Germany.
• Gabriel Rodriguez, 2017. "Selecting between Autoregressive Conditional Heteroskedasticity Models: An Empirical Application to the Volatility of Stock Returns in Peru," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 32(1), pages 69-94, April.
• Maria Sole Pagliari & Swarnali Ahmed Hannan, 2017. "The Volatility of Capital Flows in Emerging Markets: Measures and Determinants," Departmental Working Papers 201710, Rutgers University, Department of Economics.
  • Maria Sole Pagliari & Swarnali A Hannan, 2017. "The Volatility of Capital Flows in Emerging Markets; Measures and Determinants," IMF Working Papers 17/41, International Monetary Fund.
• Pagliari, Maria Sole & Ahmed Hannan, Swarnali, 2024. "The volatility of capital flows in emerging markets: Measures and determinants," Journal of International Money and Finance, Elsevier, vol. 145(C).
  • Maria Sole Pagliari & Swarnali Ahmed Hannan, 2017. "The Volatility of Capital Flows in Emerging Markets: Measures and Determinants," Departmental Working Papers 201710, Rutgers University, Department of Economics.
  • Maria Sole Pagliari & Mrs. Swarnali A Hannan, 2017. "The Volatility of Capital Flows in Emerging Markets: Measures and Determinants," IMF Working Papers 2017/041, International Monetary Fund.
• Miriam Sosa & Edgar Ortiz & Alejandra Cabello, 2017. "Crisis financiera global y su impacto en la dinámica bursátil europea y americana," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 12(3), pages 1-27, Julio-Sep.
• Oscar Valdemar De la Torre Torres & Luis Guadalupe Macías Trejo, 2017. "Los beneficios de la inversión socialmente responsable en el desempeño de fondos de pensiones mexicanos," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 12(3), pages 67-87, Julio-Sep.
• Chevallier, Julien & Nguyen, Duc Khuong & Siverskog, Jonathan & Uddin, Gazi Salah, 2018. "Market integration and financial linkages among stock markets in Pacific Basin countries," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 77-92.
  • Julien Chevallier & Duc Khuong Nguyen & Jonathan Siverskog & Gazi Salah Uddin, 2017. "Market Integration and Financial Linkages among Stock Markets in Pacific Basin Countries," Working Papers 2017-005, Department of Research, Ipag Business School.
• Chui-Chun Tsai & Tsun-Siou Lee, 2017. "Liquidity-Adjusted Value-at-Risk for TWSE Leverage/ Inverse ETFs: A Hellinger Distance Measure Research," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 13(1), pages 53-81, February.
• William A. Barnett & Liting Su, 2017. "Financial Firm Production Of Inside Monetary And Credit Card Services: An Aggregation Theoretic Approach1," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201707, University of Kansas, Department of Economics, revised Oct 2017.
• Takashi Isogai, 2017. "Analysis of Dynamic Correlation of Japanese Stock Returns with Network Clustering," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(3), pages 193-220, September.
• Gian P. Cervellera & Marco P. Tucci, 2017. "A note on the Estimation of a Gamma-Variance Process: Learning from a Failure," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 363-385, March.
• Mihály Ormos & Dusán Timotity, 2017. "Expected downside risk and asset prices: characteristics of emerging and developed European markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 44(3), pages 529-546, August.
• Daniel Mantilla-García & Vijay Vaidyanathan, 2017. "Predicting stock returns in the presence of uncertain structural changes and sample noise," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(3), pages 357-391, August.
• Krishna Prasanna & Subramaniam Sowmya, 2017. "Yield curve in India and its interactions with the US bond market," International Economics and Economic Policy, Springer, vol. 14(2), pages 353-375, April.
• Alexander N. Bogin & Stephen D. Bruestle & William M. Doerner, 2017. "How Low Can House Prices Go? Estimating a Conservative Lower Bound," The Journal of Real Estate Finance and Economics, Springer, vol. 54(1), pages 97-116, January.
  • Alexander N. Bogin & Stephen D. Bruestle & William M. Doerner, 2015. "How Low Can House Prices Go? Estimating a Conservative Lower Bound," FHFA Staff Working Papers 15-01, Federal Housing Finance Agency.
• Fredj Jawadi & Georges Prat, 2017. "Equity prices and fundamentals: a DDM–APT mixed approach," Review of Quantitative Finance and Accounting, Springer, vol. 49(3), pages 661-695, October.
  • Fredj Jawadi & Georges Prat, 2015. "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," Working Papers hal-04141411, HAL.
  • Fredj Jawadi & Georges Prat, 2015. "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," Working Papers 2015-630, Department of Research, Ipag Business School.
  • Fredj Jawadi & Georges Prat, 2015. "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," EconomiX Working Papers 2015-16, University of Paris Nanterre, EconomiX.
  • Fredj Jawadi & Georges Prat, 2017. "Equity prices and fundamentals: a DDM–APT mixed approach," Post-Print hal-01549758, HAL.
  • Fredj Jawadi & Georges Prat, 2015. "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," Working paper serie RMT - Grenoble Ecole de Management hal-04141411, HAL.
• Diana-Maria Chis & Cristina Ciumas & Emilia-Anuta Corovei, 2017. "Equilibrium Prices Of Guarantees Under Unit-Linked Life Insurance Contracts," Knowledge Horizons - Economics, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 9(2), pages 47-53, June.
• Agya Atabani Adi, 2017. "Returns Effect, Shocks and Volatility Transmission between Foreign Exchange-Stock Markets in Nigeria," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 3(1), pages 29-38, March.
• Idoko Ahmed Itodo & Ojonugwa Usman & Michael Maju Abu, 2017. "The Asymmetric Effect in the Volatility of the South African Rand," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 3(3), pages 47-53, September.
• Iulian Lolea, 2017. "Where did the GARCH Models Perform Best in Terms of Volatility Forecasting? Equity vs. Commodities Markets," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 3(3), pages 79-86, September.
• Md. Abu HASAN, 2017. "Efficiency and Volatility of the Stock Market in Bangladesh: A Macroeconometric Analysis," Turkish Economic Review, KSP Journals, vol. 4(2), pages 239-249, June.
• Ouael EL JEBARI & Abdelati HAKMAOUI, 2017. "Modeling persistence of volatility in the Moroccan exchange market using a fractionally integrated EGARCH," Turkish Economic Review, KSP Journals, vol. 4(4), pages 388-399, December.
• Lukasz Gatarek & Søren Johansen, 2017. "The role of cointegration for optimal hedging with heteroscedastic error term," CREATES Research Papers 2017-12, Department of Economics and Business Economics, Aarhus University.
  • Lukasz Gatarek & Soeren Johansen, 2017. "The role of cointegration for optimal hedging with heteroscedastic error term," Discussion Papers 17-03, University of Copenhagen. Department of Economics.
• Dr. Tobias Böing & Prof. Dr. Georg Stadtmann, 2017. "Money Growth and Aggregate Stock Returns," Credit and Capital Markets, Credit and Capital Markets, vol. 50(4), pages 489-508.
• Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2017. "Asymmetric volatility connectedness on the forex market," Journal of International Money and Finance, Elsevier, vol. 77(C), pages 39-56.
  • Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2016. "Asymmetric volatility connectedness on forex markets," Papers 1607.08214, arXiv.org.
  • Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2017. "Asymmetric volatility connectedness on the forex market," KIER Working Papers 956, Kyoto University, Institute of Economic Research.
• Dovonon, Prosper & Hall, Alastair R. & Kleibergen, Frank, 2020. "Inference in second-order identified models," Journal of Econometrics, Elsevier, vol. 218(2), pages 346-372.
  • Prosper Dovonon & Alastair R. Hall & Frank Kleibergen, 2017. "Inference in Second-Order Identified Models," Economics Discussion Paper Series 1703, Economics, The University of Manchester.
• Botshekan , Mohamad Hashem & Mohseni , Hosein, 2017. "Volatility Spillover among Industries in the Capital Market in Iran," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 12(2), pages 213-233, April.
• Hishamuddin Abdul Wahab & Buerhan Saiti & Saiful Azhar Rosly & Abul Mansur Mohammed Masih, 2017. "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," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(1), pages 180-198, January.
  • Abdul Wahab, Hishamuddin & Rosly, Saiful Azhar & 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," MPRA Paper 56975, University Library of Munich, Germany.
• Seung C. Ahn & Alex R. Horenstein, 2017. "Asset Pricing and Excess Returns over the Market Return," Working Papers 2017-12, University of Miami, Department of Economics.
• Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes, 2017. "Dynamic asset price jumps and the performance of high frequency tests and measures," Monash Econometrics and Business Statistics Working Papers 14/17, Monash University, Department of Econometrics and Business Statistics.
• Jiang, Bin & Yang, Yanrong & Gao, Jiti & Hsiao, Cheng, 2021. "Recursive estimation in large panel data models: Theory and practice," Journal of Econometrics, Elsevier, vol. 224(2), pages 439-465.
  • Bing Jiang & Yanrong Yang & Jiti Gao & Cheng Hsiao, 2017. "Recursive estimation in large panel data models: Theory and practice," Monash Econometrics and Business Statistics Working Papers 5/17, Monash University, Department of Econometrics and Business Statistics.
• Ban Kheng Tan & Anastasios Panagiotelis & George Athanasopoulos, 2017. "Bayesian Inference for a 1-Factor Copula Model," Monash Econometrics and Business Statistics Working Papers 6/17, Monash University, Department of Econometrics and Business Statistics.
• Łukasz Delong & Damian Sulik, 2017. "Kalibracja dwuczynnikowego modelu chwilowej stopy procentowej typu G2++ w mierze rzeczywistej i neutralnej względem ryzyka," Bank i Kredyt, Narodowy Bank Polski, vol. 48(4), pages 403-450.
• Siem Koopman & André Lucas & Marcin Zamojski, 2017. "Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting," NBP Working Papers 258, Narodowy Bank Polski.
• Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2020. "Dissecting Characteristics Nonparametrically," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2326-2377.
  • Joachim Freyberger & Andreas Neuhierl & Michael Weber & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 6391, CESifo.
  • Joachim Freyberger & Andreas Neuhierl & Michael Weber & Michael Weber, 2018. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 7187, CESifo.
  • Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," NBER Working Papers 23227, National Bureau of Economic Research, Inc.
• Stefano Giglio & Dacheng Xiu, 2017. "Inference on Risk Premia in the Presence of Omitted Factors," NBER Working Papers 23527, National Bureau of Economic Research, Inc.
• Alexander M. Chinco & Mao Ye, 2017. "Investment-Horizon Spillovers," NBER Working Papers 23650, National Bureau of Economic Research, Inc.
• Alexander M. Chinco & Adam D. Clark-Joseph & Mao Ye, 2017. "Sparse Signals in the Cross-Section of Returns," NBER Working Papers 23933, National Bureau of Economic Research, Inc.
• Zhivaikina, A. & Peresetsky, A., 2017. "Russian Bank Credit Ratings and Bank License Withdrawal 2012-2016," Journal of the New Economic Association, New Economic Association, vol. 36(4), pages 49-80.
• Cristina Amado & Annastiina Silvennoinen & Timo Terasvirta, 2017. "Modelling and Forecasting WIG20 Daily Returns," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 9(3), pages 173-200, September.
  • Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Modelling and forecasting WIG20 daily returns," CREATES Research Papers 2017-29, Department of Economics and Business Economics, Aarhus University.
  • Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Modelling and forecasting WIG20 daily returns," NIPE Working Papers 09/2017, NIPE - Universidade do Minho.
• Igor Živko & Mile BoÅ¡njak, 2017. "Time Series Modeling of Inflation and its Volatility in Croatia," Notitia - journal for economic, business and social issues, Notitia Ltd., vol. 1(3), pages 1-10, December.
• Bekiros, Stelios & Loukeris, Nikolaos & Eleftheriadis, Iordanis, 2017. "Portfolio Optimization With Investor Utility Preference of Higher-Order Moments: A Behavioral Approach," Review of Behavioral Economics, now publishers, vol. 4(2), pages 83-106, September.
• Daniel Stefan ARMEANU & Adrian ENCIU & Sorin-Iulian CIOACA, 2017. "How Important is the Contagion Effect for the Romanian Capital Market?," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 265-282, June.
• Tomáš Pražák & Daniel Stavárek, 2017. "The Effect of Financial Ratios on the Stock Price Development," Working Papers 0043, Silesian University, School of Business Administration.
• Laurentiu Droj & Ioan Gheorghe Tara & Gabriela Droj, 2017. "Financial Sustainability For Romanian Companies - European Structural Funds Between Inter-Regional Cohesion Or Division? Part I," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 287-295, July.
• Laurentiu Droj & Gabriela Droj, 2017. "Financial Sustainability For Romanian Companies - European Structural Funds Between Inter-Regional Cohesion Or Division? Part Ii," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 297-305, July.
• Rabeea Sadaf, 2017. "Advanced Statistical Techniques For Testing Benford'S Law," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 229-238, December.
• Chelariu Gabriel, 2017. "The Dynamics Of Associations And Foundations In Romania. Econometric Analysis," Oradea Journal of Business and Economics, University of Oradea, Faculty of Economics, vol. 2(2), pages 67-76, September.
• Eric Ghysels & Julien Idier & Simone Manganelli & Olivier Vergote, 2017. "A High-Frequency assessment of the ECB Securities Markets Programme," Journal of the European Economic Association, European Economic Association, vol. 15(1), pages 218-243.
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• Harry Vander Elst & David Veredas, 2017. "Smoothing it Out: Empirical and Simulation Results for Disentangled Realized Covariances," Journal of Financial Econometrics, Oxford University Press, vol. 15(1), pages 106-138.
• Xun Gong & Chunmei Lin & Remco C. J. Zwinkels, 2017. "Forecasting Crashes: Correlated Fund Flows and Skewness in Stock Returns," Journal of Financial Econometrics, Oxford University Press, vol. 15(1), pages 36-61.
• Simona Boffelli & Vasiliki D. Skintzi & Giovanni Urga, 2017. "High- and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers," Journal of Financial Econometrics, Oxford University Press, vol. 15(1), pages 62-105.
• Alexandru Badescu & Zhenyu Cui & Juan-Pablo Ortega, 2017. "Non-affine GARCH Option Pricing Models, Variance-Dependent Kernels, and Diffusion Limits," Journal of Financial Econometrics, Oxford University Press, vol. 15(4), pages 602-648.
• Michael S. O’Doherty & N. E. Savin & Ashish Tiwari, 2017. "Hedge Fund Replication: A Model Combination Approach," Review of Finance, European Finance Association, vol. 21(4), pages 1767-1804.
• Nathaniel Light & Denys Maslov & Oleg Rytchkov, 2017. "Aggregation of Information About the Cross Section of Stock Returns: A Latent Variable Approach," The Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1339-1381.
• Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2017. "Deflation Risk," The Review of Financial Studies, Society for Financial Studies, vol. 30(8), pages 2719-2760.
• Cioca Ionela Cornelia, 2017. "Fiscal and Accounting Aspects Regarding the Tax Specific on Certain Activities," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 445-450, June.
• Apostu Simona-Andreea, 2017. "Factor Analysis of Credit Risk in Romania," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 499-504, December.
• Rodríguez, Gabriel, 2017. "Extreme Value Theory: An Application to the Peruvian Stock Market Returns || Teoría de valores extremos: una aplicación a los retornos bursátiles peruanos," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 23(1), pages 48-74, Junio.
• Abedifar, Pejman & Giudici, Paolo & Hashem, Shatha Qamhieh, 2017. "Heterogeneous market structure and systemic risk: Evidence from dual banking systems," Journal of Financial Stability, Elsevier, vol. 33(C), pages 96-119.
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• Sankarkumar, Amirdha Vasani & Selvam, Murugesan & Maniam, Balasundram & Sigo, Marxia Oli, 2017. "Long memory features and relationship stability of Asia-Pacific currencies against USD," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), vol. 13(01).
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• Proelss, Juliane & Schweizer, Denis & Seiler, Volker, 2018. "Do announcements of WTO dispute resolution cases matter? Evidence from the rare earth elements market," Energy Economics, Elsevier, vol. 73(C), pages 1-23.
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• Alicja Fras, 2017. "The relation between management fees and the mutual funds` performance in Poland in 2015," Working Papers 26/2017, Institute of Economic Research, revised May 2017.
• Madeira, Makharam & Masih, Mansur, 2017. "Does the purchasing power parity theory hold for Malaysia ?," MPRA Paper 100017, University Library of Munich, Germany.
• Khalit, Nafsiah & Masih, Mansur, 2017. "Is shariah (islamic) stock price causally related to the macroeconomic variables ? Malaysian evidence," MPRA Paper 100251, University Library of Munich, Germany.
• Bakkali, Saad & Masih, Mansur, 2017. "Is the GCC islamic index independent of the conventional interest rates ?," MPRA Paper 100636, University Library of Munich, Germany.
• Malayan, Firoz & Masih, Mansur, 2017. "Causal linkages between the energy sector and islamic regional indexes: evidence from GCC, EU, US, emerging markets and Asia-pacific," MPRA Paper 100681, University Library of Munich, Germany.
• Ashraf, Kamran & Masih, Mansur, 2017. "Does the purchasing power parity theory still hold ? The UK as the case study," MPRA Paper 100764, University Library of Munich, Germany.
• Yousef, Mona & Masih, Mansur, 2017. "Time-varying correlation between islamic stock indices: evidence from the GCC countries based on MGARCH-DCC approach," MPRA Paper 100986, University Library of Munich, Germany.
• Miras, Hassan & Masih, Mansur, 2017. "Stock returns and macroeconomic factors in an emerging economy: Malaysian evidence," MPRA Paper 101229, University Library of Munich, Germany.
• Abdullah, Iskandar & Masih, Mansur, 2017. "The lead-lag relationship and the determinants of Islamic banks’ profit rates: Malaysian evidence," MPRA Paper 101916, University Library of Munich, Germany.
• Mohamad, Shaifulfazlee & Masih, Mansur, 2017. "What drives the property prices ? the Malaysian case," MPRA Paper 102411, University Library of Munich, Germany.
• Amanbayev, Yerkebulan & Masih, Mansur, 2017. "What factors affect the export competitiveness? Malaysian evidence," MPRA Paper 102512, University Library of Munich, Germany.
• Omar, Abdullah & Masih, Mansur, 2017. "Does inflation impact shariah (islamic) equity index and conventional equity index differently?the case of Malaysia," MPRA Paper 102576, University Library of Munich, Germany.
• Zada, Najeeb & Masih, Mansur, 2017. "Exploring the relationship between the Malaysian islamic index and international islamic indices," MPRA Paper 102809, University Library of Munich, Germany.
• Isa, Yazid & Masih, Mansur, 2017. "Does conventional interest rate influence islamic deposit rate of return or the other way around ? evidence from Malaysia," MPRA Paper 102877, University Library of Munich, Germany.
• Ahmed, Tayyab & Masih, Mansur, 2017. "Is islamic stock index related with conventional stock index ? evidence from the UK," MPRA Paper 102967, University Library of Munich, Germany.
• Osman, Fatimah & Masih, Mansur, 2017. "What are the drivers of islamic bank deposits ? evidence from Malaysia," MPRA Paper 103721, University Library of Munich, Germany.
• Abdullah, Mace & Masih, Mansur, 2017. "Is there any significant difference in global volatility of and correlation between shari’ah-compliant (Islamic) equities and sukuk ?," MPRA Paper 103729, University Library of Munich, Germany.
• Omar, Abdullah & Masih, Mansur, 2017. "Is the effect of inflation on shariah (islamic) stock and conventional stock different ? evidence from Malaysia," MPRA Paper 103732, University Library of Munich, Germany.
• Zakaria, Khairuddin & Masih, Mansur, 2017. "Impact of various islamic equity markets on sharia (islamic) compliant equity invesments in emerging markets," MPRA Paper 103799, University Library of Munich, Germany.
• Bahaman, Abrar & Masih, Mansur, 2017. "Identifying the lead-lag relationship between the shariah (islamic) equity index and macroeconomic variables: Malaysia as a case study," MPRA Paper 103820, University Library of Munich, Germany.
• Foziah, Nik Hazimi & Masih, Mansur, 2017. "Does islamic banking have significant effect on economic growth ? evidence from Malaysia," MPRA Paper 104703, University Library of Munich, Germany.
• Abbas, Amir & Masih, Mansur, 2017. "Islamic stock index, conventional stock index and macroeconomic variables," MPRA Paper 104806, University Library of Munich, Germany.
• al Bdiwy, Feras & Masih, Mansur, 2017. "The lead-lag relationship among select regional islamic equity markets," MPRA Paper 104973, University Library of Munich, Germany.
• Farouk, Faizal & Masih, Mansur, 2017. "Lead-lag relationship between islamic ETF price and strategic commodities: evidence from Malaysia," MPRA Paper 104977, University Library of Munich, Germany.
• Ibrahim, Zil Farlilah & Masih, Mansur, 2017. "Is gold a better choice as reserve currency for smaller market economies?," MPRA Paper 105474, University Library of Munich, Germany.
• Roslan, Ahmad Ridza & Masih, Mansur, 2017. "How does advertisement spending affect business performance of both islamic and conventional banks?," MPRA Paper 105578, University Library of Munich, Germany.
• Ali, Hakim & Masih, Mansur, 2017. "Granger-causality between islamic finance and growth: evidence from Malaysia," MPRA Paper 106112, University Library of Munich, Germany.
• Hamour, Mohamed & Masih, Mansur, 2017. "The dilemma of the sharia conscious investor: a time series analysis," MPRA Paper 106129, University Library of Munich, Germany.
• Cheah, Chee Keong & Masih, Mansur, 2017. "Does the growth of islamic bank financing depend on stock market growth? evidence from Malaysia," MPRA Paper 106192, University Library of Munich, Germany.
• Izani, Izahairani & Masih, Mansur, 2017. "Do islamic bank deposits depend on total islamic bank assets or the other way around ?," MPRA Paper 106218, University Library of Munich, Germany.
• Alamsyah, Janoearto & Masih, Mansur, 2017. "Impact of islamic money market development on islamic bank liquidity management: a case study of Indonesia," MPRA Paper 106778, University Library of Munich, Germany.
• Rahman, Nadiah Abd & Masih, Mansur, 2017. "Does the islamic bank deposit have an effect on equity market ? Malaysian case," MPRA Paper 106789, University Library of Munich, Germany.
• Azland, Adam & Masih, Mansur, 2017. "Discerning the relationship between bitcoin and islamic index," MPRA Paper 106790, University Library of Munich, Germany.
• Nor, Amiruddin & Masih, Mansur, 2017. "Granger-causality between islamic banks and conventional banks: evidence from Malaysia," MPRA Paper 107064, University Library of Munich, Germany.
• Ramic, Esma & Masih, Mansur, 2017. "Is islamic bank financing related to interest rate ? Malaysian evidence based on ARDL approach," MPRA Paper 107163, University Library of Munich, Germany.
• Hussin, Syaryanti & Masih, Mansur, 2017. "Does interest rate affect the saving account deposits of islamic banks ? evidence from Malaysia," MPRA Paper 107370, University Library of Munich, Germany.
• Hassen, Omar & Masih, Mansur, 2017. "Is shariah stock index better than the conventional stock index in explaining economic growth ? evidence from Malaysia," MPRA Paper 107749, University Library of Munich, Germany.
• Yusoff, Abdul & Masih, Mansur, 2017. "The impact of key industry-sectoral indices on islamic stock market: evidence from Malaysia," MPRA Paper 107907, University Library of Munich, Germany.
• Hassan, Hissam & Masih, Mansur, 2017. "Public debt and GDP growth in the Malaysian islamic economy," MPRA Paper 107999, University Library of Munich, Germany.
• Kalthum, Ummi & Masih, Mansur, 2017. "The lead-lag relationship between PPI, CPI and oil price: Malaysian evidence," MPRA Paper 108011, University Library of Munich, Germany.
• Yaacob, Nurul & Masih, Mansur, 2017. "Do the exchange rate fluctuations of trading partners affect the export competitiveness of a country? Malaysia as a case study," MPRA Paper 108037, University Library of Munich, Germany.
• Morni, Fareiny & Masih, Mansur, 2017. "Predicting stress in the banking sector: Malaysian evidence," MPRA Paper 108445, University Library of Munich, Germany.
• Salman, Firdaus & Masih, Mansur, 2017. "Is gold worth an investment ? a case study of Malaysia," MPRA Paper 108469, University Library of Munich, Germany.
• Fatiha, Illani & Masih, Mansur, 2017. "Causal relationship between FDI, trade, economic growth and exchange rate : Malaysian evidence," MPRA Paper 108485, University Library of Munich, Germany.
• Afifah, Irfan & Masih, Mansur, 2017. "Do macroeconomic variables have any impact on stock market? an Indonesian case study based on ARDL approach," MPRA Paper 108504, University Library of Munich, Germany.
• Mosteut, Safini & Masih, Mansur, 2017. "Does the exchange rate volatility affect the foreign direct investment? the case of Thailand," MPRA Paper 108898, University Library of Munich, Germany.
• Abbas, Aadil & Masih, Mansur, 2017. "Which investment (private or public) does contribute to economic growth more? a case study of South Africa," MPRA Paper 108919, University Library of Munich, Germany.
• Omar, Masitah & Masih, Mansur, 2017. "Does saving stimulate growth? the case of Malaysia," MPRA Paper 109242, University Library of Munich, Germany.
• Musaev, Mekhroj & Masih, Mansur, 2017. "Impact of oil price volatility on macroeconomic variables: an ARDL approach," MPRA Paper 109252, University Library of Munich, Germany.
• Isaacs, Ziyaat & Masih, Mansur, 2017. "Testing the long-run relationship between exchange rate, oil price, FDI and GDP: an ARDL approach," MPRA Paper 109279, University Library of Munich, Germany.
• Fadzil, Atikah & Masih, Mansur, 2017. "Does export lead growth? evidence from Japan," MPRA Paper 109290, University Library of Munich, Germany.
• Bekmuratov, Mukhsinbek & Masih, Mansur, 2017. "Granger-causality between oil price and macrovariables: ARDL approach," MPRA Paper 109862, University Library of Munich, Germany.
• Ludeen, Abdullah & Masih, Mansur, 2017. "What factors affect islamic bank deposits ? Malaysian case based on ARDL," MPRA Paper 109880, University Library of Munich, Germany.
• Salehyar, Masoud & Masih, Mansur, 2017. "Lead-lag between female employment and economic growth: evidence from Canada," MPRA Paper 109892, University Library of Munich, Germany.
• Sulaiman, Nadzri & Masih, Mansur, 2017. "Macroeconomic variables and stock markets (domestic and foreign): evidence from Malaysia," MPRA Paper 110154, University Library of Munich, Germany.
• Cheah, Ping Yean & Masih, Mansur, 2017. "Interdependence of international stock markets: Malaysian case," MPRA Paper 110196, University Library of Munich, Germany.
• Ghafar, Aiman & Masih, Mansur, 2017. "The unemployment rate and its determinants: the Malaysian case," MPRA Paper 110220, University Library of Munich, Germany.
• Ali, Ariffhidayat & Masih, Mansur, 2017. "Relationship between oil price and gross fixed capital formation: Malaysian case," MPRA Paper 110266, University Library of Munich, Germany.
• Quadri, Syed & Masih, Mansur, 2017. "Granger-causality between macroeconomic variables and stock market index: evidence from India," MPRA Paper 110304, University Library of Munich, Germany.
• Nazlan, Wan Syafiq & Masih, Mansur, 2017. "Does financial development lead or lag economic growth ? Malaysian evidence," MPRA Paper 110348, University Library of Munich, Germany.
• Daud, Ariff & Masih, Mansur, 2017. "Is there any relationship between exchange rate and investment ? evidence from Australia," MPRA Paper 110655, University Library of Munich, Germany.
• Sharabati, Yamen & Masih, Mansur, 2017. "Are imports driven by exports or the other way around ?Thailand evidence," MPRA Paper 110689, University Library of Munich, Germany.
• Rahmali, Atiqah & Masih, Mansur, 2017. "Discerning the effect of international stock markets before and after the subprime crisis," MPRA Paper 110700, University Library of Munich, Germany.
• Kaleemuddin, Mohammed & Masih, Mansur, 2017. "Does financial development drive economic growth ? an ARDL approach," MPRA Paper 110716, University Library of Munich, Germany.
• Khan, Azima & Masih, Mansur, 2017. "Does women empowerment Granger-cause economic growth or the other way around? evidence from Iceland," MPRA Paper 111186, University Library of Munich, Germany.
• Mukrim, Anis & Masih, Mansur, 2017. "The impact of macroeconomic variables on the crude palm oil export: Malaysian evidence based on ARDL approach," MPRA Paper 111740, University Library of Munich, Germany.
• Salleh, Eddee & Masih, Mansur, 2017. "Does gold act as an inflation hedge ? Malaysian case," MPRA Paper 111749, University Library of Munich, Germany.
• Rahamat, Amri & Masih, Mansur, 2017. "Granger-causality between oil price, exchange rate and government bonds: evidence from Malaysia," MPRA Paper 111769, University Library of Munich, Germany.
• Hoe, Foong Chee & Masih, Mansur, 2017. "Short - and long-run relationship between oil price and exchange rate: evidence from Malaysia based on Markov regime switching approach," MPRA Paper 112105, University Library of Munich, Germany.
• Lee, Siew Peng & Masih, Mansur, 2017. "Determinants of banks’ margins: case of islamic and conventional banks: evidence from Malaysia based on GMM approach," MPRA Paper 112110, University Library of Munich, Germany.
• Halim, Abdul & Masih, Mansur, 2017. "Comovement between crude oil prices and shariah stock indices: MGARCH-DCC and wavelet analysis," MPRA Paper 112141, University Library of Munich, Germany.
• Ariff, Azwar & Masih, Mansur, 2017. "Role of global financial crisis in causing dynamic connectedness of Asian equity markets," MPRA Paper 112555, University Library of Munich, Germany.
• Yang, Bill Huajian, 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," MPRA Paper 76271, University Library of Munich, Germany.
• Abdelbari El Khamlichi & Thi Hong Van Hoang & Wing‐keung Wong, 2016. "Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis," Post-Print hal-02964594, HAL.
  • El khamlichi, Abdelbari & HOANG, Thi Hong Van & Wong, Wing-Keung, 2017. "Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis," MPRA Paper 76282, University Library of Munich, Germany.
  • Abdelbari El Khamlichi & Thi Hong Van Hoang & Wing‐keung Wong, 2016. "Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis," Post-Print hal-02965765, HAL.
• CHIKHI, Mohamed, 2017. "Chocs exogènes et non linéarités dans les séries boursières: Application à la modélisation non paramétrique du cours de l'action Orange [Exogenous Shocks and nonlinearity in the stock exchange seri," MPRA Paper 76691, University Library of Munich, Germany, revised 2017.
• Michel Alexandre & Giovani A. S. Brito & Theo C. Martins, . "Default contagion among credit modalities: evidence from Brazilian data," Journal of Credit Risk, Journal of Credit Risk.
  • Alexandre, Michel & Antônio Silva Brito, Giovani & Cotrim Martins, Theo, 2017. "Default contagion among credit modalities: evidence from Brazilian data," MPRA Paper 76859, University Library of Munich, Germany.
• Pablo Pincheira Brown, 2022. "A Power Booster Factor for Out-of-Sample Tests of Predictability," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 45(89), pages 150-183.
  • Pincheira, Pablo, 2017. "A Power Booster Factor for Out-of-Sample Tests of Predictability," MPRA Paper 77027, University Library of Munich, Germany.
• Skintzi, Vasiliki D., 2019. "Determinants of stock-bond market comovement in the Eurozone under model uncertainty," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 20-28.
  • Skintzi, Vasiliki, 2017. "Determinants of stock-bond market comovement in the Eurozone under model uncertainty," MPRA Paper 78278, University Library of Munich, Germany.
• Senarathne, Chamil W & Jayasinghe, Prabhath, 2017. "Information Flow Interpretation of Heteroskedasticity for Capital Asset Pricing: An Expectation-based View of Risk," MPRA Paper 78771, University Library of Munich, Germany, revised 04 Apr 2017.
• Raymond Brummelhuis & Zhongmin Luo, 2017. "CDS Rate Construction Methods by Machine Learning Techniques," Papers 1705.06899, arXiv.org.
  • Brummelhuis, Raymond & Luo, Zhongmin, 2017. "CDS Rate Construction Methods by Machine Learning Techniques," MPRA Paper 79194, University Library of Munich, Germany.
• Razak, Lutfi Abdul & Masih, Mansur, 2017. "Revisit Feldstein-Horioka puzzle: evidence from Malaysia (1960-2015)," MPRA Paper 79407, University Library of Munich, Germany.
• Ahmed, Azleen Rosemy & Masih, Mansur, 2017. "What is the link between financial development and income inequality? evidence from Malaysia," MPRA Paper 79416, University Library of Munich, Germany.
• Nazeer, Abdul Malik & Masih, Mansur, 2017. "Impact of political instability on foreign direct investment and Economic Growth: Evidence from Malaysia," MPRA Paper 79418, University Library of Munich, Germany.
• Ndiaye, Ndeye Djiba & Masih, Mansur, 2017. "Is inflation targeting the proper monetary policy regime in a dual banking system? new evidence from ARDL bounds test," MPRA Paper 79420, University Library of Munich, Germany.
• Isaev, Mirolim & Masih, Mansur, 2017. "The nexus of private sector foreign debt, unemployment, trade openness: evidence from Australia," MPRA Paper 79423, University Library of Munich, Germany.
• Hasson, Ashwaq & Masih, Mansur, 2017. "Energy consumption, trade openness, economic growth, carbon dioxide emissions and electricity consumption: evidence from South Africa based on ARDL," MPRA Paper 79424, University Library of Munich, Germany.
• Nor, Amirudin Mohd & Masih, Mansur, 2017. "Do Islamic banks lead or lag conventional banks? Evidence from Malaysia," MPRA Paper 79425, University Library of Munich, Germany.
• Wahab, Fatin Farhana & Masih, Mansur, 2017. "Discerning lead-lag between fear index and realized volatility," MPRA Paper 79433, University Library of Munich, Germany.
• Hodori, Arif & Masih, Mansur, 2017. "Determinants of profitability of takaful operators: new evidence from Malaysia based on dynamic GMM approach," MPRA Paper 79441, University Library of Munich, Germany.
• Adekunle, Salami Saheed & Masih, Mansur, 2017. "Assessing the viability of Sukuk for portfolio diversification using MS-DCC-GARCH," MPRA Paper 79443, University Library of Munich, Germany.
• Tanin, Tauhidul Islam & Masih, Mansur, 2017. "Does economic freedom lead or lag economic growth? evidence from Bangladesh," MPRA Paper 79446, University Library of Munich, Germany.
• Citak, Yusuf Ensar & Masih, Mansur, 2017. "Discerning Granger-causal chain between oil prices, exchange rates and inflation rates: Evidence from Turkey," MPRA Paper 79453, University Library of Munich, Germany.
• Razak, Razman & Masih, Mansur, 2017. "The links between crude palm oil, conventional and Islamic stock markets: evidence from Malaysia based on continuous and discrete wavelet analysis," MPRA Paper 79717, University Library of Munich, Germany.
• Isaev, Mirolim & Masih, Mansur, 2017. "Macroeconomic and bank-specific determinants of different categories of non-performing financing in Islamic banks: Evidence from Malaysia," MPRA Paper 79719, University Library of Munich, Germany.
• Hosen, Mosharrof & Masih, Mansur, 2017. "Are Islamic risk factors blessings or curse for stock return? evidence from Malaysia based on dynamic GMM and quantile regression approaches," MPRA Paper 79738, University Library of Munich, Germany.
• Lim, Siok Jin & Masih, Mansur, 2017. "Exploring portfolio diversification opportunities in Islamic capital markets through bitcoin: evidence from MGARCH-DCC and Wavelet approaches," MPRA Paper 79752, University Library of Munich, Germany.
• Abdi, Aisha Aden & 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," MPRA Paper 79753, University Library of Munich, Germany.
• Broni, Mohammed Yaw & 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," MPRA Paper 79758, University Library of Munich, Germany.
• Umairah, Fatin & Masih, Mansur, 2017. "Should the Malaysian islamic stock market investors invest in regional and international equity markets to gain portfolio diversification benefits?," MPRA Paper 82117, University Library of Munich, Germany.
  • Umirah, Fatin & Masih, Mansur, 2017. "Should the Malaysian Islamic stock market investors invest in regional and international equity market to gain portfolio diversification benefits ?," MPRA Paper 79762, University Library of Munich, Germany.
• Chen, Bai & Masih, Mansur, 2017. "Are the Islamic and conventional money markets really highly correlated ? MGARCH-DCC and Wavelet approaches," MPRA Paper 79886, University Library of Munich, Germany.
• Yang, Bill Huajian, 2017. "Forward Ordinal Probability Models for Point-in-Time Probability of Default Term Structure," MPRA Paper 79934, University Library of Munich, Germany.
• Ozili, Peterson K, 2017. "Bank Loan Loss Provisions, Investor Protection and the Macroeconomy," MPRA Paper 80147, University Library of Munich, Germany.
• Yang, Bill Huajian, 2017. "Point-in-Time PD Term Structure Models with Loan Credit Quality as a Component," MPRA Paper 80641, University Library of Munich, Germany.
• Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "The Time-Varying Risk Price of Currency Carry Trades," MPRA Paper 80788, University Library of Munich, Germany.
• Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2019. "Carry trades and commodity risk factors," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 121-129.
  • Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "Carry Trades and Commodity Risk Factors," MPRA Paper 80789, University Library of Munich, Germany.
• Escobari, Diego & Garcia, Sergio & Mellado, Cristhian, 2017. "Identifying bubbles in Latin American equity markets: Phillips-Perron-based tests and linkages," Emerging Markets Review, Elsevier, vol. 33(C), pages 90-101.
  • Escobari, Diego & Garcia, Sergio & Mellado, Cristhian, 2017. "Identifying Bubbles in Latin American Equity Markets: Phillips-Perron-based Tests and Linkages," MPRA Paper 81453, University Library of Munich, Germany.
• Harri Pönkä, 2018. "Sentiment and sign predictability of stock returns," Economics Bulletin, AccessEcon, vol. 38(3), pages 1676-1684.
  • Pönkä, Harri, 2017. "Sentiment and sign predictability of stock returns," MPRA Paper 81861, University Library of Munich, Germany.
• Xin Jin & John M. Maheu & Qiao Yang, 2019. "Bayesian parametric and semiparametric factor models for large realized covariance matrices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 641-660, August.
  • Jin, Xin & Maheu, John M & Yang, Qiao, 2017. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," MPRA Paper 81920, University Library of Munich, Germany.
  • Xin Jin & John M. Maheu & Qiao Yang, 2018. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," Working Paper series 18-02, Rimini Centre for Economic Analysis.
• Diallo, Abdoulaye Kindy & Masih, Mansur, 2017. "CO2 emissions and financial development: evidence from the United Arab Emirates based on an ARDL approach," MPRA Paper 82054, University Library of Munich, Germany.
• Barnett, William A. & Su, Liting, 2020. "Financial Firm Production Of Inside Monetary And Credit Card Services: An Aggregation Theoretic Approach," Macroeconomic Dynamics, Cambridge University Press, vol. 24(1), pages 130-160, January.
  • Barnett, William & Su, Liting, 2017. "Financial Firm Production Of Inside Monetary And Credit Card Services: An Aggregation Theoretic Approach," Studies in Applied Economics 91, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
  • Barnett, William & Su, Liting, 2017. "Financial Firm Production of Inside Monetary and Credit Card Services: An Aggregation Theoretic Approach," MPRA Paper 82061, University Library of Munich, Germany.
• Nazib, Nur Afiyah & Masih, Mansur, 2017. "The response of monetary policy shocks on Islamic bank deposits: evidence from Malaysia based on ARDL approach," MPRA Paper 82094, University Library of Munich, Germany.
• Dzanan, Haris & Masih, Mansur, 2017. "Does currency depreciation necessarily result in positive trade balance ? new evidence from Norway," MPRA Paper 82103, University Library of Munich, Germany.
• Umirah, Fatin & Masih, Mansur, 2017. "Should the Malaysian Islamic stock market investors invest in regional and international equity market to gain portfolio diversification benefits ?," MPRA Paper 79762, University Library of Munich, Germany.
  • Umairah, Fatin & Masih, Mansur, 2017. "Should the Malaysian islamic stock market investors invest in regional and international equity markets to gain portfolio diversification benefits?," MPRA Paper 82117, University Library of Munich, Germany.
• Reza, Md. Ridwan & Masih, Mansur, 2017. "Regime switching behavior of volatilities of Islamic equities: evidence from Markov- Switching GARCH models for some selected broad based indices," MPRA Paper 82123, University Library of Munich, Germany.
• Poyraz, Mehmet Sami & Masih, Mansur, 2017. "External private debt and economic growth: Is there a lead-lag Granger-casual relationship? evidence from Turkey," MPRA Paper 82132, University Library of Munich, Germany.
• Mustapha, Ishaq Muhammad & Masih, Mansur, 2017. "Dynamics of islamic stock market returns and exchange rate movements in the ASEAN Countries in a regime-switching environment: Implications for the islamic investors and risk hedgers," MPRA Paper 82218, University Library of Munich, Germany.
• Hamidi Sahneh, Mehdi, 2017. "News, Noise, and Tests of Present Value Models," MPRA Paper 82715, University Library of Munich, Germany.
• LEGOUGUI, Fateh & CHIKHI, Mohamed, 2017. "استخدام نماذج Arch لنمذجة تقلبات أسعار الأسهم في سوق المال السعودي - دراسة حالة شركة اتحاد اتصالات السعودية – [Modelling Saudi Stock Market Volatility Using ARCH Models –Case Study : Etihad Etisala," MPRA Paper 84263, University Library of Munich, Germany, revised Oct 2017.
• Li, Longqing, 2017. "A Comparative Study of GARCH and EVT Model in Modeling Value-at-Risk," MPRA Paper 85645, University Library of Munich, Germany.
• MESTRE, Roman & Terraza, Michel, 2017. "Analyse Temps-fréquence du MEDAF –Application au CAC 40 – [Time-Frequency Analysis of CAPM- Application to the CAC 40-]," MPRA Paper 86272, University Library of Munich, Germany.
• MESTRE, Roman & TERRAZA, Michel, 2017. "Analyse Multidimensionnelle Temps-Fréquence du MEDAF [Multidimensional Time-Frequency Analysis Of The Capm]," MPRA Paper 86330, University Library of Munich, Germany.
• MESTRE, Roman & TERRAZA, Michel, 2017. "Estimation du Beta Tempo-fréquentiel de la Droite de Marché-Une approche par les ondelettes continues- [Time-Frequency varying Beta Estimation -A continuous wavelets approach-]," MPRA Paper 86335, University Library of Munich, Germany.
• Latheef, Udhula Abdul & Masih, Mansur, 2017. "Asymmetrical effects of macro variables on commercial bank deposits: evidence from Maldives based on NARDL," MPRA Paper 86361, University Library of Munich, Germany.
• Yousafzai, Essa & Masih, Mansur, 2017. "Does shariah stock index lead or lag the exchange rate and macroeconomic variables? evidence from Japan based on ARDL," MPRA Paper 86373, University Library of Munich, Germany.
• Malik, Meheroon Nisa Abdul & Masih, Mansur, 2017. "The relationship between energy consumption, financial development and economic growth: an evidence from Malaysia based on ARDL," MPRA Paper 86374, University Library of Munich, Germany.
• Noh, Nadia Mohd & Masih, Mansur, 2017. "The relationship between energy consumption and economic growth: evidence from Thailand based on NARDL and causality approaches," MPRA Paper 86384, University Library of Munich, Germany.
• Al-Dailami, Mohammed Abdullah & Masih, Mansur, 2017. "Is interest rate still the right tool for stimulating economic growth ? evidence from Japan," MPRA Paper 86387, University Library of Munich, Germany.
• Unal, Huseyin & Masih, Mansur, 2017. "Discerning causal relationship between operational cost and bank profit for commercial banks: Turkish evidence with ARDL approach," MPRA Paper 86391, University Library of Munich, Germany.
• Yildirim, Ramazan & Masih, Mansur & Bacha, Obiyathulla Ismath, 2018. "Determinants of capital structure: evidence from Shari'ah compliant and non-compliant firms," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 198-219.
  • Yildirim, Ramazan & Masih, Mansur & Bacha, Obiyathulla, 2017. "Determinants of capital structure - Evidence from Shari'ah compliant and non-compliant firms," MPRA Paper 90280, University Library of Munich, Germany, revised 26 May 2018.
• Das, Mahamitra & Sarkar, Nityananda, 2017. "Re-investigating the anomalous relationship between inflation and equity REIT returns: A regime-switching approach," MPRA Paper 95135, University Library of Munich, Germany, revised 05 Nov 2018.
• Hamid, Zuraini & Masih, Mansur, 2017. "The lead-lag relationship between the rubber price and inflation rate: an evidence from Malaysia," MPRA Paper 95564, University Library of Munich, Germany.
• Sulaiman, Saidu & Masih, Mansur, 2017. "Is liberalizing finance the game in town for Nigeria ?," MPRA Paper 95569, University Library of Munich, Germany.
• Burak Çıkıryel & Hakan Aslan & Mücahit Özdemir, 2021. "Impact of Brexit on Islamic stock markets: employing MGARCH-DCC and wavelet correlation analysis," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, vol. 15(1), pages 179-202, August.
  • Cikiryel, Burak & Masih, Mansur, 2017. "The Impact of Brexit on Islamic Stock Markets Employing MGARCH-DCC and Wavelet Correlation Analysis," MPRA Paper 95681, University Library of Munich, Germany.
• Abba, Junaid & Masih, Mansur, 2017. "Does oil impact Islamic stock markets ? evidence from MENA countries based on wavelet and markov switching approaches," MPRA Paper 95693, University Library of Munich, Germany.
• Halim, Hafeez & Masih, Mansur, 2017. "The causal relationship between islamic bank financing and macroeconomic variables: evidence from Malaysia based on ARDL approach," MPRA Paper 95697, University Library of Munich, Germany.
• Sulaiman, Ruslinda & Masih, Mansur, 2017. "Lead-lag relationship between GIA deposit and GIA profit rate in islamic banks:evidence from Malaysia," MPRA Paper 98677, University Library of Munich, Germany.
• Munjid, Modhaa & Masih, Mansur, 2017. "The causal relationship between the macroeconomic variables and the stock price: the case of Brazil," MPRA Paper 98779, University Library of Munich, Germany.
• Mohamed, Hazik & Masih, Mansur, 2017. "Stock market comovement among the ASEAN-5 : a causality analysis," MPRA Paper 98781, University Library of Munich, Germany.
• Shawtari, Fekri Ali & Masih, Mansur, 2017. "Granger-causal relationship between macroeconomic variables and stock prices: evidence from South Africa," MPRA Paper 99848, University Library of Munich, Germany.
• Habib, Farrukh & Masih, Mansur, 2017. "The effect of interest rates and rate of profit on islamic investment deposits: evidence from Malaysia," MPRA Paper 99909, University Library of Munich, Germany.
• Ayanda Sikhosana & Goodness C. Aye, 2017. "Asymmetric Volatility Effects between the Real Exchange Rate and Stock Prices in South Africa," Working Papers 201721, University of Pretoria, Department of Economics.
• Gupta, Rangan & Yoon, Seong-Min, 2018. "OPEC news and predictability of oil futures returns and volatility: Evidence from a nonparametric causality-in-quantiles approach," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 206-214.
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• Riza Demirer & Guilherme Demos & Rangan Gupta & Didier Sornette, 2019. "On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators," Quantitative Finance, Taylor & Francis Journals, vol. 19(5), pages 843-858, May.
  • Riza Demirer & Guilherme Demos & Rangan Gupta & Didier Sornette, 2017. "On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators," Working Papers 201752, University of Pretoria, Department of Economics.
• Rangan Gupta & Chi Keung Marco Lau & Seong-Min Yoon, 2019. "OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(4), pages 1-23, December.
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• Demirer, Riza & Gupta, Rangan & Suleman, Tahir & Wohar, Mark E., 2018. "Time-varying rare disaster risks, oil returns and volatility," Energy Economics, Elsevier, vol. 75(C), pages 239-248.
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• Wilson Donzwa & Rangan Gupta & Mark E. Wohar, 2017. "Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies: A Note," Working Papers 201764, University of Pretoria, Department of Economics.
• Rangan Gupta & Tahir Suleman & Mark E. Wohar, 2019. "Exchange rate returns and volatility: the role of time-varying rare disaster risks," The European Journal of Finance, Taylor & Francis Journals, vol. 25(2), pages 190-203, January.
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• Rangan Gupta & Tahir Suleman & Mark E. Wohar, 2019. "The role of time‐varying rare disaster risks in predicting bond returns and volatility," Review of Financial Economics, John Wiley & Sons, vol. 37(3), pages 327-340, July.
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• Rangan Gupta & Sheung-Chi Chow & Tahir Suleman & Wing-Keung Wong, 2019. "Long-Run Movement and Predictability of Bond Spread for BRICS and PIIGS: The Role of Economic, Financial and Political Risks," Journal of Reviews on Global Economics, Lifescience Global, vol. 8, pages 239-257.
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• Jaromir Tichy & Michal Bock, 2017. "Assessment of Investor’s Portfolio of P2P Loans and Structured Certificates of P2P Loans," ACTA VSFS, University of Finance and Administration, vol. 11(2), pages 121-143.
• Milan Fičura, 2017. "Forecasting Stock Market Realized Variance with Echo State Neural Networks," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2017(3), pages 145-155.
• Hana Bártová, 2017. "Influence of Catastrophe Risk on Insurance and Reinsurance Markets," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2017(4), pages 47-65.
• Claudiu Boţoc, 2017. "Univariate and Bivariate Volatility in Central European Stock Markets," Prague Economic Papers, Prague University of Economics and Business, vol. 2017(2), pages 127-141.
• Jiří Valecký, 2017. "Calculation of Solvency Capital Requirements for Non-life Underwriting Risk Using Generalized Linear Models," Prague Economic Papers, Prague University of Economics and Business, vol. 2017(4), pages 450-466.
• Narcisa Kadlčáková & Luboš Komárek, 2017. "Foreign Exchange Market Contagion in Central Europe from the Viewpoint of Extreme Value Theory," Prague Economic Papers, Prague University of Economics and Business, vol. 2017(6), pages 690-721.
• Aleš Kresta & Tomáš Tichý & Mehdi Toloo, 2017. "Posouzení modelů odhadu tržního rizika s využitím DEA přístupu [Examination of Market Risk Estimation Models via DEA Approach Modelling]," Politická ekonomie, Prague University of Economics and Business, vol. 2017(2), pages 161-178.
• Cristina Amado & Annastiina Silvennoinen & Timo Terasvirta, 2017. "Modelling and Forecasting WIG20 Daily Returns," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 9(3), pages 173-200, September.
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• Ricardo Perez & Raul F. Montalvo, 2017. "Analisis de la influencia de la actividad real de la economia sobre la volatilidad de la rentabilidad accionaria: un caso en el sector de edificacion en Mexico," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 14(2), pages 69-84, Julio-Dic.
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• Demirci, N. Savaş, 2017. "Testing Capital Structure Theories with CBRT Sectoral Balance Sheets: A Panel Data Analysis on Manufacturing Industry Sector (2001-2015)," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 8(2), pages 231-245, April.
• Kılıç, Muhammet Burak & Çelik, İsmail & Kaya, Murat, 2017. "Modeling of Volatility in the Stock Markets Returns: Classic and Bayesian GARCH Approaches for ISE -100," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 8(4), pages 715-726, October.
• Barnett, William A. & Su, Liting, 2020. "Financial Firm Production Of Inside Monetary And Credit Card Services: An Aggregation Theoretic Approach," Macroeconomic Dynamics, Cambridge University Press, vol. 24(1), pages 130-160, January.
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  • Barnett, William & Su, Liting, 2017. "Financial Firm Production Of Inside Monetary And Credit Card Services: An Aggregation Theoretic Approach," Studies in Applied Economics 91, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
• Saha, Atanu & Rinaudo, Alex, 2017. "Downside risk protection of Retirement Assets: A new approach," Journal of Financial Transformation, Capco Institute, vol. 45, pages 111-120.
• Bahrami, Jaber & Pahlavani, Mosayeb & Roshan , Reza & Rasekhi , Saeed, 2017. "The Impact of Exchange Rate Changes on Asset Returns in the Framework of a Consumption Based Capital Asset Pricing Model," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 4(1), pages 59-86, May.
• Adrian Cantemir CĂLIN & Oana Cristina POPOVICI & Gheorghe HURDUZEU, 2017. "The Impact of the Juncker Plan on Investors’ Beliefs," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 150-165, September.
• George Daniel Mateescu, 2017. "Regression on intervals," Working Papers of Institute for Economic Forecasting 170901, Institute for Economic Forecasting.
• Zi-Yi Guo, 2017. "Heavy-tailed Distributions and Risk Management of Equity Market Tail Events," Journal of Risk & Control, Risk Market Journals, vol. 4(1), pages 31-41.
• Vasilios Sogiakas, 2017. "Efficiency of the UK Stock Exchange," Journal of Risk & Control, Risk Market Journals, vol. 4(1), pages 51-69.
• Andreea – Cristina PETRICA & Stelian STANCU, 2017. "Empirical Results of Modeling EUR/RON Exchange Rate using ARCH, GARCH, EGARCH, TARCH and PARCH models," Romanian Statistical Review, Romanian Statistical Review, vol. 65(1), pages 57-72, March.
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• Davide De Gaetano, 2017. "Forecasting With Garch Models Under Structural Breaks: An Approach Based On Combinations Across Estimation Windows," Departmental Working Papers of Economics - University 'Roma Tre' 0219, Department of Economics - University Roma Tre.
• Davide De Gaetano, 2017. "A Bootstrap Bias Correction Of Long Run Fourth Order Moment Estimation In The Cusum Of Squares Test," Departmental Working Papers of Economics - University 'Roma Tre' 0220, Department of Economics - University Roma Tre.
• Ciciretti, Rocco & Dalò, Ambrogio & Dam, Lammertjan, 2023. "The contributions of betas versus characteristics to the ESG premium," Journal of Empirical Finance, Elsevier, vol. 71(C), pages 104-124.
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• Leopoldo Catania & Stefano Grassi, 2017. "Modelling Crypto-Currencies Financial Time-Series," CEIS Research Paper 417, Tor Vergata University, CEIS, revised 11 Dec 2017.
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• Pagliari, Maria Sole & Ahmed Hannan, Swarnali, 2024. "The volatility of capital flows in emerging markets: Measures and determinants," Journal of International Money and Finance, Elsevier, vol. 145(C).
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• Qing Zhou & Robert Faff, 2017. "The complementary role of cross-sectional and time-series information in forecasting stock returns," Australian Journal of Management, Australian School of Business, vol. 42(1), pages 113-139, February.
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• Rajesh Mohnot, 2017. "Examining Granger Causality in the Behavioral Reactions of Institutional Investors," Proceedings of International Academic Conferences 5808175, International Institute of Social and Economic Sciences.
• Luká? Frýd, 2017. "A wavelet transformation approach to crude oil price and CZK/USD exchange rate dependence," Proceedings of Economics and Finance Conferences 4507429, International Institute of Social and Economic Sciences.
• Zi-Yi Guo, 2017. "A Stochastic Factor Model for Risk Management of Commodity Derivatives," Proceedings of Economics and Finance Conferences 4507452, International Institute of Social and Economic Sciences.
• Sosa, Miriam & Ortiz, Edgar, 2017. "Global Financial Crisis Volatility Impact and Contagion Effect on NAFTA Equity Markets / Impacto de la volatilidad y efecto de contagio de la crisis global financiera en los mercados bursátiles del TL," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 7(1), pages 67-88, enero-jun.
• Tapia Gómez, Armando & Massa Roldán, Ricardo & Reyna Miranda, Montserrat, 2017. "Estrategia de construcción de portafolios de inversión: estudio comparativo para América Latina / Investment Portfolio Strategy: Comparative Study for Latin America," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 7(2), pages 177-199, julio-dic.
• Aleksandra Wójcicka, 2017. "Neural Networks in Credit Risk Classification of Companies in the Construction Sector," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 2(2), pages 63-77, December.
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• Joshua Odutola Omokehinde & Matthew Adeolu Abata & Stephen Oseko Migiro, 2017. "Foreign Exchange News Announcements and the Volatility of Stock Returns in Nigeria," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 67(3), pages 3-17, july-Sept.
• Joseph Olorunfemi Akande & Farai Kwenda, 2017. "P-SVAR Analysis of Stability in Sub-Saharan Africa Commercial Banks," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 67(3), pages 49-78, july-Sept.
• Carl H. Korkpoe & Peterson Owusu Junior, 2018. "Behaviour of Johannesburg Stock Exchange All Share Index Returns - An Asymmetric GARCH and News Impact Effects Approach," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 68(1), pages 26-42, January-M.
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  • Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2018. "The janus-faced nature of debt: results from a data-driven cointegrated svar approach," Post-Print hal-03471585, HAL.
  • Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2018. "The janus-faced nature of debt: results from a data-driven cointegrated svar approach," SciencePo Working papers Main hal-03471585, HAL.
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  • Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2017. "The Janus-faced nature of debt : results form a data driven cointegrated SVAR approach," SciencePo Working papers Main hal-03457555, HAL.
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• David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2017. "Volatility spillover and multivariate volatility impulse response analysis of GFC news events," Applied Economics, Taylor & Francis Journals, vol. 49(33), pages 3246-3262, July.
  • David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2016. "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Documentos de Trabajo del ICAE 2016-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2016. "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Tinbergen Institute Discussion Papers 16-084/III, Tinbergen Institute.
  • Allen, D.E. & McAleer, M.J. & Powell, R.J. & Singh, A.K., 2016. "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Econometric Institute Research Papers EI2016-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• José Fajardo, 2017. "A new factor to explain implied volatility smirk," Applied Economics, Taylor & Francis Journals, vol. 49(40), pages 4026-4034, August.
  • fajardo, José, 2016. "A New Factor to Explain Implied Volatility Smirk," MPRA Paper 71809, University Library of Munich, Germany.
• Filip Žikeš & Jozef Baruník & Nikhil Shenai, 2017. "Modeling and forecasting persistent financial durations," Econometric Reviews, Taylor & Francis Journals, vol. 36(10), pages 1081-1110, November.
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• Paul Catani & Timo Teräsvirta & Meiqun Yin, 2017. "A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 599-621, October.
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• Manabu Asai & Michael McAleer, 2017. "The impact of jumps and leverage in forecasting covolatility," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 638-650, October.
  • Asai, M. & McAleer, M.J., 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Econometric Institute Research Papers EI 2015-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Michael McAleer, 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Documentos de Trabajo del ICAE 2015-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Manabu Asai & Michael McAleer, 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Tinbergen Institute Discussion Papers 15-018/III, Tinbergen Institute.
• Siem Jan Koopman & Rutger Lit & André Lucas, 2017. "Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(520), pages 1490-1503, October.
  • Siem Jan Koopman & Rutger Lit & Andre Lucas, 2015. "Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model," Tinbergen Institute Discussion Papers 15-076/IV/DSF94, Tinbergen Institute.
• Joshua C. C. Chan, 2017. "The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 17-28, January.
  • Joshua C.C. Chan, 2015. "The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling," CAMA Working Papers 2015-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Luc Bauwens & Jean-François Carpantier & Arnaud Dufays, 2017. "Autoregressive Moving Average Infinite Hidden Markov-Switching Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 162-182, April.
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  • Luc BAUWENS & Jean-François CARPENTIER & Arnaud DUFAYS, 2017. "Autoregressive moving average infinite hidden Markov-switching models," LIDAM Reprints CORE 2836, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Biqing Cai & Jiti Gao & Dag Tjøstheim, 2017. "A New Class of Bivariate Threshold Cointegration Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 288-305, April.
  • Biqing Cai & Jiti Gao & Dag Tjostheim, 2015. "A New Class of Bivariate Threshold Cointegration Models," Monash Econometrics and Business Statistics Working Papers 1/15, Monash University, Department of Econometrics and Business Statistics.
• Tao Zou & Song Xi Chen, 2017. "Enhancing Estimation for Interest Rate Diffusion Models With Bond Prices," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(3), pages 486-498, July.
  • Zou, Tao & Chen, Song Xi, 2014. "Enhancing Estimation for Interest Rate Diffusion Models with Bond Prices," MPRA Paper 67073, University Library of Munich, Germany, revised Apr 2015.
• Ke Zhu & Wai Keung Li & Philip L. H. Yu, 2017. "Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(4), pages 528-542, October.
  • Zhu, Ke & Li, Wai Keung & Yu, Philip L.H., 2014. "Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates," MPRA Paper 53874, University Library of Munich, Germany.
• Dungey, Mardi & Harvey, John & Volkov, Vladimir, 2019. "The changing international network of sovereign debt and financial institutions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 149-168.
  • Dungey, Mardi & Harvey, John & Volkov, Vladimir, 2017. "The changing international network of sovereign debt and financial institutions," Working Papers 2017-04, University of Tasmania, Tasmanian School of Business and Economics.
• Meltem Gulenay Chadwick & Emine Meltem Bastan, 2017. "Beef Price Volatility in Turkey: Can Import Policy Affect the Price and Its Uncertainty?," Working Papers 1709, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
• Joscha Beckmann & Theo Berger & Robert Czudaj, 2019. "Gold price dynamics and the role of uncertainty," Quantitative Finance, Taylor & Francis Journals, vol. 19(4), pages 663-681, April.
  • Joscha Beckmann & Theo Berger & Robert Czudaj, 2017. "Gold Price Dynamics and the Role of Uncertainty," Chemnitz Economic Papers 006, Department of Economics, Chemnitz University of Technology, revised May 2017.
• Joscha Beckmann & Theo Berger & Robert Czudaj & Thi-Hong-Van Hoang, 2019. "Tail dependence between gold and sectorial stocks in China: perspectives for portfolio diversification," Empirical Economics, Springer, vol. 56(3), pages 1117-1144, March.
  • Joscha Beckmann & Theo Berger & Robert Czudaj & Thi-Hong-Van Hoang, 2016. "Tail dependence between gold and sectorial stocks in China: perspectives for portfolio diversification," Post-Print hal-02053864, HAL.
  • Joscha Beckmann & Theo Berger & Robert Czudaj & Thi-Hong-Van Hoang, 2017. "Tail dependence between gold and sectorial stocks in China: Perspectives for portfolio diversication," Chemnitz Economic Papers 012, Department of Economics, Chemnitz University of Technology, revised Jul 2017.
• David E. Allen & Michael McAleer & Abhay K. Singh, 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Documentos de Trabajo del ICAE 2017-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2017. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Tinbergen Institute Discussion Papers 17-013/III, Tinbergen Institute.
  • Allen, D.E. & McAleer, M.J. & Singh, A.K., 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Econometric Institute Research Papers EI2016-46, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chang, Chia-Lin & McAleer, Michael, 2019. "The fiction of full BEKK: Pricing fossil fuels and carbon emissions," Finance Research Letters, Elsevier, vol. 28(C), pages 11-19.
  • Chia-Lin Chang & Michael McAleer, 2018. "The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions," Documentos de Trabajo del ICAE 2018-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer, 2018. "The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions," Tinbergen Institute Discussion Papers 17-015/III, Tinbergen Institute.
• Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(11), pages 1141-1152, November.
  • Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Documentos de Trabajo del ICAE 2017-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Manabu Asai & Michael McAleer, 2017. "Forecasting the Volatility of Nikkei 225 Futures," Tinbergen Institute Discussion Papers 17-017/III, Tinbergen Institute.
  • Asai, M. & McAleer, M.J., 2017. "Forecasting the Volatility of Nikkei 225 Futures," Econometric Institute Research Papers TI 2017-017/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chen, J. & Kobayashi, M. & McAleer, M.J., 2017. "Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models," Econometric Institute Research Papers TI 2017-022/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2017. "Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models," Tinbergen Institute Discussion Papers 17-022/III, Tinbergen Institute.
  • Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2017. "Testing for volatility co-movement in bivariate stochastic volatility models," Documentos de Trabajo del ICAE 2017-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Sander Barendse, 2017. "Interquantile Expectation Regression," Tinbergen Institute Discussion Papers 17-034/III, Tinbergen Institute.
• Chia-Lin Chang & Michael McAleer & Guangdong Zuo, 2017. "Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA," Sustainability, MDPI, vol. 9(10), pages 1-22, October.
  • Chia-Lin Chang & Michael McAleer & Guangdong Zuo, 2017. "Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA," Documentos de Trabajo del ICAE 2017-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer & Guangdong Zuo, 2017. "Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA," Tinbergen Institute Discussion Papers 17-051/III, Tinbergen Institute.
  • Chang, C-L. & McAleer, M.J. & Zuo, G., 2017. "Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA," Econometric Institute Research Papers EI 2017-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Zopiatis, A. & Savva, C.S. & Lambertides, N. & McAleer, M.J., 2017. "Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic Factors," Econometric Institute Research Papers EI2017-15, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2017. "Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic Factors," Tinbergen Institute Discussion Papers 17-052/III, Tinbergen Institute.
• Chang, Chia-Lin & McAleer, Michael, 2017. "The correct regularity condition and interpretation of asymmetry in EGARCH," Economics Letters, Elsevier, vol. 161(C), pages 52-55.
  • Chang, C-L. & McAleer, M.J., 2017. "The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH," Econometric Institute Research Papers EI2017-17, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer, 2017. "The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH," Tinbergen Institute Discussion Papers 17-056/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer, 2017. "The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH," Documentos de Trabajo del ICAE 2017-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• David E. Allen & Michael McAleer, 2018. "Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management," Energies, MDPI, vol. 11(7), pages 1-19, June.
  • Tan, A.C. & McAleer, M.J., 2017. "Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management," Econometric Institute Research Papers 17-069/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • David Allen & Michael McAleer, 2017. "Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management," Tinbergen Institute Discussion Papers 17-069/III, Tinbergen Institute.
  • David E. Allen & Michael McAleer, 2017. "Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management," Documentos de Trabajo del ICAE 2017-22, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Francisco (F.) Blasques & Marc Nientker, 2017. "A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models," Tinbergen Institute Discussion Papers 17-072/III, Tinbergen Institute.
• McAleer, M.J., 2017. "Stationarity and Invertibility of a Dynamic Correlation Matrix," Econometric Institute Research Papers TI 2017-082/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael mcAleer, 2017. "Stationarity and Invertibility of a Dynamic Correlation Matrix," Tinbergen Institute Discussion Papers 17-082/III, Tinbergen Institute.
• Asai, Manabu & McAleer, Michael & Peiris, Shelton, 2020. "Realized stochastic volatility models with generalized Gegenbauer long memory," Econometrics and Statistics, Elsevier, vol. 16(C), pages 42-54.
  • Asai, M. & McAleer, M.J. & Peiris, S., 2017. "Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory," Econometric Institute Research Papers EI2017-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Michael McAleer & Shelton Peiris, 2017. "Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory," Tinbergen Institute Discussion Papers 17-105/III, Tinbergen Institute.
  • Manabu Asai & Shelton Peiris & Michael McAleer, 2017. "Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory," Documentos de Trabajo del ICAE 2017-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Hounyo, Ulrich & Gonçalves, Sílvia & Meddahi, Nour, 2017. "Bootstrapping Pre-Averaged Realized Volatility Under Market Microstructure Noise," Econometric Theory, Cambridge University Press, vol. 33(4), pages 791-838, August.
  • Ulrich Hounyo & Sílvia Goncalves & Nour Meddahi, 2013. "Bootstrapping pre-averaged realized volatility under market microstructure noise," CREATES Research Papers 2013-28, Department of Economics and Business Economics, Aarhus University.
  • Goncalves, Silvia & Hounyo, Ulrich & Meddahi, Nour, 2017. "Bootstrapping Pre-Averaged Realized Volatility under Market Microstructure Noise," TSE Working Papers 17-809, Toulouse School of Economics (TSE).
  • Goncalves, Silvia & Hounyo, Ulrich & Meddahi, Nour, 2017. "Bootstrapping Pre-Averaged Realized Volatility under Market Microstructure Noise," IDEI Working Papers 869, Institut d'Économie Industrielle (IDEI), Toulouse.
  • Ulrich Hounyo & Silvia Gonçalves & Nour Meddahi, 2016. "Bootstrapping pre-averaged realized volatility under market microstructure noise," CIRANO Working Papers 2016s-25, CIRANO.
• Chang, C-L. & McAleer, M.J., 2017. "The Fiction of Full BEKK," Econometric Institute Research Papers TI 2017-015/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer, 2017. "The Fiction of Full BEKK," Documentos de Trabajo del ICAE 2017-06, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(11), pages 1141-1152, November.
  • Manabu Asai & Michael McAleer, 2017. "Forecasting the Volatility of Nikkei 225 Futures," Tinbergen Institute Discussion Papers 17-017/III, Tinbergen Institute.
  • Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Documentos de Trabajo del ICAE 2017-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Asai, M. & McAleer, M.J., 2017. "Forecasting the Volatility of Nikkei 225 Futures," Econometric Institute Research Papers TI 2017-017/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016. "Connecting VIX and Stock Index ETF," Tinbergen Institute Discussion Papers 16-010/III, Tinbergen Institute, revised 23 Jan 2017.
  • Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2017. "Connecting VIX and Stock Index ETF," Documentos de Trabajo del ICAE 2017-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2017. "Connecting VIX and Stock Index ETF," Econometric Institute Research Papers 2016-010/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chen, J. & Kobayashi, M. & McAleer, M.J., 2017. "Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models," Econometric Institute Research Papers TI 2017-022/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2017. "Testing for volatility co-movement in bivariate stochastic volatility models," Documentos de Trabajo del ICAE 2017-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2017. "Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models," Tinbergen Institute Discussion Papers 17-022/III, Tinbergen Institute.
• Chia-Lin Chang & Michael McAleer & Guangdong Zuo, 2017. "Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA," Sustainability, MDPI, vol. 9(10), pages 1-22, October.
  • Chang, C-L. & McAleer, M.J. & Zuo, G., 2017. "Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA," Econometric Institute Research Papers EI 2017-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Guangdong Zuo, 2017. "Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA," Documentos de Trabajo del ICAE 2017-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer & Guangdong Zuo, 2017. "Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA," Tinbergen Institute Discussion Papers 17-051/III, Tinbergen Institute.
• Zopiatis, A. & Savva, C.S. & Lambertides, N. & McAleer, M.J., 2016. "Tourism Stocks in Times of Crises: an Econometric Investigation of Non-macro Factors," Econometric Institute Research Papers TI 2016-104/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2017. "Tourism stocks in times of crises: An econometric investigation of non-macro factors," Documentos de Trabajo del ICAE 2017-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2016. "Tourism stocks in times of crises: An econometric investigation of non-macro factors," Documentos de Trabajo del ICAE 2016-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2016. "Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors," Tinbergen Institute Discussion Papers 16-104/III, Tinbergen Institute.
• Chang, Chia-Lin & McAleer, Michael, 2017. "The correct regularity condition and interpretation of asymmetry in EGARCH," Economics Letters, Elsevier, vol. 161(C), pages 52-55.
  • Chia-Lin Chang & Michael McAleer, 2017. "The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH," Tinbergen Institute Discussion Papers 17-056/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer, 2017. "The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH," Documentos de Trabajo del ICAE 2017-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & McAleer, M.J., 2017. "The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH," Econometric Institute Research Papers EI2017-17, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• David E. Allen & Michael McAleer, 2018. "Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management," Energies, MDPI, vol. 11(7), pages 1-19, June.
  • David Allen & Michael McAleer, 2017. "Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management," Tinbergen Institute Discussion Papers 17-069/III, Tinbergen Institute.
  • David E. Allen & Michael McAleer, 2017. "Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management," Documentos de Trabajo del ICAE 2017-22, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Tan, A.C. & McAleer, M.J., 2017. "Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management," Econometric Institute Research Papers 17-069/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Asai, Manabu & McAleer, Michael & Peiris, Shelton, 2020. "Realized stochastic volatility models with generalized Gegenbauer long memory," Econometrics and Statistics, Elsevier, vol. 16(C), pages 42-54.
  • Asai, M. & McAleer, M.J. & Peiris, S., 2017. "Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory," Econometric Institute Research Papers EI2017-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Shelton Peiris & Michael McAleer, 2017. "Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory," Documentos de Trabajo del ICAE 2017-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Manabu Asai & Michael McAleer & Shelton Peiris, 2017. "Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory," Tinbergen Institute Discussion Papers 17-105/III, Tinbergen Institute.
• Ihor Voloshyn, 2017. "Predicting the Utilization Rate and Risk Measures of Committed Credit Facilities," Visnyk of the National Bank of Ukraine, National Bank of Ukraine, issue 240, pages 14-21.
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• Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto Calogero, 2017. "Estimation and model-based combination of causality networks," SAFE Working Paper Series 165, Leibniz Institute for Financial Research SAFE.
• Billio, Monica & Caporin, Massimiliano & Panzica, Roberto & Pelizzon, Loriana, 2023. "The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 196-223.
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• Hautsch, Nikolaus & Voigt, Stefan, 2017. "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168222, Verein für Socialpolitik / German Economic Association.
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• Pedersen, Thomas Quistgaard & Schütte, Erik Christian Montes, 2020. "Testing for explosive bubbles in the presence of autocorrelated innovations," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 207-225.
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• Giorgio Mirone, 2017. "Inference from the futures: ranking the noise cancelling accuracy of realized measures," CREATES Research Papers 2017-24, Department of Economics and Business Economics, Aarhus University.
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• Silvennoinen, Annastiina & Teräsvirta, Timo, 2024. "Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model," Econometrics and Statistics, Elsevier, vol. 32(C), pages 57-72.
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• Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou & Weining Wang, 2017. "Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing," CREATES Research Papers 2017-34, Department of Economics and Business Economics, Aarhus University.
• Nektarios Aslanidis & Charlotte Christiansen, 2017. "Flight to Safety from European Stock Markets," CREATES Research Papers 2017-38, Department of Economics and Business Economics, Aarhus University.
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• Ionel Bostan & Cristian Popescu & Costel Istrate & Ioan-Bogdan Robu, 2017. "The Impact of Taxation of the Domestic Economic Transactions on the Vat Collection Through Electronic Fiscal Devices," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 19(45), pages 581-581, May.
• Murugesan Selvam & Amirdha Vasani Sankarkumar & Balasundaram Maniam & Marxia Oli Sigo, 2017. "Long memory features and relationship stability of Asia-Pacific currencies against USD," Business and Economic Horizons (BEH), Prague Development Center, vol. 13(1), pages 97-109, March.
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• Md. Abu HASAN & Anita ZAMAN, 2017. "Volatility Nexus Between Stock Market And Macroeconomic Variables In Bangladesh: An Extended Garch Approach," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 64(2), pages 233-243, June.
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• Raddant, Matthias & Kenett, Dror Y., 2021. "Interconnectedness in the global financial market," Journal of International Money and Finance, Elsevier, vol. 110(C).
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• Clinet, Simon & Potiron, Yoann, 2019. "Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book," Journal of Econometrics, Elsevier, vol. 209(2), pages 289-337.
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• Hautsch, Nikolaus & Voigt, Stefan, 2019. "Large-scale portfolio allocation under transaction costs and model uncertainty," Journal of Econometrics, Elsevier, vol. 212(1), pages 221-240.
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• Li-Hui Chung & Ching-Chun Wei, 2017. "The Impact Effect of Corporate Governance and Corporate Social Responsibility on Company Performance After the Financial Tsunami," Asian Journal of Economic Modelling, Asian Economic and Social Society, vol. 5(4), pages 465-479, December.
• Chirag Shekhar & Mark Trede, 2017. "Portfolio Optimization Using Multivariate t-Copulas with Conditionally Skewed Margins," Review of Economics & Finance, Better Advances Press, Canada, vol. 9, pages 29-41, August.
• Tom Roberts, 2017. "A Counterfactual Valuation of the Stock Index as a Predictor of Crashes," Staff Working Papers 17-38, Bank of Canada.
• Reinhard Ellwanger, 2017. "On the Tail Risk Premium in the Oil Market," Staff Working Papers 17-46, Bank of Canada.
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• Enrico Bernardini & Johnny Di Giampaolo & Ivan Faiella & Riccardo Poli, 2017. "Investing in the electric utilities sector: the implications of carbon risk," Questioni di Economia e Finanza (Occasional Papers) 410, Bank of Italy, Economic Research and International Relations Area.
• Natoli, Filippo & Sigalotti, Laura, 2017. "A new indicator of inflation expectations anchoring," Working Paper Series 1996, European Central Bank.
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• BRATIAN Vasile & BUCUR Amelia, 2017. "The Development And The Current Status Of The Capital Market Hypotheses: A Few Benchmarks," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 69(1), pages 22-28, April.
• Gonçalo Faria & Fabio Verona, 2016. "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers) 06, Católica Porto Business School, Universidade Católica Portuguesa.
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• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016. "Connecting VIX and Stock Index ETF," Tinbergen Institute Discussion Papers 16-010/III, Tinbergen Institute, revised 23 Jan 2017.
  • Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2017. "Connecting VIX and Stock Index ETF," Econometric Institute Research Papers 2016-010/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2017. "Connecting VIX and Stock Index ETF," Documentos de Trabajo del ICAE 2017-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(11), pages 1141-1152, November.
  • Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Documentos de Trabajo del ICAE 2017-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Asai, M. & McAleer, M.J., 2017. "Forecasting the Volatility of Nikkei 225 Futures," Econometric Institute Research Papers TI 2017-017/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Michael McAleer, 2017. "Forecasting the Volatility of Nikkei 225 Futures," Tinbergen Institute Discussion Papers 17-017/III, Tinbergen Institute.
• Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2017. "Testing for volatility co-movement in bivariate stochastic volatility models," Documentos de Trabajo del ICAE 2017-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chen, J. & Kobayashi, M. & McAleer, M.J., 2017. "Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models," Econometric Institute Research Papers TI 2017-022/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2017. "Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models," Tinbergen Institute Discussion Papers 17-022/III, Tinbergen Institute.
• Héctor F. Salazar-Núñez & Francisco Venegas-Martínez & Cuauhtémoc Calderón-Villareal, 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?)," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(1), pages 1-24, May.
• Emmanuel I. MICHAEL & Ikechukwu A. ACHA & Joseph Michael ESSIEN, 2017. "Nigeria’s Investment Environment: Issues of Economic Growth and Development," Expert Journal of Finance, Sprint Investify, vol. 5(1), pages 1-11.
• Ikechukwu A. ACHA & Emmanuel IKPE MICHAEL & Joseph M. ESSIEN, 2017. "Nigeria’s Investment Environment: Issues of Economic Growth and Development," Expert Journal of Finance, Sprint Investify, vol. 5, pages 1-11.
• Barbara Bedowska-Sojka, 2017. "How Jumps Affect Liquidity? The Evidence from Poland," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(1), pages 39-52, March.
• Berna Kirkulak-Uludag & Zorikto Lkhamazhapov, 2017. "Volatility Dynamics of Precious Metals: Evidence from Russia," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(4), pages 300-317, August.
• Adam Kucera, 2017. "Interest Rates Modeling and Forecasting: Do Macroeconomic Factors Matter?," Working Papers IES 2017/08, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Mar 2017.
• Matej Nevrla, 2017. "Systemic Risk in the European Financial and Energy Sector: Dynamic Factor Copula Approach," Working Papers IES 2017/11, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2017.
• Jozef Barunik & Lucie Kraicova, 2017. "Common Cycles in Volatility and Cross Section of Stock Returns," Working Papers IES 2017/19, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2017.
• Kurka, Josef, 2019. "Do cryptocurrencies and traditional asset classes influence each other?," Finance Research Letters, Elsevier, vol. 31(C), pages 38-46.
  • Josef Kurka, 2017. "Do Cryptocurrencies and Traditional Asset Classes Influence Each Other?," Working Papers IES 2017/29, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Dec 2017.
• Guerini, Mattia & Moneta, Alessio & Napoletano, Mauro & Roventini, Andrea, 2020. "The Janus-Faced Nature Of Debt: Results From A Data-Driven Cointegrated Svar Approach," Macroeconomic Dynamics, Cambridge University Press, vol. 24(1), pages 24-54, January.
  • Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2017. "The Janus-Faced Nature of Debt: Results from a Data-Driven Cointegrated SVAR Approach," LEM Papers Series 2017/04, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  • Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2018. "The janus-faced nature of debt: results from a data-driven cointegrated svar approach," Post-Print hal-03471585, HAL.
  • Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2017. "The Janus-faced nature of debt : result from a data-driven cointegrated SVAR approach," Documents de Travail de l'OFCE 2017-02, Observatoire Francais des Conjonctures Economiques (OFCE).
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• Lily Y. Liu, 2017. "Estimating Loss Given Default from CDS under Weak Identification," Supervisory Research and Analysis Working Papers RPA 17-1, Federal Reserve Bank of Boston.
• Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, 2020. "Mildly explosive dynamics in U.S. fixed income markets," European Journal of Operational Research, Elsevier, vol. 287(2), pages 712-724.
  • Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, "undated". "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Economics Department, Working Paper Series 1001, Economics Department, Pomona College, revised 12 Feb 2020.
  • Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2017. "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Globalization Institute Working Papers 324, Federal Reserve Bank of Dallas.
  • Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2020. "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Working Papers 667, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
• Martin M. Andreasen & Jens H.E. Christensen & Glenn D. Rudebusch, 2017. "Term Structure Analysis with Big Data," CREATES Research Papers 2017-31, Department of Economics and Business Economics, Aarhus University.
  • Martin M. Andreasen & Jens H. E. Christensen & Glenn D. Rudebusch, 2017. "Term Structure Analysis with Big Data," Working Paper Series 2017-21, Federal Reserve Bank of San Francisco.
• Todd Prono, 2017. "Regular Variation of Popular GARCH Processes Allowing for Distributional Asymmetry," Finance and Economics Discussion Series 2017-095, Board of Governors of the Federal Reserve System (U.S.).
• Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017. "Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity," Econometrics, MDPI, vol. 5(2), pages 1-24, April.
  • Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017. "Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity," Econometrics Working Papers Archive 2017_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
• Giampiero M. Gallo & Edoardo Otranto, 2018. "Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 67(3), pages 549-573, April.
  • Giampiero M. Gallo & Edoardo Otranto, 2017. "Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach," Econometrics Working Papers Archive 2017_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
• Chia-Lin Chang & Michael McAleer, 2017. "A Simple Test for Causality in Volatility," Econometrics, MDPI, vol. 5(1), pages 1-5, March.
  • Chia-Lin Chang & Michael McAleer, 2016. "A Simple Test for Causality in Volatility," Tinbergen Institute Discussion Papers 16-094/III, Tinbergen Institute.
  • Chang, C-L. & McAleer, M.J., 2016. "A Simple Test for Causality in Volatility," Econometric Institute Research Papers EI2016-40, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017. "Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity," Econometrics, MDPI, vol. 5(2), pages 1-24, April.
  • Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017. "Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity," Econometrics Working Papers Archive 2017_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
• Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2017. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors," IJFS, MDPI, vol. 6(1), pages 1-24, December.
  • Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2016. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors," Tinbergen Institute Discussion Papers 16-052/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2016. "An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors," Documentos de Trabajo del ICAE 2016-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & McAleer, M.J. & Wang, C-H., 2016. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors," Econometric Institute Research Papers EI2016-31, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Shelton Peiris & Manabu Asai & Michael McAleer, 2017. "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," JRFM, MDPI, vol. 10(4), pages 1-16, December.
  • Peiris, S. & Asai, M. & McAleer, M.J., 2016. "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," Econometric Institute Research Papers EI2016-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Shelton Peiris & Manabu Asai & Michael McAleer, 2016. "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," Tinbergen Institute Discussion Papers 16-044/III, Tinbergen Institute.
  • Shelton Peiris & Manabu Asai & Michael McAleer, 2016. "Estimating and forecasting generalized fractional Long memory stochastic volatility models," Documentos de Trabajo del ICAE 2016-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chia-Lin Chang & Michael McAleer & Guangdong Zuo, 2017. "Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA," Sustainability, MDPI, vol. 9(10), pages 1-22, October.
  • Chia-Lin Chang & Michael McAleer & Guangdong Zuo, 2017. "Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA," Documentos de Trabajo del ICAE 2017-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer & Guangdong Zuo, 2017. "Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA," Tinbergen Institute Discussion Papers 17-051/III, Tinbergen Institute.
  • Chang, C-L. & McAleer, M.J. & Zuo, G., 2017. "Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA," Econometric Institute Research Papers EI 2017-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2017. "On the gains of using high frequency data and higher moments in Portfolio Selection," CeBER Working Papers 2017-02, Centre for Business and Economics Research (CeBER), University of Coimbra.
• Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2020. "High-Frequency Jump Analysis of the Bitcoin Market," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 209-232.
  • Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2017. "High-Frequency Jump Analysis of the Bitcoin Market," Swiss Finance Institute Research Paper Series 17-19, Swiss Finance Institute.
  • Scaillet, Olivier & Treccani, Adrien & Trevisan, Christopher, 2017. "High-frequency jump analysis of the bitcoin market," Working Papers unige:93900, University of Geneva, Geneva School of Economics and Management.
  • Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2017. "High-Frequency Jump Analysis of the Bitcoin Market," Papers 1704.08175, arXiv.org, revised Jun 2017.
• Julian Pareja Vasseur & Juan Giraldo Cerón & Santiago Zapata Valencia, 2017. "Market Risk, Non-parametric Methods: Hong-Kong Case," Economia Coyuntural,Revista de temas de perspectivas y coyuntura, Instituto de Investigaciones Economicas y Sociales 'Jose Ortiz Mercado' (IIES-JOM), Facultad de Ciencias Economicas, Administrativas y Financieras, Universidad Autonoma Gabriel Rene Moreno, vol. 2(4), pages 45-80.
• Boudt, Kris & Laurent, Sébastien & Lunde, Asger & Quaedvlieg, Rogier & Sauri, Orimar, 2017. "Positive semidefinite integrated covariance estimation, factorizations and asynchronicity," Journal of Econometrics, Elsevier, vol. 196(2), pages 347-367.
  • Kris Boudt & Sébastien Laurent & Asger Lunde & Rogier Quaedvlieg, 2014. "Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity," CREATES Research Papers 2014-05, Department of Economics and Business Economics, Aarhus University.
  • Kris Boudt & Sébastien Laurent & Asger Lunde & Rogier Quaedvlieg & Orimar Sauri, 2017. "Positive semidefinite integrated covariance estimation, factorizations and asynchronicity," Post-Print hal-01505775, HAL.
• Fredj Jawadi & Georges Prat, 2017. "Equity prices and fundamentals: a DDM–APT mixed approach," Review of Quantitative Finance and Accounting, Springer, vol. 49(3), pages 661-695, October.
  • Fredj Jawadi & Georges Prat, 2015. "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," Working Papers hal-04141411, HAL.
  • Fredj Jawadi & Georges Prat, 2017. "Equity prices and fundamentals: a DDM–APT mixed approach," Post-Print hal-01549758, HAL.
  • Fredj Jawadi & Georges Prat, 2015. "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," Working Papers 2015-630, Department of Research, Ipag Business School.
  • Fredj Jawadi & Georges Prat, 2015. "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," EconomiX Working Papers 2015-16, University of Paris Nanterre, EconomiX.
  • Fredj Jawadi & Georges Prat, 2015. "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," Working paper serie RMT - Grenoble Ecole de Management hal-04141411, HAL.
• Uctum, Remzi & Renou-Maissant, Patricia & Prat, Georges & Lecarpentier-Moyal, Sylvie, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Review of Financial Economics, Elsevier, vol. 35(C), pages 43-56.
  • Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," EconomiX Working Papers 2013-36, University of Paris Nanterre, EconomiX.
  • Georges Prat & Remzi Uctum & Sylvie Lecarpentier-Moyal & Patricia Renou-Maissant, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Post-Print hal-01549793, HAL.
  • Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Erudite Working Paper 2013-05, Erudite.
  • Sylvie Lecarpentier Moyal & Georges Prat & Patricia Renou Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Working Papers 2013-27, Department of Research, Ipag Business School.
  • Remzi Uctum & Patricia Renou-Maissant & Georges Prat & Sylvie Lecarpentier-Moyal, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Post-Print halshs-02080313, HAL.
  • Georges Prat & Remzi Uctum & Sylvie Lecarpentier-Moyal & Patricia Renou-Maissant, 2014. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Post-Print hal-01638222, HAL.
  • Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2014. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Post-Print hal-01411783, HAL.
• Gatfaoui, Hayette, 2017. "Equity market information and credit risk signaling: A quantile cointegrating regression approach," Economic Modelling, Elsevier, vol. 64(C), pages 48-59.
  • Hayette Gatfaoui, 2017. "Equity market information and credit risk signaling: A quantile cointegrating regression approach," Post-Print hal-01745285, HAL.
• Luc Bauwens & Jean-François Carpantier & Arnaud Dufays, 2017. "Autoregressive Moving Average Infinite Hidden Markov-Switching Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 162-182, April.
  • Bauwens, Luc & Carpantier, Jean-François & Dufays, Arnaud, 2015. "Autoregressive moving average infinite hidden markov-switching models," LIDAM Discussion Papers CORE 2015007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Luc Bauwens & Jean-François Carpantier & Arnaud Dufays, 2017. "Autoregressive Moving Average Infinite Hidden Markov-Switching Models," Post-Print hal-01795051, HAL.
  • Luc BAUWENS & Jean-François CARPENTIER & Arnaud DUFAYS, 2017. "Autoregressive moving average infinite hidden Markov-switching models," LIDAM Reprints CORE 2836, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Sanhaji Bilel, 2017. "Testing for Nonlinearity in Conditional Covariances," Journal of Time Series Econometrics, De Gruyter, vol. 9(2), pages 1-22, July.
  • Bilel Sanhaji, 2017. "Testing for Nonlinearity in Conditional Covariances," Post-Print hal-04218462, HAL.
  • Bilel Sanhaji, 2017. "Testing for nonlinearity in conditional covariances," Post-Print hal-02879361, HAL.
• Sanhaji Bilel, 2017. "Testing for Nonlinearity in Conditional Covariances," Journal of Time Series Econometrics, De Gruyter, vol. 9(2), pages 1-22, July.
  • Bilel Sanhaji, 2017. "Testing for nonlinearity in conditional covariances," Post-Print hal-02879361, HAL.
  • Bilel Sanhaji, 2017. "Testing for Nonlinearity in Conditional Covariances," Post-Print hal-04218462, HAL.
• Darolles, Serge & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Journal of Econometrics, Elsevier, vol. 204(2), pages 223-247.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2016. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590533, HAL.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590251, HAL.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," AMSE Working Papers 1845, Aix-Marseille School of Economics, France.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590232, HAL.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2017. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590471, HAL.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," Working Papers halshs-01944656, HAL.
  • Serge Darolles & Christian Francq & Sebastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590180, HAL.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-01980815, HAL.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2017. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590522, HAL.
  • Darolles, Serges & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," MPRA Paper 83988, University Library of Munich, Germany.
• Darolles, Serge & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Journal of Econometrics, Elsevier, vol. 204(2), pages 223-247.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2016. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590533, HAL.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590251, HAL.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," AMSE Working Papers 1845, Aix-Marseille School of Economics, France.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590232, HAL.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2017. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590522, HAL.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," Working Papers halshs-01944656, HAL.
  • Serge Darolles & Christian Francq & Sebastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590180, HAL.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2017. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590471, HAL.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-01980815, HAL.
  • Darolles, Serges & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," MPRA Paper 83988, University Library of Munich, Germany.
• Uctum, Remzi & Renou-Maissant, Patricia & Prat, Georges & Lecarpentier-Moyal, Sylvie, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Review of Financial Economics, Elsevier, vol. 35(C), pages 43-56.
  • Remzi Uctum & Patricia Renou‐Maissant & Georges Prat & Sylvie Lecarpentier‐Moyal, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Review of Financial Economics, John Wiley & Sons, vol. 35(1), pages 43-56, November.
  • Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," EconomiX Working Papers 2013-36, University of Paris Nanterre, EconomiX.
  • Remzi Uctum & Patricia Renou-Maissant & Georges Prat & Sylvie Lecarpentier-Moyal, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Post-Print halshs-02080313, HAL.
  • Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Erudite Working Paper 2013-05, Erudite.
  • Sylvie Lecarpentier Moyal & Georges Prat & Patricia Renou Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Working Papers 2013-27, Department of Research, Ipag Business School.
  • Georges Prat & Remzi Uctum & Sylvie Lecarpentier-Moyal & Patricia Renou-Maissant, 2014. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Post-Print hal-01638222, HAL.
  • Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2014. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Post-Print hal-01411783, HAL.
• Guerini, Mattia & Moneta, Alessio & Napoletano, Mauro & Roventini, Andrea, 2020. "The Janus-Faced Nature Of Debt: Results From A Data-Driven Cointegrated Svar Approach," Macroeconomic Dynamics, Cambridge University Press, vol. 24(1), pages 24-54, January.
  • Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2017. "The Janus-faced nature of debt : results form a data driven cointegrated SVAR approach," Working Papers hal-03457555, HAL.
  • Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2018. "The janus-faced nature of debt: results from a data-driven cointegrated svar approach," Post-Print hal-03471585, HAL.
  • Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2017. "The Janus-faced nature of debt : results form a data driven cointegrated SVAR approach," SciencePo Working papers Main hal-03457555, HAL.
  • Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2018. "The janus-faced nature of debt: results from a data-driven cointegrated svar approach," SciencePo Working papers Main hal-03471585, HAL.
  • Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2017. "The Janus-Faced Nature of Debt: Results from a Data-Driven Cointegrated SVAR Approach," LEM Papers Series 2017/04, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
• Guerini, Mattia & Moneta, Alessio & Napoletano, Mauro & Roventini, Andrea, 2020. "The Janus-Faced Nature Of Debt: Results From A Data-Driven Cointegrated Svar Approach," Macroeconomic Dynamics, Cambridge University Press, vol. 24(1), pages 24-54, January.
  • Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2017. "The Janus-faced nature of debt : results form a data driven cointegrated SVAR approach," SciencePo Working papers Main hal-03457555, HAL.
  • Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2018. "The janus-faced nature of debt: results from a data-driven cointegrated svar approach," Post-Print hal-03471585, HAL.
  • Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2017. "The Janus-faced nature of debt : results form a data driven cointegrated SVAR approach," Working Papers hal-03457555, HAL.
  • Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2018. "The janus-faced nature of debt: results from a data-driven cointegrated svar approach," SciencePo Working papers Main hal-03471585, HAL.
  • Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2017. "The Janus-Faced Nature of Debt: Results from a Data-Driven Cointegrated SVAR Approach," LEM Papers Series 2017/04, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
• Christophe Boucher & Gilles de Truchis & Elena Dumitrescu & Sessi Tokpavi, 2017. "Testing for Extreme Volatility Transmission with Realized Volatility Measures," EconomiX Working Papers 2017-20, University of Paris Nanterre, EconomiX.
  • Christophe Boucher & Gilles de Truchis & Elena Ivona Dumitrescu & Sessi Tokpavi, 2017. "Testing for Extreme Volatility Transmission with Realized Volatility Measures," Working Papers hal-04141651, HAL.
• Voges, Michelle & Leschinski, Christian & Sibbertsen, Philipp, 2017. "Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks," Hannover Economic Papers (HEP) dp-599, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "The Memory of Volatility," Hannover Economic Papers (HEP) dp-601, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Alexander N. Bogin & William M. Doerner, 2019. "Property Renovations and Their Impact on House Price Index Construction," Journal of Real Estate Research, Taylor & Francis Journals, vol. 41(2), pages 249-284, April.
  • Alexander N. Bogin & William M. Doerner, 2017. "Property Renovations and Their Impact on House Price Index Construction," FHFA Staff Working Papers 17-02, Federal Housing Finance Agency.
• Hideyuki Takamizawa, 2018. "A term structure model of interest rates with quadratic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 18(7), pages 1173-1198, July.
  • TAKAMIZAWA, Hideyuki & 高見澤, 秀幸, 2017. "A Term Structure Model of Interest Rates with Quadratic Volatility," Working Paper Series G-1-18, Hitotsubashi University Center for Financial Research.

2016

• Bent Jesper Christensen & Rasmus Tangsgaard Varneskov, 2021. "Dynamic Global Currency Hedging [Arbitrage in the Foreign Exchange Market: Turning on the Microscope]," Journal of Financial Econometrics, Oxford University Press, vol. 19(1), pages 97-127.
  • Bent Jesper Christensen & Rasmus T. Varneskov, 2016. "Dynamic Global Currency Hedging," CREATES Research Papers 2016-03, Department of Economics and Business Economics, Aarhus University.
• Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2018. "Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions," Journal of Econometrics, Elsevier, vol. 207(1), pages 71-91.
  • Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2016. "Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions," CREATES Research Papers 2016-10, Department of Economics and Business Economics, Aarhus University.
• Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2016. "Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach," CREATES Research Papers 2016-20, Department of Economics and Business Economics, Aarhus University.
• Kanaya, Shin, 2017. "Convergence Rates Of Sums Of Α-Mixing Triangular Arrays: With An Application To Nonparametric Drift Function Estimation Of Continuous-Time Processes," Econometric Theory, Cambridge University Press, vol. 33(5), pages 1121-1153, October.
  • Kanaya, Shin, 2016. "Convergence rates of sums of α-mixing triangular arrays : with an application to non-parametric drift function estimation of continuous-time processes," Discussion Paper Series 646, Institute of Economic Research, Hitotsubashi University.
  • Shin Kanaya, 2016. "Convergence rates of sums of a-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes," CREATES Research Papers 2016-24, Department of Economics and Business Economics, Aarhus University.
• Kim Christensen & Roel Oomen & Roberto Renò, 2016. "The Drift Burst Hypothesis," CREATES Research Papers 2016-28, Department of Economics and Business Economics, Aarhus University.
• Luc Bauwens & Manuela Braione & Giuseppe Storti, 2016. "Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices," Annals of Economics and Statistics, GENES, issue 123-124, pages 103-134.
  • BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe, 2014. "Forecasting comparison of long term component dynamic models for realized covariance matrices," LIDAM Discussion Papers CORE 2014053, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Luc Bauwens & Manuela Braione & Giuseppe Storti, 2016. "Forecasting comparison of long term component dynamic models for realized covariance matrices," LIDAM Reprints CORE 2923, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Serge Darolles & Gaëlle Le Fol & Christian Francq & Jean-Michel Zakoïan, 2016. "Intrinsic Liquidity in Conditional Volatility Models," Annals of Economics and Statistics, GENES, issue 123-124, pages 225-245.
  • Serge Darolles & Christian Francq & Gaëlle Le Fol & Jean-Michel Zakoïan, 2016. "Intrinsic Liquidity in Conditional Volatility Models," Post-Print hal-01500747, HAL.
• Alexandru Badescu & Joan del Castillo & Juan-Pablo Ortega, 2016. "Hedging of Time Discrete Auto-Regressive Stochastic Volatility Options," Annals of Economics and Statistics, GENES, issue 123-124, pages 271-306.
• Alexis Bienvenüe & Christian Y. Robert, 2016. "Systemic Tail Risk Distribution," Annals of Economics and Statistics, GENES, issue 123-124, pages 29-52.
• Jérôme Lahaye, 2016. "Currency Risk: Comovements and Intraday Cojumps," Annals of Economics and Statistics, GENES, issue 123-124, pages 53-76.
• Anne Péguin-Feissolle & Bilel Sanhaji, 2016. "Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models," Annals of Economics and Statistics, GENES, issue 123-124, pages 77-101.
  • Anne Peguin-Feissolle & Bilel Sanhaji, 2016. "Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models," Post-Print hal-04218472, HAL.
• Christian Francq & Jean-Michel Zakoïan, 2016. "Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels," Annals of Economics and Statistics, GENES, issue 123-124, pages 9-28.
• Tobias Adrian & Markus K. Brunnermeier, 2016. "CoVaR," American Economic Review, American Economic Association, vol. 106(7), pages 1705-1741, July.
  • Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York.
  • Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
• Serrao, Amilcar, 2016. "A controversial debate between financial speculation and changes in agricultural commodity spot prices," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235638, Agricultural and Applied Economics Association.
• Bastianin, Andrea & Conti, Francesca & Manera, Matteo, 2016. "The impacts of oil price shocks on stock market volatility: Evidence from the G7 countries," Energy Policy, Elsevier, vol. 98(C), pages 160-169.
  • Andrea Bastianin & Francesca Conti & Matteo Manera, 2015. "The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries," Working Papers 2015.99, Fondazione Eni Enrico Mattei.
  • Bastianin, Andrea & Conti, Francesca & Manera, Matteo, 2016. "The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries," Energy: Resources and Markets 230682, Fondazione Eni Enrico Mattei (FEEM).
  • Andrea BASTIANIN & Francesca CONTI & Matteo MANERA, 2015. "The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries," Departmental Working Papers 2015-17, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
• Ferreira Frascaroli, Bruno & Soares de Araújo Carvalho, Patrícia, 2016. "Transmissão De Preços No Mercado De Bioetanol Entre Alagoas E Pernambuco: Uma Análise De Cointegração," Revista de Economia e Agronegócio / Brazilian Review of Economics and Agribusiness, Federal University of Vicosa, Department of Agricultural Economics, vol. 14(01-2-3), pages 1-34.
• Breitung, Jörg & Hafner, Christian M., 2016. "A simple model for now-casting volatility series," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1247-1255.
  • Hafner, Christian & Breitung, Jörg, 2014. "A simple model for now-casting volatility series," LIDAM Discussion Papers CORE 2014060, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Breitung, J. & Hafner, C., 2016. "A simple model for now-casting volatility series," LIDAM Discussion Papers ISBA 2016035, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • Breitung, Jorg & Hafner, Christian, 2016. "A simple model for now-casting volatility series," LIDAM Reprints ISBA 2016040, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • Jörg BREITUNG & Christian M. HAFNER, 2016. "A simple model for now-casting volatility series," LIDAM Reprints CORE 2865, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Breitung, Jorg & Hafner, Christian, 2015. "A simple model for now-casting volatility series," LIDAM Discussion Papers ISBA 2015021, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • Breitung, J. & Hafner, C., 2014. "A simple model for now-casting volatility series," LIDAM Discussion Papers ISBA 2014046, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • BREITUNG, Jörg & HAFNER, Christian, 2016. "A Simple Model for Now-Casting Volatility Series," LIDAM Discussion Papers CORE 2016004, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Breitung, Jörg & Hafner, Christian M., 2016. "A simple model for now-casting volatility series," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1247-1255.
  • Hafner, Christian & Breitung, Jörg, 2014. "A simple model for now-casting volatility series," LIDAM Discussion Papers CORE 2014060, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Breitung, Jorg & Hafner, Christian, 2016. "A simple model for now-casting volatility series," LIDAM Reprints ISBA 2016040, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • Breitung, J. & Hafner, C., 2016. "A simple model for now-casting volatility series," LIDAM Discussion Papers ISBA 2016035, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • Jörg BREITUNG & Christian M. HAFNER, 2016. "A simple model for now-casting volatility series," LIDAM Reprints CORE 2865, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Breitung, Jorg & Hafner, Christian, 2015. "A simple model for now-casting volatility series," LIDAM Discussion Papers ISBA 2015021, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • Breitung, J. & Hafner, C., 2014. "A simple model for now-casting volatility series," LIDAM Discussion Papers ISBA 2014046, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • BREITUNG, Jörg & HAFNER, Christian, 2016. "A Simple Model for Now-Casting Volatility Series," LIDAM Discussion Papers CORE 2016004, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Saâd Benbachir & Mohammed Mehdi El Hamzi, 2016. "Non-Maturity Deposit Modeling in the Framework of Asset Liability Management," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 2(5), pages 79-98, 05-2016.
• Křehlík, Tomáš & Baruník, Jozef, 2017. "Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets," Energy Economics, Elsevier, vol. 65(C), pages 208-218.
  • Tomas Krehlik & Jozef Barunik, 2016. "Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets," Papers 1603.07020, arXiv.org, revised Jan 2017.
• Fan, Jianqing & Ke, Yuan & Liao, Yuan, 2021. "Augmented factor models with applications to validating market risk factors and forecasting bond risk premia," Journal of Econometrics, Elsevier, vol. 222(1), pages 269-294.
  • Jianqing Fan & Yuan Ke & Yuan Liao, 2016. "Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia," Papers 1603.07041, arXiv.org, revised Sep 2018.
• Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2016. "Copula--based Specification of vector MEMs," Econometrics Working Papers Archive 2016_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  • Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2016. "Copula--based Specification of vector MEMs," Papers 1604.01338, arXiv.org.
• Ormos, Mihály & Timotity, Dusan, 2016. "Unravelling the asymmetric volatility puzzle: A novel explanation of volatility through anchoring," Economic Systems, Elsevier, vol. 40(3), pages 345-354.
  • Mihaly Ormos & Dusan Timotity, 2016. "Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring," Papers 1606.03597, arXiv.org.
• Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2017. "Asymmetric volatility connectedness on the forex market," Journal of International Money and Finance, Elsevier, vol. 77(C), pages 39-56.
  • Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2016. "Asymmetric volatility connectedness on forex markets," Papers 1607.08214, arXiv.org.
  • Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2017. "Asymmetric volatility connectedness on the forex market," KIER Working Papers 956, Kyoto University, Institute of Economic Research.
• Kastner, Gregor, 2019. "Sparse Bayesian time-varying covariance estimation in many dimensions," Journal of Econometrics, Elsevier, vol. 210(1), pages 98-115.
  • Gregor Kastner, 2016. "Sparse Bayesian time-varying covariance estimation in many dimensions," Papers 1608.08468, arXiv.org, revised Nov 2017.
• M. Raddant & F. Wagner, 2022. "Multivariate GARCH with dynamic beta," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1324-1343, October.
  • Matthias Raddant & Friedrich Wagner, 2016. "Multivariate Garch with dynamic beta," Papers 1609.07051, arXiv.org, revised Nov 2019.
• Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019. "A diagnostic criterion for approximate factor structure," Journal of Econometrics, Elsevier, vol. 212(2), pages 503-521.
  • Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2016. "A Diagnostic Criterion for Approximate Factor Structure," Swiss Finance Institute Research Paper Series 16-51, Swiss Finance Institute, revised Dec 2016.
  • Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016. "A diagnostic criterion for approximate factor structure," Papers 1612.04990, arXiv.org, revised Aug 2017.
• Laurie Davies & Walter Kraemer, 2016. "Stylized Facts and Simulating Long Range Financial Data," CESifo Working Paper Series 5796, CESifo.
  • Laurie Davies & Walter Kramer, 2016. "Stylized Facts and Simulating Long Range Financial Data," Papers 1612.05229, arXiv.org.
• Ioan-Bogdan ROBU & Maria GROSU & Costel ISTRATE, 2016. "The Effect of the Auditors’ Rotation on the Accounting Quality in the Case of Romanian Listed Companies under the Transition to IFRS," The Audit Financiar journal, Chamber of Financial Auditors of Romania, vol. 14(133), pages 1-65, January.
• HAFNER, Christian & LINTON, Oliver B. & TANG, Haihan, 2016. "Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case," LIDAM Discussion Papers CORE 2016044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Christian M. Hafner & Oliver Linton & Haihan Tang, 2016. "Estimation of a multiplicative covariance structure in the large dimensional case," CeMMAP working papers 52/16, Institute for Fiscal Studies.
  • Christian M. Hafner & Oliver Linton & Haihan Tang, 2016. "Estimation of a multiplicative covariance structure in the large dimensional case," CeMMAP working papers CWP52/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  • Hafner, C. M. & Linton, O., 2016. "Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case," Cambridge Working Papers in Economics 1664, Faculty of Economics, University of Cambridge.
• Yulia Yelnikova, 2016. "Relationship Derivatives Financial Markets, Money And Stock Markets As A Subsystem Of Financial Market," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", vol. 2(1).
• Shlomo Yitzhaki, 2016. "A Potential Contradiction Between Economic Theory and Applied Finance," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 13-27, May.
• Alfonso Ugarte, 2016. "Long and short-run components in explanatory variables and different panel-data estimates," Working Papers 16/10, BBVA Bank, Economic Research Department.
• Héctor Pérez Saiz & Gabriel Xerri, 2016. "Credit Risk and Collateral Demand in a Retail Payment System," Discussion Papers 16-16, Bank of Canada.
• Fuchun Li & Héctor Pérez Saiz, 2016. "Measuring Systemic Risk Across Financial Market Infrastructures," Staff Working Papers 16-10, Bank of Canada.
• Ozge KORKMAZ & Deniz ERER & Elif ERER, 2016. "Do the Bubbles in Alternative Financial Instruments Affect the Turkish Stock Market? An Application to BIST100," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 10(2), pages 29-61.
• Benavides Guillermo, 2016. "Exchange Rate Risk Premium: An Analysis of its Determinants for the Mexican Peso-USD," Working Papers 2016-11, Banco de México.
• Laura Andrade-Pardo & Oscar Valencia-Arana & Diego Vásquez-Escobar & Mauricio Villamizar-Villegas, 2016. "Uncovering the portfolio balance channel with the use of sovereign credit ratings," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 34(81), pages 191-205, December.
  • Laura Andrade-Pardo & Oscar Valencia-Arana & Diego Vásquez-Escobar & Mauricio Villamizar-Villegas, 2016. "Uncovering the portfolio balance channel with the use of sovereign credit ratings," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 34(81), pages 191-205, November.
  • Laura Andrade-Pardo & Oscar Valencia-Arana & Diego Vásquez-Escobar & Mauricio Villamizar-Villegas, 2016. "Uncovering the Portfolio Balance Channel with the use of Sovereign Credit Ratings," Borradores de Economia 941, Banco de la Republica de Colombia.
• Daniel Mariño-Ustacara & Luis Fernando Melo-Velandia, 2016. "Relación entre los valores en riesgo de los principales mercados financieros colombianos: un enfoque a través de modelos multivariados de regresión cuantílica," Borradores de Economia 975, Banco de la Republica de Colombia.
• Laura Andrade-Pardo & Oscar Valencia-Arana & Diego Vásquez-Escobar & Mauricio Villamizar-Villegas, 2016. "Uncovering the portfolio balance channel with the use of sovereign credit ratings," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 34(81), pages 191-205, November.
  • Laura Andrade-Pardo & Oscar Valencia-Arana & Diego Vásquez-Escobar & Mauricio Villamizar-Villegas, 2016. "Uncovering the portfolio balance channel with the use of sovereign credit ratings," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 34(81), pages 191-205, December.
  • Laura Andrade-Pardo & Oscar Valencia-Arana & Diego Vásquez-Escobar & Mauricio Villamizar-Villegas, 2016. "Uncovering the Portfolio Balance Channel with the use of Sovereign Credit Ratings," Borradores de Economia 941, Banco de la Republica de Colombia.
• Virginie Coudert & Julien Idier, 2016. "An Early Warning System for Macro-prudential Policy in France," Working papers 609, Banque de France.
• Creel, Michael, 2017. "Neural nets for indirect inference," Econometrics and Statistics, Elsevier, vol. 2(C), pages 36-49.
  • Michael Creel, 2016. "Neural Nets for Indirect Inference," Working Papers 942, Barcelona School of Economics.
• Škrinjarić Tihana & Šego Boško, 2016. "Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach," Business Systems Research, Sciendo, vol. 7(2), pages 78-90, September.
• Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, 2016. "Statistical Modeling Of Stock Returns: Explanatory Or Descriptive? A Historical Survey With Some Methodological Reflections," Journal of Economic Surveys, Wiley Blackwell, vol. 30(1), pages 149-164, February.
  • Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, 2014. "Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections," DEOS Working Papers 1410, Athens University of Economics and Business.
  • Koundouri, Phoebe & Kourogenis, Nikolaos & Pittis, Nikitas, 2016. "Statistical modeling of stock returns: explanatory ordescriptive? A historical survey with some methodologicalreflections," LSE Research Online Documents on Economics 65549, London School of Economics and Political Science, LSE Library.
• Mohamed El Ghourabi & Christian Francq & Fedya Telmoudi, 2016. "Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(1), pages 46-76, January.
  • El Ghourabi, Mohamed & Francq, Christian & Telmoudi, Fedya, 2013. "Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified," MPRA Paper 51150, University Library of Munich, Germany.
• Xiaochun Liu, 2016. "Markov switching quantile autoregression," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 70(4), pages 356-395, November.
  • Liu, Xiaochun, 2013. "Markov-Switching Quantile Autoregression," MPRA Paper 55800, University Library of Munich, Germany.
• Roberto Rigobón, 2019. "Contagion, Spillover, and Interdependence," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, vol. 0(Spring 20), pages 69-99, April.
  • Rigobon, Roberto, 2016. "Contagion, spillover and interdependence," Working Paper Series 1975, European Central Bank.
  • Roberto Rigobon, 2016. "Contagion, spillover and interdependence," Bank of England working papers 607, Bank of England.
• Richard Harris & Evarist Stoja & Linh Nguyen, 2016. "Systematic tail risk," Bank of England working papers 637, Bank of England.
• Malliaropulos, Dimitris & Migiakis, Petros, 2018. "The re-pricing of sovereign risks following the Global Financial Crisis," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 39-56.
  • Dimitris Malliaropulos & Petros M. Migiakis, 2016. "The re-pricing of sovereign risks following the global financial crisis," Working Papers 210, Bank of Greece.
• Sun-Joong Yoon & Chang Gyun Park, 2016. "Non-Recourse Mortgage Loans and Implied Option Prices (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 22(1), pages 63-92, March.
• Beum-Jo Park, 2016. "Investors' Herd Behavior and its Relation with Volatility in the Korean Stock Market (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 22(3), pages 70-93, September.
• F. Lilla, 2016. "High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models," Working Papers wp1084, Dipartimento Scienze Economiche, Universita' di Bologna.
• Alaa Alaabed & Mansur Masih, 2016. "Finance-growth nexus: Insights from an application of threshold regression model to Malaysia's dual financial system," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 16(2), pages 63-71, June.
  • Alaaabed, Alaa & Masih, Mansur, 2014. "Finance-growth nexus: insights from an application of threshold regression model to Malaysia’s dual financial system," MPRA Paper 62990, University Library of Munich, Germany.
• Afees A. Salisu & Umar B. Ndako & Tirimisiyu F. Oloko & Lateef O. Akanni, 2016. "Unit root modeling for trending stock market series," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 16(2), pages 82-91, June.
• Ahmad Monir Abdullah & Buerhan Saiti & Mansur Masih, 2016. "The impact of crude oil price on Islamic stock indices of South East Asian countries: Evidence from MGARCH-DCC and wavelet approaches," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 16(4), pages 219-232, December.
• Favero Carlo A. & Missale Alessandro, 2016. "Contagion in the EMU – The Role of Eurobonds with OMTs," Review of Law & Economics, De Gruyter, vol. 12(3), pages 555-584, November.
• Bekierman Jeremias & Gribisch Bastian, 2016. "Estimating stochastic volatility models using realized measures," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(3), pages 279-300, June.
• Aboura Sofiane & Chevallier Julien & Jammazi Rania & Tiwari Aviral Kumar, 2016. "The place of gold in the cross-market dependencies," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(5), pages 567-586, December.
• Vanessa Neumann Sulzbach & João Mergulhão & Pedro L. Valls Pereira, 2016. "The Informational Content of Trades on Foreign Exchange Futures: an Application to the Brazilian Market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 14(1), pages 7-43.
• Taylor, Nick, 2017. "Realised variance forecasting under Box-Cox transformations," International Journal of Forecasting, Elsevier, vol. 33(4), pages 770-785.
  • Nick Taylor, 2016. "Realised Variance Forecasting Under Box-Cox Transformations," Bristol Accounting and Finance Discussion Papers 16/4, School of Accounting and Finance, University of Bristol, UK.
• Ito, R., 2016. "Spline-DCS for Forecasting Trade Volume in High-Frequency Finance," Cambridge Working Papers in Economics 1606, Faculty of Economics, University of Cambridge.
• Ryoko Ito, 2016. "Asymptotic Theory for Beta-t-GARCH," Cambridge Working Papers in Economics 1607, Faculty of Economics, University of Cambridge.
• Peter Malec, 2016. "A Semiparametric Intraday GARCH Model," Cambridge Working Papers in Economics 1633, Faculty of Economics, University of Cambridge.
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• David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2017. "Volatility spillover and multivariate volatility impulse response analysis of GFC news events," Applied Economics, Taylor & Francis Journals, vol. 49(33), pages 3246-3262, July.
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• Chia-Lin Chang & Michael McAleer, 2017. "A Simple Test for Causality in Volatility," Econometrics, MDPI, vol. 5(1), pages 1-5, March.
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• Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016. "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Documentos de Trabajo del ICAE 2016-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Asai, M. & Chang, C-L. & McAleer, M.J., 2016. "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Econometric Institute Research Papers EI2016-41, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016. "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Tinbergen Institute Discussion Papers 16-076/III, Tinbergen Institute.
• Chang, Chia-Lin & McAleer, Michael & Wang, Yu-Ann, 2018. "Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P1), pages 1002-1018.
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• David E. Allen & Michael McAleer & Abhay K. Singh, 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Documentos de Trabajo del ICAE 2017-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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• Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2016. "Tourism stocks in times of crises: An econometric investigation of non-macro factors," Documentos de Trabajo del ICAE 2016-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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• Ansgar Belke & Irina Dubova & Thomas Osowski, 2018. "Policy uncertainty and international financial markets: the case of Brexit," Applied Economics, Taylor & Francis Journals, vol. 50(34-35), pages 3752-3770, July.
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• M. Hakan Eratalay, 2016. "Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study," International Econometric Review (IER), Econometric Research Association, vol. 8(2), pages 19-52, September.
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• Héctor F. Salazar-Núñez. & Francisco Venegas Martínez., 2016. "Dinámicas del tipo de cambio nominal y del IPC, 1991-2014: una especificación que combina los modelos ARFIMA y GARCH," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, vol. 44(1), pages 147-168, Enero-Jun.
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• Falk Bräuning & Siem Jan Koopman, 2016. "The Dynamic Factor Network Model with an Application to Global Credit-Risk," Tinbergen Institute Discussion Papers 16-105/III, Tinbergen Institute.
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• Todd Prono, 2016. "Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance," Finance and Economics Discussion Series 2016-083, Board of Governors of the Federal Reserve System (U.S.).
• Breach, Tomas & D’Amico, Stefania & Orphanides, Athanasios, 2020. "The term structure and inflation uncertainty," Journal of Financial Economics, Elsevier, vol. 138(2), pages 388-414.
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• Peter Van Tassel & Erik Vogt, 2016. "Global variance term premia and intermediary risk appetite," Staff Reports 789, Federal Reserve Bank of New York.
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• Giampiero M. Gallo & Edoardo Otranto, 2016. "Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM," Econometrics Working Papers Archive 2016_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
• Francesco Calvori & Matteo Dentella & Giampiero M. Gallo, 2016. "Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears," Econometrics Working Papers Archive 2016_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
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• Arseny Mamedov & Evgenia Fomina & Alexandra Bozhechkova & Sergey Tsukhlo & Pavel Trunin & Victor Lyashok, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 20, pages 1-26, February.
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• Anne Péguin-Feissolle & Bilel Sanhaji, 2016. "Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models," Annals of Economics and Statistics, GENES, issue 123-124, pages 77-101.
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• Serge Darolles & Gaëlle Le Fol & Christian Francq & Jean-Michel Zakoïan, 2016. "Intrinsic Liquidity in Conditional Volatility Models," Annals of Economics and Statistics, GENES, issue 123-124, pages 225-245.
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• Abdelbari El Khamlichi & Thi Hong Van Hoang & Wing‐keung Wong, 2016. "Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis," Post-Print hal-02964594, HAL.
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• Anne Péguin-Feissolle & Bilel Sanhaji, 2016. "Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models," Annals of Economics and Statistics, GENES, issue 123-124, pages 77-101.
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• Sofiane Aboura & Julien Chevallier & Jammazi Rania & Aviral Kumar Tiwari, 2016. "The place of gold in the cross-market dependencies," Post-Print halshs-01348702, HAL.
• Green, Rikard & Larsson, Karl & Lunina, Veronika & Nilsson, Birger, 2018. "Cross-commodity news transmission and volatility spillovers in the German energy markets," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 231-243.
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• Liu, Yuna, 2016. "Stock exchange integration and price jump risks - The case of the OMX Nordic exchange mergers," Umeå Economic Studies 925, Umeå University, Department of Economics.
• Liu, Yuna, 2016. "Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations," Umeå Economic Studies 926, Umeå University, Department of Economics.
• Kanaya, Shin, 2017. "Convergence Rates Of Sums Of Α-Mixing Triangular Arrays: With An Application To Nonparametric Drift Function Estimation Of Continuous-Time Processes," Econometric Theory, Cambridge University Press, vol. 33(5), pages 1121-1153, October.
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• Greenwood-Nimmo, Matthew & Nguyen, Viet Hoang & Rafferty, Barry, 2016. "Risk and return spillovers among the G10 currencies," Journal of Financial Markets, Elsevier, vol. 31(C), pages 43-62.
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• Nataliya Trusova, 2016. "Predicted Possibility of Implementing Financial Potential at Agricultural Micro-Level," Oblik i finansi, Institute of Accounting and Finance, issue 2, pages 135-142, June.
• HAFNER, Christian & LINTON, Oliver B. & TANG, Haihan, 2016. "Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case," LIDAM Discussion Papers CORE 2016044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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• Shubhasis Dey, 2016. "Historical Events and the Gold Price," Working papers 198, Indian Institute of Management Kozhikode.
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• Guillermo Benavides Perales, 2016. "Exchange Rate Risk Premium: An Analysis of its Determinants for the Mexican Peso-USD," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 11(1), pages 55-77, Enero-Jun.
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• William A. Barnett & Marcelle Chauvet & Danilo Leiva‐Leon & Liting Su, 2024. "The Credit‐Card‐Services Augmented Divisia Monetary Aggregates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(5), pages 1163-1202, August.
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• Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting, 2016. "Nowcasting nominal gdp with the credit-card augmented Divisia monetary aggregates," MPRA Paper 73246, University Library of Munich, Germany.
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• Barnett, William A. & Su, Liting, 2019. "Risk Adjustment Of The Credit-Card Augmented Divisia Monetary Aggregates," Macroeconomic Dynamics, Cambridge University Press, vol. 23(S1), pages 90-114, September.
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• Thomas A. Severini, 2016. "A nonparametric approach to measuring the sensitivity of an asset’s return to the market," Annals of Finance, Springer, vol. 12(2), pages 179-199, May.
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• Lakatos, Máté, 2016. "A befektetői túlreagálás empirikus vizsgálata a Budapesti Értéktőzsdén [An empirical test for investor over-reaction on the Budapest stock exchange]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 762-786.
• Maria do Rosario CORREIA & Christian GOKUS & Andrew Hughes HALLETT & Christian R. RICHTER, 2016. "A Dynamic Analysis of the Determinants of the Greek Credit Default Swaps," Journal of Economics and Political Economy, KSP Journals, vol. 3(2), pages 350-376, June.
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• Christian Rudolf RICHTER & Bachar FAKHRY, 2016. "Testing the Efficiency of the GIPS Sovereign Debt Markets using an Asymmetrical Volatility Test," Journal of Economics and Political Economy, KSP Journals, vol. 3(3), pages 524-535, September.
• Latifa AITOUTOUHEN & Faris HAMZA, 2016. "Financial and Econometric Study of the Sustainability and Evaluation of Scenarios of Reforms for the Civil Regime of Moroccan," Turkish Economic Review, KSP Journals, vol. 3(4), pages 652-667, December.
• Bachar FAKHRY, 2016. "A Regime Switching Explanation of the Reactions of Market Participant during the Crisis," Journal of Economics Bibliography, KSP Journals, vol. 3(3), pages 434-449, September.
• Leleng KEBALO, 2016. "South African Exchange Rate After 2000s: An Econometric Investigation," Journal of Economics Bibliography, KSP Journals, vol. 3(3), pages 459-481, September.
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• Baumöhl, Eduard & Kočenda, Evžen & Lyócsa, Štefan & Výrost, Tomáš, 2018. "Networks of volatility spillovers among stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1555-1574.
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• Kanaya, Shin, 2017. "Convergence Rates Of Sums Of Α-Mixing Triangular Arrays: With An Application To Nonparametric Drift Function Estimation Of Continuous-Time Processes," Econometric Theory, Cambridge University Press, vol. 33(5), pages 1121-1153, October.
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• AUGUSTYNIAK, Maciej & BAUWENS, Luc & DUFAYS, Arnaud, 2016. "A New Approach to Volatility Modeling : The High-Dimensional Markov Model," LIDAM Discussion Papers CORE 2016042, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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• Markus Engler & Vahidin Jeleskovic, 2016. "Intraday volatility, trading volume and trading intensity in the interbank market e-MID," MAGKS Papers on Economics 201648, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
• Anastasios Demertzidis & Vahidin Jeleskovic, 2016. "Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID," MAGKS Papers on Economics 201649, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
• Biabani , Jahangir & Valipour Pasha , Mohammad, 2016. "The Impact of Regulatory Policies on Volatility under Prudential Framework," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 11(1), pages 53-70, January.
• Veronika Kajurova & Jana Hvozdenska, 2016. "Linkages between CDS, bond and stock markets: Evidence from Europe," MENDELU Working Papers in Business and Economics 2016-63, Mendel University in Brno, Faculty of Business and Economics.
• Narcisa Kadlcakova & Lubos Komarek & Zlatuse Komarkova & Michal Hlavacek, 2016. "Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(11), pages 2595-2609, November.
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• Buerhan Saiti & Obiyathulla Ismath Bacha & Mansur Masih, 2016. "Testing the Conventional and Islamic Financial Market Contagion: Evidence from Wavelet Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(8), pages 1832-1849, August.
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• Shahrin Saaid Shaharuddin & Wee-Yeap Lau & Rubi Ahmad, 2016. "A Survey of Literature on Islamic Equity Style Investing and its Applications," Capital Markets Review, Malaysian Finance Association, vol. 24(1), pages 68-83.
• Zsuzsanna Hosszú, 2016. "The impact of credit supply shocks and a new FCI based on a FAVAR approach," MNB Working Papers 2016/1, Magyar Nemzeti Bank (Central Bank of Hungary).
• Francesco Giuseppe Caloia & Andrea Cipollini & Silvia Muzzioli, 2016. "A note on normalization schemes:The case of generalized forecast error variance decompositions," Department of Economics 0092, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
• Gael M. Martin & Brendan P.M. McCabe & David T. Frazier & Worapree Maneesoonthorn & Christian P. Robert, 2016. "Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models," Monash Econometrics and Business Statistics Working Papers 09/16, Monash University, Department of Econometrics and Business Statistics.
• Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2017. "Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequency Measures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(3), pages 504-532, April.
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• Jan F. Kiviet & Zhenxi Chen, 2016. "A critical appraisal of studies analyzing co-movement of international stock markets with a focus on East-Asian indices," Economic Growth Centre Working Paper Series 1606, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
• Borovicka, J. & Hansen, L.P., 2016. "Term Structure of Uncertainty in the Macroeconomy," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1641-1696, Elsevier.
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• Raddant, Matthias & Kenett, Dror Y., 2021. "Interconnectedness in the global financial market," Journal of International Money and Finance, Elsevier, vol. 110(C).
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• Tomáš Heryán & Panayiotis G. Tzeremes & Roman Matousek, 2016. "European lending channel: differences in transmission mechanisms due to the global financial crisis," Working Papers 0027, Silesian University, School of Business Administration.
• Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2016. "Volatility Jumps and Their Economic Determinants," Journal of Financial Econometrics, Oxford University Press, vol. 14(1), pages 29-80.
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• Carsten Bormann & Julia Schaumburg & Melanie Schienle, 2016. "Beyond Dimension two: A Test for Higher-Order Tail Risk," Journal of Financial Econometrics, Oxford University Press, vol. 14(3), pages 552-580.
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• Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2016. "Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification," Journal of Financial Econometrics, Oxford University Press, vol. 14(3), pages 617-642.
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• Ionela Cornelia Cioca, 2016. "Analysis of Correlation Between Gross Domestic Product and Corporate Income Tax in the European Union Countries," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 481-486, July.
• Arango A., Mónica Andrea & Arroyave O., Santiago, 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 Gener," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 22(1), pages 190-215, December.
• Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2016. "Efficient skewness/semivariance portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 331-346, September.
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• Paolo Giudici & Peter Sarlin & Alessandro Spelta, 2016. "The multivariate nature of systemic risk: direct and common exposures," DEM Working Papers Series 118, University of Pavia, Department of Economics and Management.
• Juliane Proelss & Denis Schweizer & Volker Seiler, 2016. "Do WTO Rulings Really Matter? Evidence from the Rare Earth Elements Market," Working Papers CIE 97, Paderborn University, CIE Center for International Economics.
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• Juliane Proelss & Denis Schweizer & Volker Seiler, 2016. "Do WTO Rulings Really Matter? Evidence from the Rare Earth Elements Market," Working Papers CIE 93, Paderborn University, CIE Center for International Economics.
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• Marek Zinecker & Adam P. Balcerzak & Marcin Faldzinski & Tomas Meluzin & Michal Bernard Pietrzak, 2016. "Application of DCC-GARCH model for analysis of Interrelations among Capital Markets of Poland, Czech Republic and Germany," Chapters, in: Proceedings of the International Scientific Conference Quantitative Methods in Economics Multiple Criteria Decision Making XVIII, edition 1, volume 1, chapter 67, pages 418-423, Institute of Economic Research.
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• Marcin Faldzinski & Adam P. Balcerzak & Tomas Meluzin & Michal Bernard Pietrzak & Marek Zinecker, 2016. "Cointegration of Interdependencies Among Capital Markets of Chosen Visegrad Countries and Germany," Chapters, in: 34th International Conference Mathematical Methods in Economics MME 2016 Conference Proceedings, edition 1, volume 1, chapter 33, pages 189-194, Institute of Economic Research.
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• Tomas Heryan & Jan Ziegelbauer, 2016. "Volatility Of Yields Of Government Bonds Among Giips Countries During The Sovereign Debt Crisis In The Euro Area," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(1), pages 61-74, March.
• Magdalena Osinska & Andrzej Dobrzynski & Yochanan Shachmurove, 2016. "Performance Of American And Russian Joint Stock Companies On Financial Market. A Microstructure Perspective," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(4), pages 819-851, December.
• Marcin Faldzinski & Adam P. Balcerzak & Tomas Meluzin & Michal Bernard Pietrzak & Marek Zinecker, 2016. "Cointegration of Interdependencies Among Capital Markets of Chosen Visegrad Countries and Germany," Chapters, in: 34th International Conference Mathematical Methods in Economics MME 2016 Conference Proceedings, edition 1, volume 1, chapter 33, pages 189-194, Institute of Economic Research.
  • Marcin Faldzinski & Adam P. Balcerzak & Tomas Meluzin & Michal Bernard Pietrzak & Marek Zinecker, 2016. "Cointegration of Interdependencies Among Capital Markets of Chosen Visegrad Countries and Germany," Working Papers 21/2016, Institute of Economic Research, revised May 2016.
• Tomas Meluzin & Marek Zinecker & Michal Bernard Pietrzak & Marcin Faldzinski & Adam P. Balcerzak, 2016. "Value-at-Risk with Application of DCC-GARCH Model," Working Papers 35/2016, Institute of Economic Research, revised Sep 2016.
• Tomas Meluzin & Marek Zinecker & Michal Bernard Pietrzak & Marcin Faldzinski & Adam P. Balcerzak, 2016. "Interdependence among Capital Markets of Germany, Poland and Baltic States," Working Papers 36/2016, Institute of Economic Research, revised Sep 2016.
• Marek Zinecker & Adam P. Balcerzak & Marcin Faldzinski & Tomas Meluzin & Michal Bernard Pietrzak, 2016. "Application of DCC-GARCH model for analysis of Interrelations among Capital Markets of Poland, Czech Republic and Germany," Chapters, in: Proceedings of the International Scientific Conference Quantitative Methods in Economics Multiple Criteria Decision Making XVIII, edition 1, volume 1, chapter 67, pages 418-423, Institute of Economic Research.
  • Marek Zinecker & Adam P. Balcerzak & Marcin Faldzinski & Michal Bernad Pietrzak & Tomáš Meluzin, 2016. "Application of DCC-GARCH Model for Analysis of Interrelations Among Capital Markets of Poland, Czech Republic and Germany," Working Papers 4/2016, Institute of Economic Research, revised Feb 2016.
• Swastika, Putri & Masih, Mansur, 2016. "Do interest rate and inflation affect unemployment? evidence from Australia," MPRA Paper 100067, University Library of Munich, Germany.
• Othman, Azura & Masih, Mansur, 2016. "Economic determinants of islamic deposits: evidence from Malaysia," MPRA Paper 100238, University Library of Munich, Germany.
• Nahavandian, Mohsen & Masih, Mansur, 2016. "Granger-causal relationship between macroeconomic factors and the Malaysian islamic index," MPRA Paper 100805, University Library of Munich, Germany.
• Kamil, Nazrol & Masih, Mansur, 2016. "Shari’ah (islamic)compliant investments in Malaysia: influences of selected stock indices and their trend/cycle decomposition equity," MPRA Paper 100955, University Library of Munich, Germany.
• Abu Bakar, Norhidayah & Masih, Mansur, 2016. "Is islamic stock related to interest rate ? Malaysian evidence," MPRA Paper 101190, University Library of Munich, Germany.
• Musa, Mustafa & Masih, Mansur, 2016. "Are the ASEAN stock markets integrated with the US market ? new evidence from wavelet coherence," MPRA Paper 101256, University Library of Munich, Germany.
• Mahmud, Nurrul Iiyana & Masih, Mansur, 2016. "Are shariah (islamic) stock market returns stable ? evidence from the select islamic stock indices of emerging markets, USA, UK and Japan," MPRA Paper 101879, University Library of Munich, Germany.
• Salleh, Fadzlullah & Masih, Mansur, 2016. "Does finance lead or lag growth? evidence from Malaysia," MPRA Paper 102493, University Library of Munich, Germany.
• Daqane, Mohamed Qalib & Masih, Mansur, 2016. "Is islamic stock market affected by interest rates ? Malaysia as a case study," MPRA Paper 103784, University Library of Munich, Germany.
• Halim, Hafeez & Masih, Mansur, 2016. "Granger-causal relationship between islamic bank financing and macroeconomic variables: evidence from Malaysia based on ARDL," MPRA Paper 105424, University Library of Munich, Germany.
• Majeed, Raseena & Masih, Mansur, 2016. "Impact of macroeconomic variables on shariah stock markets: evidence from Malaysia based on ARDL approach," MPRA Paper 106118, University Library of Munich, Germany.
• Sulaiman, Junaid & Masih, Mansur, 2016. "Does interest rate impact the shariah index? Malaysian evidence based on ARDL approach," MPRA Paper 106145, University Library of Munich, Germany.
• Samad, Fadillah & Masih, Mansur, 2016. "Lead-lag relationship between domestic credit and economic growth: the case of Singapore," MPRA Paper 107380, University Library of Munich, Germany.
• Shin, Claire & Masih, Mansur, 2016. "Lead-lag relationship between macroeconomic variables: evidence from Korea," MPRA Paper 107870, University Library of Munich, Germany.
• Omar, Kamal & Masih, Mansur, 2016. "Granger-causal direction between crude oil and islamic deposits: Malaysian evidence," MPRA Paper 108522, University Library of Munich, Germany.
• Charnikat, Charnikat & Masih, Mansur, 2016. "Granger-causal relationship between real exchange rate and economic growth: Malaysia as a case study," MPRA Paper 108939, University Library of Munich, Germany.
• Ghafar, Nurul & Masih, Mansur, 2016. "Determinants of unemployment rate in an open economy: Malaysian evidence," MPRA Paper 109916, University Library of Munich, Germany.
• Khasanov, Khush & Masih, Mansur, 2016. "Macroeconomic variables and oil price: evidence from Turkey," MPRA Paper 110192, University Library of Munich, Germany.
• Khan, Aftab & Masih, Mansur, 2016. "Does islamic stock index lead or lag conventional stock index ? Malaysian case," MPRA Paper 110274, University Library of Munich, Germany.
• Abidin, Tengku & Masih, Mansur, 2016. "The relationship between the prices of gold and oil and macroeconomic variables: Malaysian evidence," MPRA Paper 110326, University Library of Munich, Germany.
• Naqi Shah, Sadia & Qayyum, Abdul, 2016. "Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan," MPRA Paper 85528, University Library of Munich, Germany.
  • Naqi Shah, Sadia & Qayyum, Abdul, 2016. "Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan," MPRA Paper 68783, University Library of Munich, Germany.
• Sucarrat, Genaro & Grønneberg, Steffen, 2016. "Models of Financial Return With Time-Varying Zero Probability," MPRA Paper 68931, University Library of Munich, Germany.
• Abarahan, Amnisuhailah Binti & Masih, Mansur, 2016. "Is energy a stimulus for economic growth? A focused study on Malaysia using the auto regressive distributed lag technique," MPRA Paper 69765, University Library of Munich, Germany.
• Mustapha, Ishaq Muhammad & Masih, Mansur, 2016. "Dutch disease or Nigerian disease: a prima facie? New evidence from ARDL bound test analysis," MPRA Paper 69767, University Library of Munich, Germany.
• Bukhari, Naseem & Masih, Mansur, 2016. "An empirical investigation of causal linkages between domestic terrorism and macroeconomic variables: a case for Pakistan," MPRA Paper 69768, University Library of Munich, Germany.
• Mohd Haniff, NorAzza & Masih, Mansur, 2016. "Does consumer sentiment predict consumer spending in Malaysia? an autoregressive distributed lag (ARDL) approach," MPRA Paper 69769, University Library of Munich, Germany.
• Ahsan, Zainab Fida & Masih, Mansur, 2016. "Exploring the nexus between income inequality and financial indicators: endemic to the Indian economy?," MPRA Paper 69770, University Library of Munich, Germany.
• Asadov, Alam & Masih, Mansur, 2016. "Home financing loans and their relationship to real estate bubble: An analysis of the U.S. mortgage market," MPRA Paper 69771, University Library of Munich, Germany.
• Naurin, Abida & Qayyum, Abdul, 2016. "Impact of Oil Price and Its Volatility on CPI of Pakistan: Bivariate EGARCH Model," MPRA Paper 69774, University Library of Munich, Germany.
• Mohammad Nor, Karina & Masih, Mansur, 2016. "Do spot and future palm oil prices influence the stock market prices of a major palm oil producer? the Malaysian experience," MPRA Paper 69777, University Library of Munich, Germany.
• Bouoiyour, Jamal & Selmi, Refk, 2016. "The infernal couple China-Oil Price and the Responses of G7 Equities: A QQ Approach," MPRA Paper 70379, University Library of Munich, Germany.
• Bouoiyour, Jamal & Selmi, Refk & Miftah, Amal, 2016. "On the reactions of sectoral equity returns to oil price in France: Implications for portfolio allocation," MPRA Paper 70382, University Library of Munich, Germany.
• Juan Carlos Cuestas & Ying Sophie Huang & Bo Tang, 2016. "Does the Yuan's Overseas Expansion Increase the Currency Exposure of Chinese Financial Firms?," Working Papers 2016006, The University of Sheffield, Department of Economics.
  • Cuestas, Juan Carlos & Huang, Ying & Tang, Bo, 2016. "Does the Yuan’s Overseas Expansion Increase the Currency Exposure of Chinese Financial Firms?," MPRA Paper 70921, University Library of Munich, Germany.
• Jim Griffin & Jia Liu & John M. Maheu, 2021. "Bayesian Nonparametric Estimation of Ex Post Variance [Out of Sample Forecasts of Quadratic Variation]," Journal of Financial Econometrics, Oxford University Press, vol. 19(5), pages 823-859.
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• Uddin, Md Akther & Masih, Mansur, 2016. "War and peace: why is political stability pivotal for economic growth of OIC countries?," MPRA Paper 71678, University Library of Munich, Germany.
• Tariq, Anam & Masih, Mansur, 2016. "Risk-sharing deposits in islamic banks: do interest rates have any influence on them?," MPRA Paper 71680, University Library of Munich, Germany.
• Haniff, Norazza Mohd & Masih, Mansur, 2016. "Shariah stocks as an inflation hedge in Malaysia," MPRA Paper 71681, University Library of Munich, Germany.
• Shakir, Zeeniya & Masih, Mansur, 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," MPRA Paper 71683, University Library of Munich, Germany.
• José Fajardo, 2017. "A new factor to explain implied volatility smirk," Applied Economics, Taylor & Francis Journals, vol. 49(40), pages 4026-4034, August.
  • fajardo, José, 2016. "A New Factor to Explain Implied Volatility Smirk," MPRA Paper 71809, University Library of Munich, Germany.
• Chowdhury, M. Ashraful Ferdous & Haque, M. Mahmudul & Alhabshi, Syed Othman & Masih, Abul Mansur M., 2016. "Socioeconomic Development and Its Effect on Performance of Islamic Banks: Dynamic Panel Approaches," MPRA Paper 71888, University Library of Munich, Germany.
• Hasnul, Al Gifari & Masih, Mansur, 2016. "Role of instability in affecting capital flight magnitude: An ARDL bounds testing approach," MPRA Paper 72086, University Library of Munich, Germany.
• Halim, Asyraf Abdul & Ariff, Muhammad & Masih, A. Mansur M., 2016. "The impact of real estate, inequality and current account imbalances on excessive credit: A cross country analysis," MPRA Paper 72093, University Library of Munich, Germany.
• Lokman, Azarahiah & Masih, Mansur, 2016. "What drives banks’ willingness to lend to SMEs? An ARDL approach," MPRA Paper 72113, University Library of Munich, Germany.
• Ziaurrahman, Muhammad & Masih, Mansur, 2016. "Is financial sector development an engine of economic growth? evidence from India," MPRA Paper 72121, University Library of Munich, Germany.
• Sultan, Yousuf & Masih, Mansur, 2016. "Does microfinance affect economic growth? Evidence from Bangladesh based on ARDL approach," MPRA Paper 72123, University Library of Munich, Germany.
• Hasbullah, Faruq & Masih, Mansur, 2016. "Fast profits in a fasting month? A markov regime switching approach in search of ramadan effect on stock markets," MPRA Paper 72149, University Library of Munich, Germany.
• Mantai, Mohammed Mahmoud & Masih, Mansur, 2016. "Do changes in shariah screening methodology make islamic indices substitutes or complements? an application of MGARCH-DCC and markov switching analysis," MPRA Paper 72166, University Library of Munich, Germany.
• Ali, Hakim & Masih, Mansur, 2016. "Evidence of cross-country portfolio diversification benefits: The case of Saudi Arabia," MPRA Paper 72180, University Library of Munich, Germany.
• Escribano, Alvaro & Sucarrat, Genaro, 2018. "Equation-by-equation estimation of multivariate periodic electricity price volatility," Energy Economics, Elsevier, vol. 74(C), pages 287-298.
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  • Escribano, Alvaro & Sucarrat, Genaro, 2016. "Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility," MPRA Paper 72736, University Library of Munich, Germany.
• William A. Barnett & Marcelle Chauvet & Danilo Leiva‐Leon & Liting Su, 2024. "The Credit‐Card‐Services Augmented Divisia Monetary Aggregates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(5), pages 1163-1202, August.
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• William A. Barnett & Marcelle Chauvet & Danilo Leiva-Leon & Liting Su, 2016. "Nowcasting Nominal GDP with the Credit-Card Augmented Divisia Monetary Aggregates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201605, University of Kansas, Department of Economics, revised Aug 2016.
  • Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting, 2016. "Nowcasting nominal gdp with the credit-card augmented Divisia monetary aggregates," MPRA Paper 73246, University Library of Munich, Germany.
• Barnett, William A. & Su, Liting, 2019. "Risk Adjustment Of The Credit-Card Augmented Divisia Monetary Aggregates," Macroeconomic Dynamics, Cambridge University Press, vol. 23(S1), pages 90-114, September.
  • Barnett, William & Su, Liting, 2016. "Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates," Studies in Applied Economics 67, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
  • Barnett, William & Su, Liting, 2016. "Risk adjustment of the credit-card augmented Divisia monetary aggregates," MPRA Paper 73248, University Library of Munich, Germany.
  • William A. Barnett & Liting Su, 2016. "Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201606, University of Kansas, Department of Economics, revised Aug 2016.
• Tomić, Bojan, 2016. "Ispitivanje kalendarskih sezonaliteta na hrvatskom tržištu kapitala [Testing the significance of calendar effects on croatian capital market]," MPRA Paper 73311, University Library of Munich, Germany.
• John M Maheu & Azam Shamsi Zamenjani, 2021. "Nonparametric Dynamic Conditional Beta," Journal of Financial Econometrics, Oxford University Press, vol. 19(4), pages 583-613.
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• Gencer, Murat & Unal, Gazanfer, 2016. "Testing Non-Linear Dynamics, Long Memory and Chaotic Behaviour of Energy Commodities," MPRA Paper 74115, University Library of Munich, Germany.
• Lo, Chi-Sheng, 2016. "Structural VAR analysis of monetary transmission mechanism and central bank’s response to equity volatility shock in Taiwan," MPRA Paper 74150, University Library of Munich, Germany.
• Giovanna Bua & Carmine Trecroci, 2019. "International equity markets interdependence: bigger shocks or contagion in the 21st century?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 155(1), pages 43-69, February.
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• Bonga-Bonga, Lumengo & Mabe, Queen Magadi, 2020. "How financially integrated are trading blocs in Africa?," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 84-94.
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• Aknouche, Abdelhakim & Al-Eid, Eid & Demouche, Nacer, 2016. "Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models," MPRA Paper 75770, University Library of Munich, Germany, revised 19 Dec 2016.
• BONGA-BONGA, Lumengo & NLEYA, Lebogang, 2018. "Assessing Portfolio Market Risk in the BRICS Economies: Use of Multivariate GARCH Models," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 71(2), pages 87-128.
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• Yang, Bill Huajian & Du, Zunwei, 2016. "Rating Transition Probability Models and CCAR Stress Testing: Methodologies and implementations," MPRA Paper 76270, University Library of Munich, Germany.
• Naser, Hanan & Ahmed, Abdul Rashid, 2016. "Oil Price Shocks and Stock Market Performance in Emerging Economies: Some Evidence using FAVAR Models," MPRA Paper 77868, University Library of Munich, Germany.
• Alexis Akira Toda & Kieran James Walsh, 2017. "Fat tails and spurious estimation of consumption‐based asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(6), pages 1156-1177, September.
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• Naseer, Areef Ahmed & Masih, Mansur, 2016. "Expect the unexpected: housing price bubble on the horizon in Malaysia," MPRA Paper 79721, University Library of Munich, Germany.
• Majeed, Ayesha & Masih, Mansur, 2016. "A study of long- run theoretical relationship between ASEAN stock market indices and developed stock market indices of US and Japan," MPRA Paper 79724, University Library of Munich, Germany.
• Nurhaliq, Puteri & Masih, Mansur, 2016. "Export orientation vs import substitution : which strategy should the government adopt? Evidence from Malaysia," MPRA Paper 82113, University Library of Munich, Germany.
• Naqi Shah, Sadia & Qayyum, Abdul, 2016. "Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan," MPRA Paper 68783, University Library of Munich, Germany.
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• Otero, Karina V., 2016. "Intensity of default in sovereign bonds: Estimation of an unobservable process," MPRA Paper 86782, University Library of Munich, Germany.
• Najeeb, Faiq & Masih, Mansur, 2016. "Macroeconomic variables and stock returns: evidence from Singapore," MPRA Paper 98778, University Library of Munich, Germany.
• Hakim, Idwan & Masih, Mansur, 2016. "Does finance lead or lag economic growth ? the Malaysian evidence," MPRA Paper 99997, University Library of Munich, Germany.
• Pramod Kumar Naik & Rangan Gupta & Puja Padhi, 2018. "The Relationship Between Stock Market Volatility And Trading Volume: Evidence From South Africa," Journal of Developing Areas, Tennessee State University, College of Business, vol. 52(1), pages 99-114, January-M.
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• Jan Hanousek & Evžen Kočenda & Jan Novotný, 2016. "Shluková analýza skoků na kapitálových trzích [Cluster Analysis of Jumps on Capital Markets]," Politická ekonomie, Prague University of Economics and Business, vol. 2016(2), pages 127-144.
• Jan Hanousek & Anastasiya Shamshur & Jiří Trešl, 2016. "Vliv korupčního prostředí na efektivitu firem v nových zemích Evropské unie [Corruption and Firm Efficiency in New EU Countries]," Politická ekonomie, Prague University of Economics and Business, vol. 2016(8), pages 905-921.
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• Bardgett, Chris & Gourier, Elise & Leippold, Markus, 2019. "Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets," Journal of Financial Economics, Elsevier, vol. 131(3), pages 593-618.
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  • Chris Bardgett & Elise Gourier & Markus Leippold, 2016. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets," Working Papers 780, Queen Mary University of London, School of Economics and Finance.
  • Chris Bardgett & Elise Gourier & Markus Leippold, 2016. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets," Working Papers 780, Queen Mary University of London, School of Economics and Finance.
• KiHoon Jimmy Hong & Stephen Satchell, 2016. "Investigating a Fund Return Distribution when the Value of the Fund under Management is Irregularly Observed," Bankers, Markets & Investors, ESKA Publishing, issue 144, pages 20-30, September.
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• Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting, 2016. "Nowcasting Nominal GDP with the Credit-Card Augmented Divisia Monetary," Studies in Applied Economics 59, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
• Barnett, William A. & Su, Liting, 2019. "Risk Adjustment Of The Credit-Card Augmented Divisia Monetary Aggregates," Macroeconomic Dynamics, Cambridge University Press, vol. 23(S1), pages 90-114, September.
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• Joseph P. Hughes & Loretta J. Mester & Choon-Geol Moon, 2016. "Market Discipline Working for and Against Financial Stability: The Two Faces of Equity Capital in U.S. Commercial Banking," Departmental Working Papers 201611, Rutgers University, Department of Economics.
• Harsh Vardhan & Pankaj Sinha, 2016. "Influence of Foreign Institutional Investments (FIIs) on the Indian Stock Market: An Insight by VAR Models," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 15(1), pages 49-83, April.
• Narendra Bhana, 2016. "The Stock Market Reaction to Board Changes: The South African Experience," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 15(3), pages 269-294, December.
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• Pawe? Kliber, 2016. "Portfolio analysis in jump-diffusion model with power-law tails," Proceedings of International Academic Conferences 5306873, International Institute of Social and Economic Sciences.
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  • Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016. "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?," Tinbergen Institute Discussion Papers 16-006/III, Tinbergen Institute.
  • Caporin, M. & Chang, C-L. & McAleer, M.J., 2016. "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Econometric Institute Research Papers EI2016-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016. "Connecting VIX and Stock Index ETF," Tinbergen Institute Discussion Papers 16-010/III, Tinbergen Institute, revised 23 Jan 2017.
  • Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2017. "Connecting VIX and Stock Index ETF," Documentos de Trabajo del ICAE 2017-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2017. "Connecting VIX and Stock Index ETF," Econometric Institute Research Papers 2016-010/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chang, Chia-Lin & McAleer, Michael & Wang, Yu-Ann, 2018. "Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P1), pages 1002-1018.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Documentos de Trabajo del ICAE 2017-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Tinbergen Institute Discussion Papers 16-014/III, Tinbergen Institute, revised 30 Jan 2017.
  • Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Econometric Institute Research Papers EI2016-45, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chen, J. & Kobayashi, M. & McAleer, M.J., 2016. "Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models," Econometric Institute Research Papers EI2016-16, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2016. "Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models," Tinbergen Institute Discussion Papers 16-015/III, Tinbergen Institute.
  • Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2016. "Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models," Documentos de Trabajo del ICAE 2016-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• István Barra & Agnieszka Borowska & Siem Jan Koopman, 2018. "Bayesian Dynamic Modeling of High-Frequency Integer Price Changes," Journal of Financial Econometrics, Oxford University Press, vol. 16(3), pages 384-424.
  • Istvan Barra & Siem Jan Koopman & Agnieszka Borowska, 2016. "Bayesian Dynamic Modeling of High-Frequency Integer Price Changes," Tinbergen Institute Discussion Papers 16-028/III, Tinbergen Institute, revised 16 Feb 2018.
• Shelton Peiris & Manabu Asai & Michael McAleer, 2017. "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," JRFM, MDPI, vol. 10(4), pages 1-16, December.
  • Peiris, S. & Asai, M. & McAleer, M.J., 2016. "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," Econometric Institute Research Papers EI2016-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Shelton Peiris & Manabu Asai & Michael McAleer, 2016. "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," Tinbergen Institute Discussion Papers 16-044/III, Tinbergen Institute.
  • Shelton Peiris & Manabu Asai & Michael McAleer, 2016. "Estimating and forecasting generalized fractional Long memory stochastic volatility models," Documentos de Trabajo del ICAE 2016-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chang, C-L. & Liu, C-P. & McAleer, M.J., 2016. "Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture," Econometric Institute Research Papers EI2016-28, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Chia-Ping Liu & Michael McAleer, 2016. "Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture," Tinbergen Institute Discussion Papers 16-046/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Chia-Ping Liu, 2016. "Volatility spillovers for spot, futures, and ETF prices in energy and agriculture," Documentos de Trabajo del ICAE 2016-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chang, Chia-Lin & McAleer, Michael & Wang, Yanghuiting, 2018. "Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Energy, Elsevier, vol. 151(C), pages 984-997.
  • Chia-Lin Chang & Michael McAleer & Yanghuiting Wang, 2016. "Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Documentos de Trabajo del ICAE 2016-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer & Yanghuiting Wang, 2016. "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Tinbergen Institute Discussion Papers 16-047/III, Tinbergen Institute.
  • Chang, C-L. & McAleer, M.J. & Wang, Y., 2016. "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Econometric Institute Research Papers EI2016-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2017. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors," IJFS, MDPI, vol. 6(1), pages 1-24, December.
  • Chang, C-L. & McAleer, M.J. & Wang, C-H., 2016. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors," Econometric Institute Research Papers EI2016-31, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2016. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors," Tinbergen Institute Discussion Papers 16-052/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2016. "An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors," Documentos de Trabajo del ICAE 2016-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2019. "Modeling and Testing Volatility Spillovers in Oil and Financial Markets for the USA, the UK, and China," Energies, MDPI, vol. 12(8), pages 1-24, April.
  • Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2016. "Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China," Documentos de Trabajo del ICAE 2016-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2016. "Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China," Tinbergen Institute Discussion Papers 16-053/III, Tinbergen Institute.
  • Chang, C-L. & McAleer, M.J. & Tian, J., 2016. "Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China," Econometric Institute Research Papers EI2016-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• P Gorgi & P R Hansen & P Janus & S J Koopman, 2019. "Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model," Journal of Financial Econometrics, Oxford University Press, vol. 17(1), pages 1-32.
  • Peter Reinhard Hansen & Pawel Janus & Siem Jan Koopman, 2016. "Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model," Tinbergen Institute Discussion Papers 16-061/III, Tinbergen Institute.
• Asai, M. & McAleer, M.J., 2016. "A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics," Econometric Institute Research Papers EI2016-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Michael McAleer, 2016. "A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics," Tinbergen Institute Discussion Papers 16-065/III, Tinbergen Institute.
• Andre Lucas & Anne Opschoor, 2016. "Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns," Tinbergen Institute Discussion Papers 16-069/IV, Tinbergen Institute, revised 07 Jul 2017.
• Asai, M. & McAleer, M.J., 2016. "Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes," Econometric Institute Research Papers EI2016-35, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Michael McAleer, 2016. "Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes," Tinbergen Institute Discussion Papers 16-071/III, Tinbergen Institute.
  • Manabu Asai & Michael McAleer, 2016. "Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes," Documentos de Trabajo del ICAE 2016-14, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016. "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Documentos de Trabajo del ICAE 2016-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016. "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Tinbergen Institute Discussion Papers 16-076/III, Tinbergen Institute.
  • Asai, M. & Chang, C-L. & McAleer, M.J., 2016. "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Econometric Institute Research Papers EI2016-41, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger, 2016. "Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models," Tinbergen Institute Discussion Papers 16-082/III, Tinbergen Institute.
• David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2017. "Volatility spillover and multivariate volatility impulse response analysis of GFC news events," Applied Economics, Taylor & Francis Journals, vol. 49(33), pages 3246-3262, July.
  • David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2016. "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Documentos de Trabajo del ICAE 2016-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2016. "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Tinbergen Institute Discussion Papers 16-084/III, Tinbergen Institute.
  • Allen, D.E. & McAleer, M.J. & Powell, R.J. & Singh, A.K., 2016. "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Econometric Institute Research Papers EI2016-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chia-Lin Chang & Michael McAleer, 2017. "A Simple Test for Causality in Volatility," Econometrics, MDPI, vol. 5(1), pages 1-5, March.
  • Chang, C-L. & McAleer, M.J., 2016. "A Simple Test for Causality in Volatility," Econometric Institute Research Papers EI2016-40, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer, 2016. "A Simple Test for Causality in Volatility," Tinbergen Institute Discussion Papers 16-094/III, Tinbergen Institute.
• Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2016. "Tourism stocks in times of crises: An econometric investigation of non-macro factors," Documentos de Trabajo del ICAE 2016-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2017. "Tourism stocks in times of crises: An econometric investigation of non-macro factors," Documentos de Trabajo del ICAE 2017-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2016. "Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors," Tinbergen Institute Discussion Papers 16-104/III, Tinbergen Institute.
  • Zopiatis, A. & Savva, C.S. & Lambertides, N. & McAleer, M.J., 2016. "Tourism Stocks in Times of Crises: an Econometric Investigation of Non-macro Factors," Econometric Institute Research Papers TI 2016-104/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Falk Bräuning & Siem Jan Koopman, 2016. "The dynamic factor network model with an application to global credit risk," Working Papers 16-13, Federal Reserve Bank of Boston.
  • Falk Bräuning & Siem Jan Koopman, 2016. "The Dynamic Factor Network Model with an Application to Global Credit-Risk," Tinbergen Institute Discussion Papers 16-105/III, Tinbergen Institute.
• Siem Jan Koopman & André Lucas & Marcel Scharth, 2016. "Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models," The Review of Economics and Statistics, MIT Press, vol. 98(1), pages 97-110, March.
  • Siem Jan Koopman & Andre Lucas & Marcel Scharth, 2012. "Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models," Tinbergen Institute Discussion Papers 12-020/4, Tinbergen Institute.
• Caporin, Massimiliano & Chang, Chia-Lin & McAleer, Michael, 2019. "Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 50-70.
  • Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016. "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?," Tinbergen Institute Discussion Papers 16-006/III, Tinbergen Institute.
  • Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016. "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Documentos de Trabajo del ICAE 2016-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Caporin, M. & Chang, C-L. & McAleer, M.J., 2016. "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Econometric Institute Research Papers EI2016-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2016. "How are VIX and Stock Index ETF Related?," Econometric Institute Research Papers EI2016-07, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016. "How are VIX and Stock Index ETF Related?," Documentos de Trabajo del ICAE 2016-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn," Econometric Institute Research Papers EI2016-15, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016. "Modelling volatility spillovers for bio-ethanol, sugarcane and corn," Documentos de Trabajo del ICAE 2016-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chen, J. & Kobayashi, M. & McAleer, M.J., 2016. "Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models," Econometric Institute Research Papers EI2016-16, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2016. "Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models," Documentos de Trabajo del ICAE 2016-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2016. "Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models," Tinbergen Institute Discussion Papers 16-015/III, Tinbergen Institute.
• Shelton Peiris & Manabu Asai & Michael McAleer, 2017. "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," JRFM, MDPI, vol. 10(4), pages 1-16, December.
  • Peiris, S. & Asai, M. & McAleer, M.J., 2016. "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," Econometric Institute Research Papers EI2016-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Shelton Peiris & Manabu Asai & Michael McAleer, 2016. "Estimating and forecasting generalized fractional Long memory stochastic volatility models," Documentos de Trabajo del ICAE 2016-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Shelton Peiris & Manabu Asai & Michael McAleer, 2016. "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," Tinbergen Institute Discussion Papers 16-044/III, Tinbergen Institute.
• Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2019. "Modeling and Testing Volatility Spillovers in Oil and Financial Markets for the USA, the UK, and China," Energies, MDPI, vol. 12(8), pages 1-24, April.
  • Chang, C-L. & McAleer, M.J. & Tian, J., 2016. "Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China," Econometric Institute Research Papers EI2016-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2016. "Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China," Documentos de Trabajo del ICAE 2016-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2016. "Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China," Tinbergen Institute Discussion Papers 16-053/III, Tinbergen Institute.
• Chang, Chia-Lin & McAleer, Michael & Wang, Yanghuiting, 2018. "Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Energy, Elsevier, vol. 151(C), pages 984-997.
  • Chia-Lin Chang & Michael McAleer & Yanghuiting Wang, 2016. "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Tinbergen Institute Discussion Papers 16-047/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Yanghuiting Wang, 2016. "Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Documentos de Trabajo del ICAE 2016-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & McAleer, M.J. & Wang, Y., 2016. "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Econometric Institute Research Papers EI2016-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chia-Lin Chang & Chia-Ping Liu & Michael McAleer, 2016. "Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture," Tinbergen Institute Discussion Papers 16-046/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Chia-Ping Liu, 2016. "Volatility spillovers for spot, futures, and ETF prices in energy and agriculture," Documentos de Trabajo del ICAE 2016-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & Liu, C-P. & McAleer, M.J., 2016. "Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture," Econometric Institute Research Papers EI2016-28, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2017. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors," IJFS, MDPI, vol. 6(1), pages 1-24, December.
  • Chang, C-L. & McAleer, M.J. & Wang, C-H., 2016. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors," Econometric Institute Research Papers EI2016-31, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2016. "An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors," Documentos de Trabajo del ICAE 2016-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2016. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors," Tinbergen Institute Discussion Papers 16-052/III, Tinbergen Institute.
• Asai, M. & McAleer, M.J., 2016. "Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes," Econometric Institute Research Papers EI2016-35, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Michael McAleer, 2016. "Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes," Documentos de Trabajo del ICAE 2016-14, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Manabu Asai & Michael McAleer, 2016. "Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes," Tinbergen Institute Discussion Papers 16-071/III, Tinbergen Institute.
• Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016. "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Tinbergen Institute Discussion Papers 16-076/III, Tinbergen Institute.
  • Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016. "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Documentos de Trabajo del ICAE 2016-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Asai, M. & Chang, C-L. & McAleer, M.J., 2016. "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Econometric Institute Research Papers EI2016-41, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2017. "Volatility spillover and multivariate volatility impulse response analysis of GFC news events," Applied Economics, Taylor & Francis Journals, vol. 49(33), pages 3246-3262, July.
  • Allen, D.E. & McAleer, M.J. & Powell, R.J. & Singh, A.K., 2016. "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Econometric Institute Research Papers EI2016-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2016. "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Documentos de Trabajo del ICAE 2016-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2016. "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Tinbergen Institute Discussion Papers 16-084/III, Tinbergen Institute.
• Zopiatis, A. & Savva, C.S. & Lambertides, N. & McAleer, M.J., 2016. "Tourism Stocks in Times of Crises: an Econometric Investigation of Non-macro Factors," Econometric Institute Research Papers TI 2016-104/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2017. "Tourism stocks in times of crises: An econometric investigation of non-macro factors," Documentos de Trabajo del ICAE 2017-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2016. "Tourism stocks in times of crises: An econometric investigation of non-macro factors," Documentos de Trabajo del ICAE 2016-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2016. "Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors," Tinbergen Institute Discussion Papers 16-104/III, Tinbergen Institute.
• Allen, D.E. & McAleer, M.J. & Singh, A.K., 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Econometric Institute Research Papers EI2016-46, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2017. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Tinbergen Institute Discussion Papers 17-013/III, Tinbergen Institute.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Documentos de Trabajo del ICAE 2017-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chang, Chia-Lin & McAleer, Michael & Wang, Yu-Ann, 2018. "Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P1), pages 1002-1018.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Tinbergen Institute Discussion Papers 16-014/III, Tinbergen Institute, revised 30 Jan 2017.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Documentos de Trabajo del ICAE 2017-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Econometric Institute Research Papers EI2016-45, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Ahmad Monir Abdullah & Abul Mansur Mohammed Masih, 2016. "Diversification in Crude Oil and Other Commodities: A Comparative Analysis," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 12(1), pages 101-128.
  • Abdullah, Ahmad Monir & Saiti, Buerhan & Masih, Abul Mansur M., 2014. "Diversification in Crude Oil and Other Commodities: A Comparative Analysis," MPRA Paper 56988, University Library of Munich, Germany.
• Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2023. "Networks in risk spillovers: A multivariate GARCH perspective," Econometrics and Statistics, Elsevier, vol. 28(C), pages 1-29.
  • Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2016. "Networks in risk spillovers: a multivariate GARCH perspective," Working Papers 2016:03, Department of Economics, University of Venice "Ca' Foscari".
  • Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2018. "Networks in risk spillovers: A multivariate GARCH perspective," SAFE Working Paper Series 225, Leibniz Institute for Financial Research SAFE.
  • Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2020. "Networks in risk spillovers: A multivariate GARCH perspective," Working Papers 2020:16, Department of Economics, University of Venice "Ca' Foscari".
• EMAMVERDI, Ghodratollah & KARIMI, Mohammad Sharif & KHAKIE, Sima & KARIMI, Mojtaba, 2016. "Forecasting The Total Index Of Tehran Stock Exchange," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 20(1), pages 54-68.
• Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2016. "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 63(3), pages 273-291, June.
  • Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2014. "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Working Papers 201422, University of Pretoria, Department of Economics.
• Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2016. "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 63(3), pages 273-291.
  • Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2014. "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Working Papers 201422, University of Pretoria, Department of Economics.
• Marcin Chlebus, 2016. "One-Day Prediction of State of Turbulence for Portfolio. Models for Binary Dependent Variable," Working Papers 2016-01, Faculty of Economic Sciences, University of Warsaw.
• Ulrich Hounyo & Bezirgen Veliyev, 2016. "Validity of Edgeworth expansions for realized volatility estimators," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 1-32, February.
  • Ulrich Hounyo & Bezirgen Veliyev, 2015. "Validity of Edgeworth expansions for realized volatility estimators," CREATES Research Papers 2015-21, Department of Economics and Business Economics, Aarhus University.
• Cuestas Juan Carlos & Tang Bo, 2017. "Asymmetric exchange rate exposure of stock returns: empirical evidence from Chinese industries," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(4), pages 1-21, September.
  • Juan Carlos Cuestas & Bo Tang, 2015. "Asymmetric Exchange Rate Exposure of Stock Returns: Empirical Evidence from Chinese Industries," Working Papers 2015021, The University of Sheffield, Department of Economics.
  • Cuestas, Juan Carlos & Tang, Bo, 2016. "Asymmetric Exchange Rate Exposure of Stock Returns: Empirical Evidence from Chinese Industries," RIEI Working Papers 2016-03, Xi'an Jiaotong-Liverpool University, Research Institute for Economic Integration.
• Böing, Tobias & Stadtmann, Georg, 2016. "Money growth and aggregate stock returns," Discussion Papers 390, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
• Barunik, Jozef & Krehlik, Tomas, 2016. "Measuring the frequency dynamics of financial and macroeconomic connectedness," FinMaP-Working Papers 54, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Hofmann, Maurice & Rottmann, Horst, 2016. "Die Bewertung von Aktienanleihen mit Barriere: Eine Fallstudie für die Easy-Aktienanleihe der Deutschen Bank," Weidener Diskussionspapiere 55, University of Applied Sciences Amberg-Weiden (OTH).
• Raddant, Matthias & Wagner, Friedrich, 2016. "Multivariate GARCH for a large number of stocks," Kiel Working Papers 2049, Kiel Institute for the World Economy (IfW Kiel).
• Holtemöller, Oliver, 2016. "Agrarrohstoffpreise und Lebensmittelpreise in armen Ländern," Wirtschaft im Wandel, Halle Institute for Economic Research (IWH), vol. 22(1), pages 5-8.
• Carsten Bormann & Julia Schaumburg & Melanie Schienle, 2016. "Beyond Dimension two: A Test for Higher-Order Tail Risk," Journal of Financial Econometrics, Oxford University Press, vol. 14(3), pages 552-580.
  • Bormann, Carsten & Schienle, Melanie & Schaumburg, Julia, 2014. "Beyond dimension two: A test for higher-order tail risk," SFB 649 Discussion Papers 2014-042, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  • Bormann, Carsten & Schaumburg, Julia & Schienle, Melanie, 2016. "Beyond dimension two: A test for higher-order tail risk," Working Paper Series in Economics 80, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Ansgar Belke & Irina Dubova & Thomas Osowski, 2018. "Policy uncertainty and international financial markets: the case of Brexit," Applied Economics, Taylor & Francis Journals, vol. 50(34-35), pages 3752-3770, July.
  • Ansgar Belke & Irina Dubova & Thomas Osowski, 2016. "Policy uncertainty and international financial markets: the case of Brexit," ROME Working Papers 201607, ROME Network.
  • Belke, Ansgar & Dubova, Irina & Osowski, Thomas, 2016. "Policy uncertainty and international financial markets: The case of Brexit," Ruhr Economic Papers 657, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  • Belke, Ansgar & Dubova, Irina & Osowski, Thomas, 2016. "Policy Uncertainty and International Financial Markets: The case of Brexit," CEPS Papers 12021, Centre for European Policy Studies.
• Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2017. "Systemic co-jumps," Journal of Financial Economics, Elsevier, vol. 126(3), pages 563-591.
  • Caporin, Massimiliano & Kolokolov, Alexey & Renò, Roberto, 2016. "Systemic co-jumps," SAFE Working Paper Series 149, Leibniz Institute for Financial Research SAFE.
• Härdle, Wolfgang Karl & Nasekin, Sergey & Hong, Zhiwu, 2016. "Leveraged ETF options implied volatility paradox: A statistical study," SFB 649 Discussion Papers 2016-004, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Haas, Markus, 2016. "A note on optimal portfolios under regime–switching," Finance Research Letters, Elsevier, vol. 19(C), pages 209-216.
  • Haas, Markus, 2016. "A note on optimal portfolios under regime-switching," VfS Annual Conference 2016 (Augsburg): Demographic Change 145493, Verein für Socialpolitik / German Economic Association.
• Conrad, Christian & Loch, Karin, 2016. "Macroeconomic expectations and the time-varying stock-bond correlation: international evidence," VfS Annual Conference 2016 (Augsburg): Demographic Change 145530, Verein für Socialpolitik / German Economic Association.
• Winker, Peter & Lütkepohl, Helmut & Staszewska-Bystrova, Anna, 2016. "Calculating Joint Bands for Impulse Response Functions using Highest Density Regions," VfS Annual Conference 2016 (Augsburg): Demographic Change 145537, Verein für Socialpolitik / German Economic Association.
• Raddant, Matthias & Kenett, Dror Y., 2021. "Interconnectedness in the global financial market," Journal of International Money and Finance, Elsevier, vol. 110(C).
  • Matthias Raddant & Dror Y. Kenett, 2016. "Interconnectedness in the Global Financial Market," Working Papers 16-09, Office of Financial Research, US Department of the Treasury.
  • Raddant, Matthias & Kenett, Dror Y., 2017. "Interconnectedness in the global financial market," Kiel Working Papers 2076, Kiel Institute for the World Economy (IfW Kiel).
  • Matthias Raddant & Dror Y. Kenett, 2017. "Interconnectedness in the Global Financial Market," Papers 1704.01028, arXiv.org, revised Jun 2020.
  • Raddant, Matthias & Kenett, Dror, 2016. "Interconnectedness in the global financial market," VfS Annual Conference 2016 (Augsburg): Demographic Change 145560, Verein für Socialpolitik / German Economic Association.
• Lips, Johannes, 2016. "Do they still matter? – Impact of Fossil Fuels on Electricity Prices in the Light of Increased Renewable Generation," VfS Annual Conference 2016 (Augsburg): Demographic Change 145601, Verein für Socialpolitik / German Economic Association.
• Robert F. Engle & Olivier Ledoit & Michael Wolf, 2019. "Large Dynamic Covariance Matrices," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(2), pages 363-375, April.
  • Robert F. Engle & Olivier Ledoit & Michael Wolf, 2016. "Large dynamic covariance matrices," ECON - Working Papers 231, Department of Economics - University of Zurich, revised Apr 2017.
• Olivier Ledoit & Michael Wolf & Zhao Zhao, 2016. "Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies," ECON - Working Papers 238, Department of Economics - University of Zurich, revised May 2018.

2015

• Buse, Rebekka & Schienle, Melanie, 2019. "Measuring connectedness of euro area sovereign risk," International Journal of Forecasting, Elsevier, vol. 35(1), pages 25-44.
  • Rebekka Gätjen & Melanie Schienle, 2015. "Measuring Connectedness of Euro Area Sovereign Risk," SFB 649 Discussion Papers SFB649DP2015-019, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  • Buse, Rebekka & Schienle, Melanie, 2019. "Measuring connectedness of euro area sovereign risk," Working Paper Series in Economics 123, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Weigand Roland & Wanger Susanne & Zapf Ines, 2018. "Factor Structural Time Series Models for Official Statistics with an Application to Hours Worked in Germany," Journal of Official Statistics, Sciendo, vol. 34(1), pages 265-301, March.
  • Weigand, Roland & Wanger, Susanne & Zapf, Ines, 2015. "Factor structural time series models for official statistics with an application to hours worked in Germany," IAB-Discussion Paper 201522, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
• Kanaya, Shin & Kristensen, Dennis, 2016. "Estimation Of Stochastic Volatility Models By Nonparametric Filtering," Econometric Theory, Cambridge University Press, vol. 32(4), pages 861-916, August.
  • Shin Kanaya & Dennis Kristensen, 2010. "Estimation of Stochastic Volatility Models by Nonparametric Filtering," CREATES Research Papers 2010-67, Department of Economics and Business Economics, Aarhus University.
  • Shin Kanaya & Dennis Kristensen, 2015. "Estimation of stochastic volatility models by nonparametric filtering," CeMMAP working papers CWP09/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  • Shin Kanaya & Dennis Kristensen, 2015. "Estimation of stochastic volatility models by nonparametric filtering," CeMMAP working papers 09/15, Institute for Fiscal Studies.
• Timothy M. Christensen, 2015. "Nonparametric stochastic discount factor decomposition," CeMMAP working papers CWP24/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Oscar V. De la Torre Torres & María Isabel Martínez Torre-Enciso, 2015. "Revisión de la Inversión Sustentable en La Bolsa Mexicana Durante Periodos de Crisis," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 10(2), pages 115-130, Julio-Dic.
• Jorge O. Moreno & Renata Herrerías, 2015. "Analyzing the Size, Diffusion, and Spillover ff Loans Risk," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 10(2), pages 159-181, Julio-Dic.
• Silvia DEDU, 2015. "The Impact of Solvency II Directive upon the Perspectives of the Horizon 2020 Programme," Romanian Journal of Economics, Institute of National Economy, vol. 41(2(50)), pages 145-155, december.
• Fredj Jawadi & Georges Prat, 2017. "Equity prices and fundamentals: a DDM–APT mixed approach," Review of Quantitative Finance and Accounting, Springer, vol. 49(3), pages 661-695, October.
  • Fredj Jawadi & Georges Prat, 2015. "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," Working Papers hal-04141411, HAL.
  • Fredj Jawadi & Georges Prat, 2015. "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," Working Papers 2015-630, Department of Research, Ipag Business School.
  • Fredj Jawadi & Georges Prat, 2015. "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," EconomiX Working Papers 2015-16, University of Paris Nanterre, EconomiX.
  • Fredj Jawadi & Georges Prat, 2017. "Equity prices and fundamentals: a DDM–APT mixed approach," Post-Print hal-01549758, HAL.
  • Fredj Jawadi & Georges Prat, 2015. "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," Working paper serie RMT - Grenoble Ecole de Management hal-04141411, HAL.
• Viorica CHIRILA & Ciprian CHIRILA, 2015. "The Steel European Stock Market Efficiency," CES Working Papers, Centre for European Studies, Alexandru Ioan Cuza University, vol. 7(4), pages 873-880, December.
• Robert Elliott & Jia Shen, 2015. "Dynamic optimal capital structure with regime switching," Annals of Finance, Springer, vol. 11(2), pages 199-220, May.
• Robert Elliott & Jia Shen, 2015. "Credit risk and contagion via self-exciting default intensity," Annals of Finance, Springer, vol. 11(3), pages 319-344, November.
• Niyati Bhanja & Arif Dar, 2015. "“The beauty of gold is, it loves bad news”: evidence from three major gold consumers," Economic Change and Restructuring, Springer, vol. 48(3), pages 187-208, November.
• Fotis Papailias & Dimitrios Thomakos, 2015. "Covariance averaging for improved estimation and portfolio allocation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(1), pages 31-59, February.
  • Dimitrios D. Thomakos & Fotis Papailias, 2013. "Covariance Averaging for Improved Estimation and Portfolio Allocation," Working Paper series 66_13, Rimini Centre for Economic Analysis.
• Ruoyang Li & Alva Svoboda & Shmuel Oren, 2015. "Efficiency impact of convergence bidding in the california electricity market," Journal of Regulatory Economics, Springer, vol. 48(3), pages 245-284, December.
• Januj Juneja, 2015. "An evaluation of alternative methods used in the estimation of Gaussian term structure models," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 1-24, January.
• Meichi Huang & Chih-Chiang Wu, 2015. "Economic benefits and determinants of extreme dependences between REIT and stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 44(2), pages 299-327, February.
• Eva Liljeblom & Sabur Mollah & Patrik Rotter, 2015. "Do dividends signal future earnings in the Nordic stock markets?," Review of Quantitative Finance and Accounting, Springer, vol. 44(3), pages 493-511, April.
• Chien-Hsiu Lin & Shih-Kuei Lin & An-Chi Wu, 2015. "Foreign exchange option pricing in the currency cycle with jump risks," Review of Quantitative Finance and Accounting, Springer, vol. 44(4), pages 755-789, May.
• Cristina Ciumas & Diana-Maria Chis, 2015. "Unit-Linked Life Insurance Products Versus Other Alternative Investments," Knowledge Horizons - Economics, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 7(3), pages 222-227, September.
• Pedersen, Rasmus Søndergaard, 2017. "Inference and testing on the boundary in extended constant conditional correlation GARCH models," Journal of Econometrics, Elsevier, vol. 196(1), pages 23-36.
  • Rasmus Søndergaard Pedersen, 2015. "Inference and testing on the boundary in extended constant conditional correlation GARCH models," Discussion Papers 15-10, University of Copenhagen. Department of Economics.
• Mínguez Conde, José Luis & Ramos Sánchez, Sofía & Rodríguez Fernández, José Miguel, 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," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 33, pages 589-618, Mayo.
• Mariano, Roberto S. & Ozmucur, Suleyman, 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," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 33, pages 451-462, Mayo.
• Martínez-Preece, Marissa R. & Venegas-Martínez, Francisco, 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," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 33, pages 903-928, Septiembr.
• Arnaud Dufays, 2016. "Evolutionary Sequential Monte Carlo Samplers for Change-Point Models," Econometrics, MDPI, vol. 4(1), pages 1-33, March.
  • Arnaud Dufays, 2015. "Evolutionary Sequential Monte Carlo Samplers for Change-point Models," Cahiers de recherche 1518, CIRPEE.
  • Arnaud Dufays, 2015. "Evolutionary Sequential Monte Carlo Samplers for Change-point Models," Cahiers de recherche 1508, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
• Arnaud Dufays, 2016. "Evolutionary Sequential Monte Carlo Samplers for Change-Point Models," Econometrics, MDPI, vol. 4(1), pages 1-33, March.
  • Arnaud Dufays, 2015. "Evolutionary Sequential Monte Carlo Samplers for Change-point Models," Cahiers de recherche 1508, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
  • Arnaud Dufays, 2015. "Evolutionary Sequential Monte Carlo Samplers for Change-point Models," Cahiers de recherche 1518, CIRPEE.
• John Cockburn & Luc Savard & Luca Tiberti, 2014. "Macro-Micro Models," Contributions to Economic Analysis, in: Handbook of Microsimulation Modelling, volume 127, pages 275-304, Emerald Group Publishing Limited.
  • John Cockburn & Luc Savard & Luca Tiberti, 2015. "Macro-Micro Models," Cahiers de recherche 15-08, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.
  • John Cockburn & Luc Savard & Luca Tiberti, 2015. "Macro-Micro Models," Working Papers MPIA 2015-12, PEP-MPIA.
  • John Cockburn & Luc Savard & Luca Tiberti, 2015. "Macro-Micro Models," Working Papers PMMA 2015-12, PEP-PMMA.
• Alexandru Mandes & Peter Winker, 2017. "Complexity and model comparison in agent based modeling of financial markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(3), pages 469-506, October.
  • Alexandru Mandes & Peter Winker, 2015. "Complexity and Model Comparison in Agent Based Modeling of Financial Markets," MAGKS Papers on Economics 201528, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
• Joanne Yen-Ei Kek & Kim-Leng Goh, 2015. "Informational Content of Yield Spread: Predicting Economic Growth of Malaysia," Capital Markets Review, Malaysian Finance Association, vol. 23(1&2), pages 84-95.
• Bastianin, Andrea & Manera, Matteo, 2018. "How Does Stock Market Volatility React To Oil Price Shocks?," Macroeconomic Dynamics, Cambridge University Press, vol. 22(3), pages 666-682, April.
  • Bastianin, Andrea & Manera, Matteo, 2015. "How Does Stock Market Volatility React to Oil Shocks?," Energy: Resources and Markets 196919, Fondazione Eni Enrico Mattei (FEEM).
  • Andrea BASTIANIN & Matteo MANERA, 2015. "How Does Stock Market Volatility React to Oil Shocks?," Departmental Working Papers 2015-09, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
  • Andrea Bastianin & Matteo Manera, 2015. "How Does Stock Market Volatility React to Oil Shocks?," Working Papers 2014.110, Fondazione Eni Enrico Mattei.
  • Andrea Bastianin & Matteo Manera, 2018. "How does stock market volatility react to oil shocks?," Papers 1811.03820, arXiv.org.
• Bastianin, Andrea & Conti, Francesca & Manera, Matteo, 2016. "The impacts of oil price shocks on stock market volatility: Evidence from the G7 countries," Energy Policy, Elsevier, vol. 98(C), pages 160-169.
  • Andrea Bastianin & Francesca Conti & Matteo Manera, 2015. "The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries," Working Papers 2015.99, Fondazione Eni Enrico Mattei.
  • Bastianin, Andrea & Conti, Francesca & Manera, Matteo, 2016. "The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries," Energy: Resources and Markets 230682, Fondazione Eni Enrico Mattei (FEEM).
  • Andrea BASTIANIN & Francesca CONTI & Matteo MANERA, 2015. "The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries," Departmental Working Papers 2015-17, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
• Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli, 2015. "Financial connectedness among European volatility risk premia," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0058, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
• Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli, 2015. "Financial connectedness among European volatility risk premia," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 15112, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
• Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli, 2015. "Financial connectedness among European volatility risk premia," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 58, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
• Narayan, Seema & Smyth, Russell, 2015. "The financial econometrics of price discovery and predictability," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 380-393.
  • Seema Narayan & Russell Smyth, 2015. "The Financial Econometrics of Price Discovery and Predictability," Monash Economics Working Papers 06-15, Monash University, Department of Economics.
• Antoine Kornprobst & Raphaël Douady, 2015. "A Pratical Approach to Financial Crisis Indicators Based on Random Matrices," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01169307, HAL.
  • Antoine Kornprobst & Raphael Douady, 2015. "A Practical Approach to Financial Crisis Indicators Based on Random Matrices," Documents de travail du Centre d'Economie de la Sorbonne 15049, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Antoine Kornprobst & Raphaël Douady, 2015. "A Pratical Approach to Financial Crisis Indicators Based on Random Matrices," Post-Print halshs-01169307, HAL.
• Matthieu Garcin & Clément Goulet, 2015. "A fully non-parametric heteroskedastic model," Documents de travail du Centre d'Economie de la Sorbonne 15086, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Matthieu Garcin & Clément Goulet, 2015. "Non-parameteric news impact curve: a variational approach," Documents de travail du Centre d'Economie de la Sorbonne 15086r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jul 2016.
• Matthieu Garcin & Clément Goulet, 2015. "Non-parameteric news impact curve: a variational approach," Documents de travail du Centre d'Economie de la Sorbonne 15086rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Feb 2017.
• Biqing Cai & Jiti Gao & Dag Tjøstheim, 2017. "A New Class of Bivariate Threshold Cointegration Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 288-305, April.
  • Biqing Cai & Jiti Gao & Dag Tjostheim, 2015. "A New Class of Bivariate Threshold Cointegration Models," Monash Econometrics and Business Statistics Working Papers 1/15, Monash University, Department of Econometrics and Business Statistics.
• Harry-Paul Vander Elst, 2015. "FloGARCH: Realizing Long Memory and Asymmetries in Returns Valitility," Working Papers ECARES ECARES 2015-12, ULB -- Universite Libre de Bruxelles.
  • Harry Vander Elst, 2015. "FloGARCH : Realizing long memory and asymmetries in returns volatility," Working Paper Research 280, National Bank of Belgium.
• Tomasz Skoczylas, 2015. "Log-volatility enhanced GARCH models for single asset returns," Bank i Kredyt, Narodowy Bank Polski, vol. 46(5), pages 411-432.
• Karol Szafranek, 2015. "Financialisation of the commodity markets. Conclusions from the VARX DCC GARCH," EcoMod2015 8554, EcoMod.
  • Karol Szafranek, 2015. "Financialisation of the commodity markets. Conclusions from the VARX DCC GARCH," NBP Working Papers 213, Narodowy Bank Polski.
• Giglio, Stefano & Kelly, Bryan & Pruitt, Seth, 2016. "Systemic risk and the macroeconomy: An empirical evaluation," Journal of Financial Economics, Elsevier, vol. 119(3), pages 457-471.
  • Stefano Giglio & Bryan T. Kelly & Seth Pruitt, 2015. "Systemic Risk and the Macroeconomy: An Empirical Evaluation," NBER Working Papers 20963, National Bureau of Economic Research, Inc.
• Robert Novy-Marx, 2015. "Backtesting Strategies Based on Multiple Signals," NBER Working Papers 21329, National Bureau of Economic Research, Inc.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2015. "The Pricing of Short-Term market Risk: Evidence from Weekly Options," NBER Working Papers 21491, National Bureau of Economic Research, Inc.
• Yacine Aït-Sahalia & Dacheng Xiu, 2019. "Principal Component Analysis of High-Frequency Data," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(525), pages 287-303, January.
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• Vítor Manuel de Sousa Gabriel & José Ramos Pires Manso, 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 mark," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), vol. 25(2), pages 291-310, May-Augus.
• Omar O. Chisari & Leonardo J. Mastronardi & Arturo Leonardo Vásquez Cordano & Carlos A. Romero, 2015. "Los impactos económicos de las restricciones al transporte de gas natural en el Perú: Un análisis de equilibrio general computable," Working Papers 33, Osinergmin, Gerencia de Políticas y Análisis Económico.
• Eduardo Rossi & Dean Fantazzini, 2015. "Long Memory and Periodicity in Intraday Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 13(4), pages 922-961.
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• Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2015. "Volatility Jumps and Their Economic Determinants," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(1), pages 29-80.
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• Cioca Ionela Cornelia, 2015. "Analysis of Correlation between Gross Domestic Product and Value Added Tax in the European Union Countries," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 702-706, May.
• Gian Piero Aielli & Massimiliano Caporin, 2015. "Dynamic Principal Components: a New Class of Multivariate GARCH Models," "Marco Fanno" Working Papers 0193, Dipartimento di Scienze Economiche "Marco Fanno".
• Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2018. "Asset allocation strategies based on penalized quantile regression," Computational Management Science, Springer, vol. 15(1), pages 1-32, January.
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  • Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2015. "Asset Allocation Strategies Based On Penalized Quantile Regression," "Marco Fanno" Working Papers 0199, Dipartimento di Scienze Economiche "Marco Fanno".
• Hom M Pant, 2015. "A generic approach to investment modelling in recursive dynamic CGE models," Departmental Working Papers 2015-01, The Australian National University, Arndt-Corden Department of Economics.
• Mauricio Zeballos & Carlos del Carpio, 2015. "Metal Returns, Stock Returns and Stock Market Volatility," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 38(75), pages 101-122.
• Paul Bedón Garcia & Gabriel Rodriguez, 2015. "Univariate Autoregressive Conditional Heteroskedasticity Models: An Application to the Peruvian Stock Market Returns," Documentos de Trabajo / Working Papers 2015-400, Departamento de Economía - Pontificia Universidad Católica del Perú.
• Patricia Lengua Lafosse & Cristian Bayes & Gabriel Rodríguez, 2015. "A Stochastic Volatility Model with GH Skew Student’s t-Distribution: Application to Latin-American Stock Returns," Documentos de Trabajo / Working Papers 2015-405, Departamento de Economía - Pontificia Universidad Católica del Perú.
• Yuanhua Feng & Chen Zhou, 2015. "An iterative plug-in algorithm for realized kernels," Working Papers CIE 87, Paderborn University, CIE Center for International Economics.
• Nadia Elena Stoicuța & Olimpiu Stoicuța, 2015. "Comparative analysis of estimation methods for CES production function," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 15(2), pages 167-180.
• Peter Julian Cayton & Dennis Mapa, 2015. "Time-varying conditional Johnson Su density in Value-at-Risk methodology," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, vol. 51(1), pages 23-44, June.
• Diseko, Nomathemba Veronica & Bonga-Bonga, Lumengo & Manguzvane, Mathias Mandla, 2015. "Dynamic portfolio rebalancing with safe-haven assets," MPRA Paper 123408, University Library of Munich, Germany.
• Langedijk, Sven & Monokroussos, George & Papanagiotou, Evangelia, 2015. "Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues," MPRA Paper 61865, University Library of Munich, Germany.
  • Langedijk, Sven & Monokroussos, George & Papanagiotou, Evangelia, 2016. "Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues," JRC Working Papers in Economics and Finance 2016-03, Joint Research Centre, European Commission.
• Hina, Hafsa & Qayyum, Abdul, 2015. "Exchange Rate Determination and Out of Sample Forecasting: Cointegration Analysis," MPRA Paper 61997, University Library of Munich, Germany.
• Bonga-Bonga, Lumengo & Mwamba, Muteba, 2015. "A multivariate model for the prediction of stock returns in an emerging market: A comparison of parametric and non-parametric models," MPRA Paper 62028, University Library of Munich, Germany.
• Hu, Zongyi & Li, Chao, 2015. "Investor Sentiment and Irrational Speculative Bubble Model," MPRA Paper 62108, University Library of Munich, Germany.
• Maheu, John M. & Yang, Qiao, 2016. "An infinite hidden Markov model for short-term interest rates," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 202-220.
  • John M. Maheu & Qiao Yang, 2015. "An Infinite Hidden Markov Model for Short-term Interest Rates," Working Paper series 15-05, Rimini Centre for Economic Analysis.
  • Maheu, John M & Yang, Qiao, 2015. "An Infinite Hidden Markov Model for Short-term Interest Rates," MPRA Paper 62408, University Library of Munich, Germany.
• Mukhoti, Sujay & Guhathakurta, Kousik, 2015. "Product market performance and capital structure: A Hierarchical Bayesian semi-parametric panel regression model," MPRA Paper 62517, University Library of Munich, Germany.
• Jones, Clive, 2015. "Predictability of the daily high and low of the S&P 500 index," MPRA Paper 62664, University Library of Munich, Germany.
• Djennad, Abdelmajid & Rigby, Robert & Stasinopoulos, Dimitrios & Voudouris, Vlasios & Eilers, Paul, 2015. "Beyond location and dispersion models: The Generalized Structural Time Series Model with Applications," MPRA Paper 62807, University Library of Munich, Germany.
• Lumengo Bonga-Bonga & Ekerete Umoetok, 2016. "The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa," Applied Economics, Taylor & Francis Journals, vol. 48(42), pages 3999-4018, September.
  • Bonga-Bonga, Lumengo & Umoetok, Ekerete, 2015. "The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa," MPRA Paper 62932, University Library of Munich, Germany.
• Didenko Alexander & Dubovikov Mikhail & Poutko Boris, 2015. "Forecasting coherent volatility breakouts," Вестник Финансового университета, CyberLeninka;Федеральное государственное образовательное бюджетное учреждение высшего профессионального образования «Финансовый университет при Правительстве Российской Федерации» (Финансовый университет), issue 1 (85), pages 30-36.
  • Didenko, Alexander & Dubovikov, Michael & Poutko, Boris, 2015. "Forecasting Coherent Volatility Breakouts," MPRA Paper 63708, University Library of Munich, Germany.
• Cayton, Peter Julian & Ho, Kin-Yip, 2015. "A Nonparametric Option Pricing Model Using Higher Moments," MPRA Paper 79134, University Library of Munich, Germany.
  • Cayton, Peter Julian, 2015. "A Nonparametric Option Pricing Model Using Higher Moments," MPRA Paper 63755, University Library of Munich, Germany.
• Park, Kwang Suk & Masih, Mansur, 2015. "Does the shariah index move together with the conventional equity indexes?," MPRA Paper 63925, University Library of Munich, Germany.
• Rahim, Yasmin & Masih, Mansur, 2015. "Is gold good for hedging? lessons from the Malaysian sectoral stock indices," MPRA Paper 63928, University Library of Munich, Germany.
• Vardhan, Harsh & Sinha, Pankaj, 2015. "Influence of Macroeconomic Variable on Indian Stock Movement: Cointegration Approach," MPRA Paper 64369, University Library of Munich, Germany, revised 10 May 2015.
• Anatoly A. Peresetsky & Ruslan I. Yakubov, 2017. "Autocorrelation in an unobservable global trend: does it help to forecast market returns?," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 7(1/2), pages 152-169.
  • Peresetsky, Anatoly & Yakubov, Ruslan, 2015. "Autocorrelation in an unobservable global trend: Does it help to forecast market returns?," MPRA Paper 64579, University Library of Munich, Germany.
• Haytem Ahmed Troug & Rashid Sbia, 2015. "The Relationship between Banking Competition and Stability in Developing Countries: The Case of Libya," International Journal of Economics and Financial Issues, Econjournals, vol. 5(3), pages 772-779.
  • Troug, Haytem Ahmed & Sbia, Rashid, 2015. "The Relationship between Banking Competition and Stability in Developing Countries: The Case of Libya," MPRA Paper 64932, University Library of Munich, Germany.
• Troug, Haytem Ahmed & Sbia, Rashid, 2015. "Testing for the Presence of Asymmetric Information in the Oil Market: A VAR Approach," MPRA Paper 64933, University Library of Munich, Germany.
• Othman, Arshad Nuval & 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," MPRA Paper 65224, University Library of Munich, Germany.
• Seho, Mirzet & Masih, Mansur, 2015. "Risk sharing financing of Islamic banks: interest free or interest based?," MPRA Paper 65230, University Library of Munich, Germany.
• Buriev, Abdul Aziz & 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 c," MPRA Paper 65233, University Library of Munich, Germany.
• Hashim, Khairul Khairiah & Masih, Mansur, 2015. "Stock market volatility and exchange rates: MGARCH-DCC and wavelet approaches," MPRA Paper 65234, University Library of Munich, Germany.
• Morad, Shahidah Nailul & Masih, Mansur, 2015. "Islamic REIT response to macroeconomic factors: a markov regime switching auto regressive approach," MPRA Paper 65237, University Library of Munich, Germany.
• Mobin, Mohammad Ashraful & Alhabshi, Syed Othman & Masih, Mansur, 2015. "Religiosity and threshold effect in social and financial performance of microfinance institutions: System GMM and non-linear threshold approaches," MPRA Paper 65242, University Library of Munich, Germany.
• Rahim, Yasmin Abd & Masih, Mansur, 2015. "Is Islamic stock index secured against interest rate risk? Evidence from Wavelet analysis," MPRA Paper 65259, University Library of Munich, Germany.
• Kamarudin, Eka Azrin & Masih, Mansur, 2015. "Islamic versus conventional stock market and its co-movement with crude oil: a wavelet analysis," MPRA Paper 65261, University Library of Munich, Germany.
• Dwihasri, Dhaifina & Masih, Mansur, 2015. "Should investors diversify their portfolios with stocks from major trading countries? A comparative multivariate GARCH-DCC and wavelet correlation analysis," MPRA Paper 65278, University Library of Munich, Germany.
• Bensalma, Ahmed, 2015. "New Fractional Dickey and Fuller Test," MPRA Paper 65282, University Library of Munich, Germany.
• Uddin, Md Akther & Masih, Mansur, 2015. "Finance, growth and human development: An Islamic economic development perspective," MPRA Paper 65818, University Library of Munich, Germany.
• Tariq, Anam & Masih, Mansur, 2015. "Analyzing the impact of financial sector growth on female empowerment: A focus on the United States of America," MPRA Paper 65826, University Library of Munich, Germany.
• Chowdhury, Mohammad Ashraful Ferdous & Masih, Mansur, 2015. "Socially responsible investment and Shariah-compliant investment compared: Can investors benefit from diversification? An ARDL approach," MPRA Paper 65828, University Library of Munich, Germany.
• Ismail, Mohamed Ayaz Mohamed & Masih, Mansur, 2015. "Causality between financial development and economic growth, and the Islamic finance imperative: A case study of Indonesia," MPRA Paper 65831, University Library of Munich, Germany.
• Momin, Ebaad & 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," MPRA Paper 65834, University Library of Munich, Germany.
• Najibullah, Syed & Masih, Mansur, 2015. "Remittances and economic growth nexus: Do financial development and investment act as transmission channels? An ARDL bounds approach," MPRA Paper 65837, University Library of Munich, Germany.
• Gulzar, Rosana & Masih, Mansur, 2015. "Islamic banking: 40 years later, still interest-based? Evidence from Malaysia," MPRA Paper 65840, University Library of Munich, Germany.
• Shamsudheen, Shinaj Valangattil & Masih, Mansur, 2015. "Does the conventional benchmark prop up non-performing loans in Islamic banks? A case study of Malaysia with ARDL Approach," MPRA Paper 65845, University Library of Munich, Germany.
• Jailani, Mohamad Zaky & Masih, Mansur, 2015. "Determining the relationship between financial development and economic growth: An application of ARDL technique to Singapore," MPRA Paper 65847, University Library of Munich, Germany.
• Bonga-Bonga, Lumengo, 2018. "Uncovering equity market contagion among BRICS countries: An application of the multivariate GARCH model," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 36-44.
  • Bonga-Bonga, Lumengo, 2015. "Uncovering equity market contagion among BRICS countries: an application of the multivariate GARCH model," MPRA Paper 66262, University Library of Munich, Germany.
• Awaludin, Fadhlee & Masih, Mansur, 2015. "Sukuk pricing dynamics - factors influencing yield curve of the Malaysian Sukuk," MPRA Paper 66355, University Library of Munich, Germany.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Quantum macroeconomics theory," MPRA Paper 65442, University Library of Munich, Germany.
  • Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Quantum microeconomics theory," MPRA Paper 66983, University Library of Munich, Germany.
  • Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Quantum macroeconomics theory," MPRA Paper 65566, University Library of Munich, Germany.
• Sinha, Pankaj & Agnihotri, Shalini, 2015. "Macroeconomic risk and firms financing decision: An empirical panel data investigation using system GMM," MPRA Paper 67088, University Library of Munich, Germany, revised 30 Sep 2015.
• Francq, Christian & Sucarrat, Genaro, 2017. "An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns," Journal of Multivariate Analysis, Elsevier, vol. 153(C), pages 16-32.
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• Francq, Christian & Zakoian, Jean-Michel, 2015. "Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels," MPRA Paper 67195, University Library of Munich, Germany.
• Situngkir, Hokky, 2015. "On Capturing the Spreading Dynamics over Trading Prices in the Market," MPRA Paper 67247, University Library of Munich, Germany.
• Francq, Christian & Jiménez Gamero, Maria Dolores & Meintanis, Simos, 2015. "Tests for sphericity in multivariate garch models," MPRA Paper 67411, University Library of Munich, Germany.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
• Njindan Iyke, Bernard, 2015. "On The Term Structure of South African Interest Rates: Cointegration and Threshold Adjustment," MPRA Paper 67681, University Library of Munich, Germany.
• Francq, Christian & Zakoian, Jean-Michel, 2015. "Joint inference on market and estimation risks in dynamic portfolios," MPRA Paper 68100, University Library of Munich, Germany.
• Chkili, Walid, 2015. "Gold-oil prices co-movements and portfolio diversification implications," MPRA Paper 68110, University Library of Munich, Germany.
• Jia Liu & John M. Maheu, 2018. "Improving Markov switching models using realized variance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(3), pages 297-318, April.
  • Liu, Jia & Maheu, John M, 2015. "Improving Markov switching models using realized variance," MPRA Paper 71120, University Library of Munich, Germany.
• Fengler, Matthias R. & Herwartz, Helmut, 2015. "Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models," Economics Working Paper Series 1517, University of St. Gallen, School of Economics and Political Science.
  • Fengler, Matthias R. & Herwartz, Helmut, 2015. "Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models," MPRA Paper 72197, University Library of Munich, Germany, revised 10 Jun 2016.
• Ellul, Reuben, 2015. "Analysing correlation between the MSE index and global stock markets," MPRA Paper 72464, University Library of Munich, Germany.
• Cayton, Peter Julian, 2015. "A Nonparametric Option Pricing Model Using Higher Moments," MPRA Paper 63755, University Library of Munich, Germany.
  • Cayton, Peter Julian & Ho, Kin-Yip, 2015. "A Nonparametric Option Pricing Model Using Higher Moments," MPRA Paper 79134, University Library of Munich, Germany.
• Heidari, Hassan & Ebrahimi Torki, Mahyar & Babaei Balderlou, Saharnaz, 2015. "How Do Different Oil Price Shocks Affect the Relationship Between Oil and Stock Markets?," MPRA Paper 80273, University Library of Munich, Germany, revised 24 Dec 2016.
• Angelidis, Timotheos & Degiannakis, Stavros & Filis, George, 2015. "US stock market regimes and oil price shocks," Global Finance Journal, Elsevier, vol. 28(C), pages 132-146.
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• Mansur, Alfan & Liu, Yichang & Zaman, Kazi Arif Uz, 2015. "Portfolio Shocks and the Dynamics of the Real Economy of Australia (1980-2014): A Structural Vector Autoregressive Model Approach," MPRA Paper 93992, University Library of Munich, Germany, revised 17 May 2015.
• Bekiros, Stelios & Gupta, Rangan, 2015. "Predicting stock returns and volatility using consumption-aggregate wealth ratios: A nonlinear approach," Economics Letters, Elsevier, vol. 131(C), pages 83-85.
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• Bekiros, Stelios & Gupta, Rangan & Kyei, Clement, 2016. "On economic uncertainty, stock market predictability and nonlinear spillover effects," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 184-191.
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• Bonaccolto, G. & Caporin, M. & Gupta, R., 2018. "The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 446-469.
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• Christophe André & Lumengo Bonga-Bonga & Rangan Gupta & John W. Muteba Mwamba, 2015. "The Impact of Economic Policy Uncertainty on US Real Housing Returns and their Volatility: A Nonparametric Approach," Working Papers 201582, University of Pretoria, Department of Economics.
• Mehmet Balcilar & Rangan Gupta & Duc Khuong Nguyen & Mark E. Wohar, 2018. "Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach," Applied Economics, Taylor & Francis Journals, vol. 50(53), pages 5712-5727, November.
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• Rosella Giacometti & Sergio Ortobelli & Tomáš Tichý, 2015. "Portfolio Selection with Uncertainty Measures Consistent with Additive Shifts," Prague Economic Papers, Prague University of Economics and Business, vol. 2015(1), pages 3-16.
• Růčková Petra & Heryán Tomáš, 2015. "The Capital Structure Management in Companies of Selected Business Branches of Building in Conditions of the Czech Republic," Prague Economic Papers, Prague University of Economics and Business, vol. 2015(6), pages 699-714.
• Dana Cíchová Králová, 2015. "Využití modelu BGM při řízení úrokového rizika v českém prostředí v období po finanční krizi [Aplication of the BGM Model for Interest Rate Risk Management in the Czech Environment after Financial ," Politická ekonomie, Prague University of Economics and Business, vol. 2015(6), pages 714-740.
• Maciej Kostrzewski, 2015. "Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 7(1), pages 43-70, March.
• Paulo M.M. Rodrigues & João Nicolau, 2015. "A New Regression-Based Tail Index Estimator: An Application to Exchange Rates," Working Papers w201514, Banco de Portugal, Economics and Research Department.
• Bailey, Natalia & Pesaran, M. Hashem & Smith, L. Vanessa, 2019. "A multiple testing approach to the regularisation of large sample correlation matrices," Journal of Econometrics, Elsevier, vol. 208(2), pages 507-534.
  • Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith, 2014. "A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices," CESifo Working Paper Series 4834, CESifo.
  • Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith, 2015. "A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices," Working Papers 764, Queen Mary University of London, School of Economics and Finance.
  • Natalia Bailey & Vanessa Smith & M. Hashem Pesaran, 2014. "A multiple testing approach to the regularisation of large sample correlation matrices," Cambridge Working Papers in Economics 1413, Faculty of Economics, University of Cambridge.
• Bailey, Natalia & Pesaran, M. Hashem & Smith, L. Vanessa, 2019. "A multiple testing approach to the regularisation of large sample correlation matrices," Journal of Econometrics, Elsevier, vol. 208(2), pages 507-534.
  • Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith, 2014. "A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices," CESifo Working Paper Series 4834, CESifo.
  • Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith, 2015. "A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices," Working Papers 764, Queen Mary University of London, School of Economics and Finance.
  • Natalia Bailey & Vanessa Smith & M. Hashem Pesaran, 2014. "A multiple testing approach to the regularisation of large sample correlation matrices," Cambridge Working Papers in Economics 1413, Faculty of Economics, University of Cambridge.
  • Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith, 2015. "A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices," Working Papers 764, Queen Mary University of London, School of Economics and Finance.
• Stéphane Auray & Christian Gouriéroux, 2015. "Financial Regulations and Procyclicality," Bankers, Markets & Investors, ESKA Publishing, issue 138, pages 45-54, September.
• Ramaprasad Bhar & A.G. Malliaris & Mary Malliaris, 2015. "Quantitative Easing and the U.S. Stock Market: A Decision Tree Analysis," Review of Economic Analysis, Digital Initiatives at the University of Waterloo Library, vol. 7(2), pages 135-156, December.
• Ghada Gomaa A. Mohamed & Morrison Handley-Schachler, 2015. "Modeling FDI Flows from the USA to Canada:Two Main International Financial Variables Affect the Long-Run Economic Growth," Applied Economics and Finance, Redfame publishing, vol. 2(4), pages 85-94, November.
• Josip Arneric & Zdravka Aljinovic & Tea Poklepovic, 2015. "Extraction of market expectations from risk-neutral density," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 33(2), pages 235-256.
• Bampinas, Georgios & Panagiotidis, Theodore, 2015. "Are gold and silver a hedge against inflation? A two century perspective," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 267-276.
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• Maheu, John M. & Yang, Qiao, 2016. "An infinite hidden Markov model for short-term interest rates," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 202-220.
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• Tanrıöver, Banu & Çöllü, Duygu Arslantürk, 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)," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 6(2), pages 127-139, April.
• Gök, İbrahim Yaşar & Kalaycı, Şeref, 2015. "International Interactions between Index Futures Markets: Testing Meteor Shower and Heat Wave Hypotheses on Turkey and US Markets," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 6(4), pages 39-53, October.
• Adrian Cantemir CALIN, 2015. "The Impact of Trade Announcements on Financial Markets. An Event Study Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 81-91, June.
• Iulia LUPU, 2015. "European Stock Markets Correlations In A Markov Switching Framework," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 103-119, September.
• Tsang-Yao CHANG & Hao FANG & Yen-Hsien LEE, 2015. "Nonlinear A Djustment To The Long-Run Equilibrium Between The Reit And The Stock Markets In Japan And Singapore," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 27-38, September.
• Altaf Muhammad & Zhang Shuguang, 2015. "Impact Of Structural Shifts on Variance Persistence in Asymmetric Garch Models: Evidence From Emerging Asian and European Markets," Romanian Statistical Review, Romanian Statistical Review, vol. 63(1), pages 57-70, March.
• Marusa Beca & Irina Maria Dragan, 2015. "SMEs’ insolvency analysis in Romania in the year 2010. A microeconomic logistic approach," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 63(8), pages 58-73, August.
• Tommaso Proietti, 2016. "On the Selection of Common Factors for Macroeconomic Forecasting," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 593-628, Emerald Group Publishing Limited.
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• Ayben Koy, 2015. "The Relationship Between Credit Default Swap Spreads, Equity Indices and Sector Equity Indices: An Empirical Study on Istanbul Stock Exchange," Proceedings of International Academic Conferences 2604117, International Institute of Social and Economic Sciences.
• 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," Proceedings of International Academic Conferences 2604587, International Institute of Social and Economic Sciences.
• Serdar Neslihanoglu, 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," Proceedings of International Academic Conferences 2604617, International Institute of Social and Economic Sciences.
• KANTA TANNIYOM & Paponpat Taveeapiradeecharoen & Prapatchon Jariyapan, 2015. "Modeling Dependency and Conditional Volatility between Asian Economic Community (AEC) Country Exchange Rate and Inflation Using the Copula-GARCH Model," Proceedings of International Academic Conferences 2704733, International Institute of Social and Economic Sciences.
• Roengchai Tansuchat, 2015. "Portfolio Optimization of Global REITs Returns: High-Dimensional Copula-Based Approach," Proceedings of International Academic Conferences 2704838, International Institute of Social and Economic Sciences.
• Serdar Nesl?Hano?Lu, 2015. "Linear and Non-linear Market Model Specifications for Developed and Emerging Markets," Proceedings of International Academic Conferences 2805281, International Institute of Social and Economic Sciences.
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• Dilek ALTAS & Gulen Arikan, 2015. "Effect of Housing on Net Error Omissions: An Application to Turkey Case," Proceedings of International Academic Conferences 3105048, International Institute of Social and Economic Sciences.
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• Sadaf Anwar & Shveta Singh & P K Jain, 2015. "Cash Dividend Announcements and Stock Return Volatility: Evidence from India," Proceedings of Economics and Finance Conferences 2204432, International Institute of Social and Economic Sciences.
• Esref Savas Basci, 2015. "Yield Spreads on Government Benchmark Bonds: Cross Country Evidence," Proceedings of Economics and Finance Conferences 2204522, International Institute of Social and Economic Sciences.
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• Juan Carlos Cuestas & Bo Tang, 2015. "Exchange Rate Changes and Stock Returns in China: A Markov Switching SVAR Approach," Working Papers 2015024, The University of Sheffield, Department of Economics.
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• Ke Zhu & Wai Keung Li, 2015. "A New Pearson-Type QMLE for Conditionally Heteroscedastic Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(4), pages 552-565, October.
• Massimiliano Caporin & Angelo Ranaldo & Gabriel G. Velo, 2015. "Precious metals under the microscope: a high-frequency analysis," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 743-759, May.
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• Yao, Wenying & Tian, Jing, 2015. "The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements," Working Papers 2015-05, University of Tasmania, Tasmanian School of Business and Economics.
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• Ozgur Ozel & Mustafa Utku Ozmen & Erdal Yilmaz, 2015. "Importance of Foreign Ownership and Staggered Adjustment of Capital Outflows," Working Papers 1531, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
• Manabu Asai & Michael McAleer, 2017. "The impact of jumps and leverage in forecasting covolatility," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 638-650, October.
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  • Manabu Asai & Michael McAleer, 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Tinbergen Institute Discussion Papers 15-018/III, Tinbergen Institute.
  • Manabu Asai & Michael McAleer, 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Documentos de Trabajo del ICAE 2015-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Guillaume Gaetan Martinet & Michael McAleer, 2018. "On the invertibility of EGARCH(p, q)," Econometric Reviews, Taylor & Francis Journals, vol. 37(8), pages 824-849, September.
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  • Guillaume Gaetan Martinet & Michael McAleer, 2015. "On the Invertibility of EGARCH(p,q)," Tinbergen Institute Discussion Papers 15-022/III, Tinbergen Institute.
  • Guillaume Gaetan Martinet & Michael McAleer, 2015. "On the Invertibility of EGARCH(p,q)," Documentos de Trabajo del ICAE 2015-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Tinbergen Institute Discussion Papers 14-096/III, Tinbergen Institute.
  • Martinet, G.G. & McAleer, M.J., 2015. "On the Invertibility of EGARCH(p,q)," Econometric Institute Research Papers EI 2015-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Documentos de Trabajo del ICAE 2014-28, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Working Papers in Economics 14/21, University of Canterbury, Department of Economics and Finance.
• Ling, Shiqing & McAleer, Michael & Tong, Howell, 2015. "Frontiers in Time Series and Financial Econometrics: An overview," Journal of Econometrics, Elsevier, vol. 189(2), pages 245-250.
  • Shiqing Ling & Michael McAleer & Howell Tong, 2015. "Frontiers in Time Series and Financial Econometrics: An Overview," Documentos de Trabajo del ICAE 2015-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Shiqing Ling & Michael McAleer & Howell Tong, 2015. "Frontiers in Time Series and Financial Econometrics: An Overview," Tinbergen Institute Discussion Papers 15-026/III, Tinbergen Institute.
• Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & André Lucas, 2015. "In-Sample Bounds for Time-Varying Parameters of Observation Driven Models," Tinbergen Institute Discussion Papers 15-027/III, Tinbergen Institute, revised 07 Sep 2015.
• Sungyong Park & Wendun Wang & Naijing Huang, 2015. "Testing for Stock Market Contagion: A Quantile Regression Approach," Tinbergen Institute Discussion Papers 15-040/III, Tinbergen Institute.
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• Chia-Lin Chang & Yiying Li & Michael McAleer, 2018. "Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Energies, MDPI, vol. 11(6), pages 1-19, June.
  • Chia-Lin Chang & Yiying Li & Michael McAleer, 2015. "Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Documentos de Trabajo del ICAE 2015-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Yiying Li & Michael McAleer, 2015. "Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Tinbergen Institute Discussion Papers 15-077/III, Tinbergen Institute.
  • Chang, C-L. & Li, Y. & McAleer, M.J., 2015. "Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Econometric Institute Research Papers EI2015-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2015. "Multivariate Volatility Impulse Response Analysis of GFC News Events," Documentos de Trabajo del ICAE 2015-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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• Manabu Asai & Michael McAleer, 2017. "The impact of jumps and leverage in forecasting covolatility," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 638-650, October.
  • Asai, M. & McAleer, M.J., 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Econometric Institute Research Papers EI 2015-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Michael McAleer, 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Documentos de Trabajo del ICAE 2015-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Manabu Asai & Michael McAleer, 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Tinbergen Institute Discussion Papers 15-018/III, Tinbergen Institute.
• Guillaume Gaetan Martinet & Michael McAleer, 2018. "On the invertibility of EGARCH(p, q)," Econometric Reviews, Taylor & Francis Journals, vol. 37(8), pages 824-849, September.
  • Martinet, G.G. & McAleer, M.J., 2014. "On the Invertibility of EGARCH," Econometric Institute Research Papers EI2014-22, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Guillaume Gaetan Martinet & Michael McAleer, 2015. "On the Invertibility of EGARCH(p,q)," Documentos de Trabajo del ICAE 2015-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Working Papers in Economics 14/21, University of Canterbury, Department of Economics and Finance.
  • Guillaume Gaetan Martinet & Michael McAleer, 2015. "On the Invertibility of EGARCH(p,q)," Tinbergen Institute Discussion Papers 15-022/III, Tinbergen Institute.
  • Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Tinbergen Institute Discussion Papers 14-096/III, Tinbergen Institute.
  • Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Documentos de Trabajo del ICAE 2014-28, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Martinet, G.G. & McAleer, M.J., 2015. "On the Invertibility of EGARCH(p,q)," Econometric Institute Research Papers EI 2015-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Ling, Shiqing & McAleer, Michael & Tong, Howell, 2015. "Frontiers in Time Series and Financial Econometrics: An overview," Journal of Econometrics, Elsevier, vol. 189(2), pages 245-250.
  • Shiqing Ling & Michael McAleer & Howell Tong, 2015. "Frontiers in Time Series and Financial Econometrics: An Overview," Tinbergen Institute Discussion Papers 15-026/III, Tinbergen Institute.
  • Shiqing Ling & Michael McAleer & Howell Tong, 2015. "Frontiers in Time Series and Financial Econometrics: An Overview," Documentos de Trabajo del ICAE 2015-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chia-Lin Chang & Yiying Li & Michael McAleer, 2018. "Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Energies, MDPI, vol. 11(6), pages 1-19, June.
  • Chia-Lin Chang & Yiying Li & Michael McAleer, 2015. "Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Tinbergen Institute Discussion Papers 15-077/III, Tinbergen Institute.
  • Chia-Lin Chang & Yiying Li & Michael McAleer, 2015. "Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Documentos de Trabajo del ICAE 2015-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & Li, Y. & McAleer, M.J., 2015. "Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Econometric Institute Research Papers EI2015-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2015. "Multivariate Volatility Impulse Response Analysis of GFC News Events," Tinbergen Institute Discussion Papers 15-089/III, Tinbergen Institute.
  • David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2015. "Multivariate Volatility Impulse Response Analysis of GFC News Events," Documentos de Trabajo del ICAE 2015-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Allen, D.E. & McAleer, M.J. & Powell, R.J. & Singh, A.K., 2015. "Multivariate Volatility Impulse Response Analysis of GFC News Events," Econometric Institute Research Papers EI2015-22, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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• Audrino, Francesco & Camponovo, Lorenzo & Roth, Constantin, 2015. "Testing the lag structure of assets’ realized volatility dynamics," Economics Working Paper Series 1501, University of St. Gallen, School of Economics and Political Science.
• Fengler, Matthias R. & Herwartz, Helmut, 2015. "Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models," MPRA Paper 72197, University Library of Munich, Germany, revised 10 Jun 2016.
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• Füss, Roland & Grabellus, Markus & Mager, Ferdinand & Stein, Michael, 2018. "Something in the air: Information density, news surprises, and price jumps," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 50-75.
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• Tomasz Skoczylas, 2015. "Bivariate GARCH models for single asset returns," Working Papers 2015-03, Faculty of Economic Sciences, University of Warsaw.
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• Nicholas M. Kiefer & C. Erik Larson, 2015. "Counting Processes for Retail Default Modeling," CREATES Research Papers 2015-17, Department of Economics and Business Economics, Aarhus University.
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• Markku Lanne & Henri Nyberg, 2015. "Nonlinear dynamic interrelationships between real activity and stock returns," CREATES Research Papers 2015-36, Department of Economics and Business Economics, Aarhus University.
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• Ramsey, Ford, 2015. "Dependence in Spikes of Energy and Agricultural Prices," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205120, Agricultural and Applied Economics Association.
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• Filip Smolik & Lukas Vacha, 2015. "Time-scale analysis of co-movement in EU sovereign bond markets," Papers 1506.03347, arXiv.org, revised Mar 2016.
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• Aycan HEPSAG & Burcay YASAR AKCALI, 2015. "The Analysis of Weak Form Efficiency with Asymmetric Nonlinear Unit Root Test: The Case of G-7 and E-7 Countries," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 9(2), pages 73-90.
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• Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno, 2015. "Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," Borradores de Economia 14112, Banco de la Republica.
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• Bo Tang, 2015. "Exchange Rate Exposure of Chinese Firms at the Industry and Firm Level," Review of Development Economics, Wiley Blackwell, vol. 19(3), pages 592-607, August.
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• Pedro Gurrola-Perez & David Murphy, 2015. "Filtered historical simulation Value-at-Risk models and their competitors," Bank of England working papers 525, Bank of England.
• Richard D. F. Harris & Linh H Nguyen & Evarist Stoja, 2015. "Extreme downside risk and financial crises," Bank of England working papers 547, Bank of England.
• Marek Raczko, 2015. "Volatility contagion: new evidence from market pricing of volatility risk," Bank of England working papers 552, Bank of England.
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  • David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2015. "Multivariate Volatility Impulse Response Analysis of GFC News Events," Tinbergen Institute Discussion Papers 15-089/III, Tinbergen Institute.
• Michael McAleer, 2015. "The Fundamental Equation in Tourism Finance," JRFM, MDPI, vol. 8(4), pages 1-6, December.
  • Michael McAleer, 2015. "The Fundamental Equation in Tourism Finance," Tinbergen Institute Discussion Papers 15-129/III, Tinbergen Institute.
  • McAleer, M.J., 2015. "The Fundamental Equation in Tourism Finance," Econometric Institute Research Papers EI2015-35, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Antoniade Ciprian ALEXANDRU & Nicoleta CARAGEA, 2015. "The Capital Markets Research Based on the Financial Quantitative Models," Eco-Economics Review, Ecological University of Bucharest, Economics Faculty and Ecology and Environmental Protection Faculty, vol. 1(1), pages 3-16, June.
• Michal Adam & Piotr Banbula & Michal Markun, 2015. "International Dependence and Contagion across Asset Classes: The Case of Poland," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(3), pages 254-270, May.
• Sercan Demiralay & Selcuk Bayraci, 2015. "Central and Eastern European Stock Exchanges under Stress: A Range-Based Volatility Spillover Framework," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(5), pages 411-430, October.
• Dejan Zivkov & Jovan Njegic & Ivan Milenkovic, 2015. "Bidirectional Volatility Spillover Effect between the Exchange Rate and Stocks in the Presence of Structural Breaks in Selected Eastern European Economies," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(6), pages 477-498, December.
• Horváth, Roman & Šopov, Boril, 2016. "GARCH models, tail indexes and error distributions: An empirical investigation," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 1-15.
  • Roman Horváth & Boril Sopov, 2015. "GARCH Models, Tail Indexes and Error Distributions: An Empirical Investigation," Working Papers IES 2015/09, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2015.
• Andrea Bastianin & Matteo Manera, 2015. "Oil and Macroeconomic Uncertianty," Review of Environment, Energy and Economics - Re3, Fondazione Eni Enrico Mattei, June.
• Bastianin, Andrea & Manera, Matteo, 2018. "How Does Stock Market Volatility React To Oil Price Shocks?," Macroeconomic Dynamics, Cambridge University Press, vol. 22(3), pages 666-682, April.
  • Andrea BASTIANIN & Matteo MANERA, 2015. "How Does Stock Market Volatility React to Oil Shocks?," Departmental Working Papers 2015-09, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
  • Andrea Bastianin & Matteo Manera, 2015. "How Does Stock Market Volatility React to Oil Shocks?," Working Papers 2014.110, Fondazione Eni Enrico Mattei.
  • Andrea Bastianin & Matteo Manera, 2018. "How does stock market volatility react to oil shocks?," Papers 1811.03820, arXiv.org.
  • Bastianin, Andrea & Manera, Matteo, 2015. "How Does Stock Market Volatility React to Oil Shocks?," Energy: Resources and Markets 196919, Fondazione Eni Enrico Mattei (FEEM).
• Gavard, Claire & Kirat, Djamel, 2018. "Flexibility in the market for international carbon credits and price dynamics difference with European allowances," Energy Economics, Elsevier, vol. 76(C), pages 504-518.
  • Claire Gavard & Djamel Kirat, 2015. "Flexibility in the Market for International Carbon Credits and Price. Dynamics Difference with European Allowances," Working Papers 2015.03, Fondazione Eni Enrico Mattei.
  • Gavard, Claire & Kirat, Djamel, 2017. "Flexibility in the market for international carbon credits and price dynamics difference with European allowances," ZEW Discussion Papers 17-054, ZEW - Leibniz Centre for European Economic Research.
• Bastianin, Andrea & Conti, Francesca & Manera, Matteo, 2016. "The impacts of oil price shocks on stock market volatility: Evidence from the G7 countries," Energy Policy, Elsevier, vol. 98(C), pages 160-169.
  • Andrea BASTIANIN & Francesca CONTI & Matteo MANERA, 2015. "The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries," Departmental Working Papers 2015-17, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
  • Bastianin, Andrea & Conti, Francesca & Manera, Matteo, 2016. "The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries," Energy: Resources and Markets 230682, Fondazione Eni Enrico Mattei (FEEM).
  • Andrea Bastianin & Francesca Conti & Matteo Manera, 2015. "The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries," Working Papers 2015.99, Fondazione Eni Enrico Mattei.
• Michael B. Gordy & Pawel J. Szerszen, 2015. "Bayesian Estimation of Time-Changed Default Intensity Models," Finance and Economics Discussion Series 2015-2, Board of Governors of the Federal Reserve System (U.S.).
• Oh, Dong Hwan & Patton, Andrew J., 2016. "High-dimensional copula-based distributions with mixed frequency data," Journal of Econometrics, Elsevier, vol. 193(2), pages 349-366.
  • Dong Hwan Oh & Andrew J. Patton, 2015. "High-Dimensional Copula-Based Distributions with Mixed Frequency Data," Finance and Economics Discussion Series 2015-50, Board of Governors of the Federal Reserve System (U.S.).
• Fernando M. Duarte & Carlo Rosa, 2015. "The equity risk premium: a review of models," Economic Policy Review, Federal Reserve Bank of New York, issue 2, pages 39-57.
  • Fernando M. Duarte & Carlo Rosa, 2015. "The equity risk premium: a review of models," Staff Reports 714, Federal Reserve Bank of New York.
• Fernando M. Duarte & Carlo Rosa, 2015. "The equity risk premium: a review of models," Economic Policy Review, Federal Reserve Bank of New York, issue 2, pages 39-57.
  • Fernando M. Duarte & Carlo Rosa, 2015. "The equity risk premium: a review of models," Staff Reports 714, Federal Reserve Bank of New York.
• Cecilia Mancini, 2015. "Truncated Realized Covariance when prices have infinite variation jumps," Working Papers - Mathematical Economics 2015-02, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
• Michael McAleer, 2015. "The Fundamental Equation in Tourism Finance," JRFM, MDPI, vol. 8(4), pages 1-6, December.
  • Michael McAleer, 2015. "The Fundamental Equation in Tourism Finance," Tinbergen Institute Discussion Papers 15-129/III, Tinbergen Institute.
  • McAleer, M.J., 2015. "The Fundamental Equation in Tourism Finance," Econometric Institute Research Papers EI2015-35, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Pascoal, Rui & Augusto, Mário & Monteiro, A.M., 2016. "Size distribution of Portuguese firms between 2006 and 2012," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 342-355.
  • Mário Augusto & Rui Pascoal & Ana Margarida Monteiro, 2015. "Size Distribution of Portuguese Firms between 2006 and 2012," GEMF Working Papers 2015-04, GEMF, Faculty of Economics, University of Coimbra.
• Pascoal, Rui & Augusto, Mário & Monteiro, A.M., 2016. "Size distribution of Portuguese firms between 2006 and 2012," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 342-355.
  • Mário Augusto & Rui Pascoal & Ana Margarida Monteiro, 2015. "Size Distribution of Portuguese Firms between 2006 and 2012," GEMF Working Papers 2015-04, GEMF, Faculty of Economics, University of Coimbra.
• Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2016. "Efficient skewness/semivariance portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 331-346, September.
  • Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Efficient Skewness/Semivariance Portfolios," GEMF Working Papers 2015-05, GEMF, Faculty of Economics, University of Coimbra.
• Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2016. "Efficient skewness/semivariance portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 331-346, September.
  • Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Efficient Skewness/Semivariance Portfolios," GEMF Working Papers 2015-05, GEMF, Faculty of Economics, University of Coimbra.
• Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Portfolio Management With Higher Moments: The Cardinality Impact," GEMF Working Papers 2015-15, GEMF, Faculty of Economics, University of Coimbra.
• Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Portfolio Management With Higher Moments: The Cardinality Impact," GEMF Working Papers 2015-15, GEMF, Faculty of Economics, University of Coimbra.
• Antoine Kornprobst & Raphaël Douady, 2015. "A Pratical Approach to Financial Crisis Indicators Based on Random Matrices," Post-Print halshs-01169307, HAL.
  • Antoine Kornprobst & Raphaël Douady, 2015. "A Pratical Approach to Financial Crisis Indicators Based on Random Matrices," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01169307, HAL.
  • Antoine Kornprobst & Raphael Douady, 2015. "A Practical Approach to Financial Crisis Indicators Based on Random Matrices," Documents de travail du Centre d'Economie de la Sorbonne 15049, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Fredj Jawadi & Georges Prat, 2017. "Equity prices and fundamentals: a DDM–APT mixed approach," Review of Quantitative Finance and Accounting, Springer, vol. 49(3), pages 661-695, October.
  • Fredj Jawadi & Georges Prat, 2015. "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," Working Papers hal-04141411, HAL.
  • Fredj Jawadi & Georges Prat, 2015. "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," Working paper serie RMT - Grenoble Ecole de Management hal-04141411, HAL.
  • Fredj Jawadi & Georges Prat, 2015. "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," Working Papers 2015-630, Department of Research, Ipag Business School.
  • Fredj Jawadi & Georges Prat, 2017. "Equity prices and fundamentals: a DDM–APT mixed approach," Post-Print hal-01549758, HAL.
  • Fredj Jawadi & Georges Prat, 2015. "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," EconomiX Working Papers 2015-16, University of Paris Nanterre, EconomiX.
• Mazza, Paolo & Petitjean, Mikael, 2015. "How integrated is the European carbon derivatives market?," Finance Research Letters, Elsevier, vol. 15(C), pages 18-30.
  • Petitjean, Mikael, 2015. "How integrated is the European carbon derivatives market?," LIDAM Reprints LFIN 2015004, Université catholique de Louvain, Louvain Finance (LFIN).
  • Paolo Mazza & Mikael Petitjean, 2015. "How integrated is the European carbon derivatives market?," Post-Print hal-01526028, HAL.
  • Paolo MAZZA & Mikael PETITJEAN, 2015. "How integrated is the European carbon derivatives market?," LIDAM Reprints CORE 2777, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Bertrand, Philippe & Lapointe, Vincent, 2015. "How performance of risk-based strategies is modified by socially responsible investment universe?," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 175-190.
  • Philippe Bertrand & Vincent Lapointe, 2015. "How performance of risk-based strategies is modified by socially responsible investment universe?," Post-Print hal-01833066, HAL.
• Hoang, Thi-Hong-Van & Wong, Wing-Keung & Zhu, Zhenzhen, 2015. "Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange," Economic Modelling, Elsevier, vol. 50(C), pages 200-211.
  • Thi-Hong-Van Hoang & Wing-Keung Wong & Zhenzhen Zhu, 2015. "Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange," Post-Print hal-02010732, HAL.
• Calvet, Laurent E. & Czellar, Veronika, 2015. "Through the looking glass: Indirect inference via simple equilibria," Journal of Econometrics, Elsevier, vol. 185(2), pages 343-358.
  • Calvet , Laurent & Czellar, Veronika, 2013. "Through the Looking Glass: Indirect Inference via Simple Equilibria," HEC Research Papers Series 1048, HEC Paris.
  • Laurent E. Calvet & Veronika Czellar, 2015. "Through the Looking Glass : Indirect Inference via Simple Equilibria," Post-Print hal-02313236, HAL.
  • Laurent E. Calvet & Veronika Czellar, 2014. "Through the Looking Glass: Indirect Inference via Simple Equilibria," Working Papers hal-02058272, HAL.
• Antoine Kornprobst & Raphaël Douady, 2015. "A Pratical Approach to Financial Crisis Indicators Based on Random Matrices," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01169307, HAL.
  • Antoine Kornprobst & Raphaël Douady, 2015. "A Pratical Approach to Financial Crisis Indicators Based on Random Matrices," Post-Print halshs-01169307, HAL.
  • Antoine Kornprobst & Raphael Douady, 2015. "A Practical Approach to Financial Crisis Indicators Based on Random Matrices," Documents de travail du Centre d'Economie de la Sorbonne 15049, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Chevillon, Guillaume & Hecq , Alain & Laurent, Sébastien, 2015. "Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence," ESSEC Working Papers WP1507, ESSEC Research Center, ESSEC Business School.
  • Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2015. "Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence," Working Papers hal-01158524, HAL.
  • Chevillon, G. & Hecq, A.W. & Laurent, S.F.J.A., 2015. "Long memory through marginalization of large systems and hidden cross-section dependence," Research Memorandum 014, Maastricht University, Graduate School of Business and Economics (GSBE).
• Fredj Jawadi & Georges Prat, 2017. "Equity prices and fundamentals: a DDM–APT mixed approach," Review of Quantitative Finance and Accounting, Springer, vol. 49(3), pages 661-695, October.
  • Fredj Jawadi & Georges Prat, 2015. "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," Working paper serie RMT - Grenoble Ecole de Management hal-04141411, HAL.
  • Fredj Jawadi & Georges Prat, 2015. "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," Working Papers hal-04141411, HAL.
  • Fredj Jawadi & Georges Prat, 2015. "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," Working Papers 2015-630, Department of Research, Ipag Business School.
  • Fredj Jawadi & Georges Prat, 2015. "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," EconomiX Working Papers 2015-16, University of Paris Nanterre, EconomiX.
  • Fredj Jawadi & Georges Prat, 2017. "Equity prices and fundamentals: a DDM–APT mixed approach," Post-Print hal-01549758, HAL.
• Anne Péguin-Feissolle & Bilel Sanhaji, 2015. "Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix)," AMSE Working Papers 1516, Aix-Marseille School of Economics, France.
  • Anne Péguin-Feissolle & Bilel Sanhaji, 2015. "Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix)," Working Papers halshs-01133751, HAL.
• Alexander N. Bogin & Stephen D. Bruestle & William M. Doerner, 2017. "How Low Can House Prices Go? Estimating a Conservative Lower Bound," The Journal of Real Estate Finance and Economics, Springer, vol. 54(1), pages 97-116, January.
  • Alexander N. Bogin & Stephen D. Bruestle & William M. Doerner, 2015. "How Low Can House Prices Go? Estimating a Conservative Lower Bound," FHFA Staff Working Papers 15-01, Federal Housing Finance Agency.
• Nordvig, Jens, 2015. "Legal Risk Premia During the Euro-Crisis: The Role of Credit and Redenomination Risk," Discussion Papers on Economics 10/2015, University of Southern Denmark, Department of Economics.
• Brännäs, Kurt & Machava, Agostinho, 2015. "Time Series Modelling of Daily Metical/Rand Exchange Rate Returns, 1996-2014," Umeå Economic Studies 909, Umeå University, Department of Economics.
• Machava, Agostinho & Brännäs, Kurt, 2015. "Mozambican Monetary Policy and the Yield Curve of Treasury Bills - An Empirical Study," Umeå Economic Studies 918, Umeå University, Department of Economics.
• Ishihara, Tsunehiro, 2015. "Estimation of Generalized Realized Stochastic Volatility Model: An Application to Calendar Effect of Nikkei 225," Economic Review, Hitotsubashi University, vol. 66(1), pages 1-18, January.
• Hideyuki Takamizawa, 2015. "Predicting Interest Rate Volatility Using Information on the Yield Curve," International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 347-386, September.
  • Takamizawa, Hideyuki & 髙見澤, 秀幸, 2012. "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series G-1-3, Hitotsubashi University Center for Financial Research.
  • Takamizawa, Hideyuki & 髙見澤, 秀幸, 2015. "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series G-1-9, Hitotsubashi University Center for Financial Research.

2014

• Asger Lunde & Kasper V. Olesen, 2014. "Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange," CREATES Research Papers 2013-19, Department of Economics and Business Economics, Aarhus University.
• Paul Catani & Timo Teräsvirta & Meiqun Yin, 2017. "A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 599-621, October.
  • Paul Catani & Timo Teräsvirta & Meiqun Yin, 2014. "A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model," CREATES Research Papers 2014-03, Department of Economics and Business Economics, Aarhus University.
• Boudt, Kris & Laurent, Sébastien & Lunde, Asger & Quaedvlieg, Rogier & Sauri, Orimar, 2017. "Positive semidefinite integrated covariance estimation, factorizations and asynchronicity," Journal of Econometrics, Elsevier, vol. 196(2), pages 347-367.
  • Kris Boudt & Sébastien Laurent & Asger Lunde & Rogier Quaedvlieg, 2014. "Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity," CREATES Research Papers 2014-05, Department of Economics and Business Economics, Aarhus University.
  • Kris Boudt & Sébastien Laurent & Asger Lunde & Rogier Quaedvlieg & Orimar Sauri, 2017. "Positive semidefinite integrated covariance estimation, factorizations and asynchronicity," Post-Print hal-01505775, HAL.
• Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2016. "Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification," Journal of Financial Econometrics, Oxford University Press, vol. 14(3), pages 617-642.
  • Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun, 2014. "Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification," Working Papers 2014:37, Lund University, Department of Economics.
  • Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2014. "Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification," CREATES Research Papers 2014-13, Department of Economics and Business Economics, Aarhus University.
• Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2015. "Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets," Journal of Econometrics, Elsevier, vol. 187(2), pages 557-579.
  • Giuseppe Cavaliere & Morten Ø. Nielsen & A.M. Robert Taylor, 2013. "Bootstrap Score Tests For Fractional Integration In Heteroskedastic Arfima Models, With An Application To Price Dynamics In Commodity Spot And Futures Markets," Working Paper 1309, Economics Department, Queen's University.
  • Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2014. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," CREATES Research Papers 2014-22, Department of Economics and Business Economics, Aarhus University.
• Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2016. "Volatility Jumps and Their Economic Determinants," Journal of Financial Econometrics, Oxford University Press, vol. 14(1), pages 29-80.
  • Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Volatility jumps and their economic determinants," CREATES Research Papers 2014-27, Department of Economics and Business Economics, Aarhus University.
• Massimiliano Caporin & Eduardo Rossi & Paolo Santucci De Magistris, 2014. "Chasing Volatility. A Persistent Multiplicative Error Model With Jumps," "Marco Fanno" Working Papers 0186, Dipartimento di Scienze Economiche "Marco Fanno".
  • Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Chasing volatility - A persistent multiplicative error model with jumps," CREATES Research Papers 2014-29, Department of Economics and Business Economics, Aarhus University.
• Massimiliano Caporin & Luca Corazzini & Michele Costola, 2014. "Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500," CREATES Research Papers 2014-33, Department of Economics and Business Economics, Aarhus University.
• Ulrich Hounyo, 2014. "Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading," CREATES Research Papers 2014-35, Department of Economics and Business Economics, Aarhus University.
• Lukasz Gatarek & Søren Johansen, 2014. "Optimal hedging with the cointegrated vector autoregressive model," Discussion Papers 14-22, University of Copenhagen. Department of Economics.
  • Søren Johansen & Lukasz Gatarek, 2014. "Optimal hedging with the cointegrated vector autoregressive model," CREATES Research Papers 2014-40, Department of Economics and Business Economics, Aarhus University.
  • Søren Johansen & Bent Nielsen, 2014. "Optimal hedging with the cointegrated vector autoregressive model," Discussion Papers 14-23, University of Copenhagen. Department of Economics.
• Tommaso Proietti, 2016. "On the Selection of Common Factors for Macroeconomic Forecasting," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 593-628, Emerald Group Publishing Limited.
  • Giovannelli, Alessandro & Proietti, Tommaso, 2014. "On the Selection of Common Factors for Macroeconomic Forecasting," MPRA Paper 60673, University Library of Munich, Germany.
  • Alessandro Giovannelli & Tommaso Proietti, 2014. "On the Selection of Common Factors for Macroeconomic Forecasting," CREATES Research Papers 2014-46, Department of Economics and Business Economics, Aarhus University.
  • Alessandro Giovannelli & Tommaso Proietti, 2015. "On the Selection of Common Factors for Macroeconomic Forecasting," CEIS Research Paper 332, Tor Vergata University, CEIS, revised 12 Mar 2015.
• Eduardo Rossi & Paolo Santucci de Magistris, 2018. "Indirect inference with time series observed with error," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 874-897, September.
  • Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Indirect inference with time series observed with error," CREATES Research Papers 2014-57, Department of Economics and Business Economics, Aarhus University.
• Marco Cipriani & Antonio Guarino, 2014. "Estimating a Structural Model of Herd Behavior in Financial Markets," American Economic Review, American Economic Association, vol. 104(1), pages 224-251, January.
  • Antonio Guarino & Marco Cipriani, 2010. "Estimating a Structural Model of Herd Behavior in Financial Markets," IMF Working Papers 2010/288, International Monetary Fund.
  • Marco Cipriani & Antonio Guarino, 2012. "Estimating a structural model of herd behavior in financial markets," Staff Reports 561, Federal Reserve Bank of New York.
• Ryan Kellogg, 2014. "The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling," American Economic Review, American Economic Association, vol. 104(6), pages 1698-1734, June.
  • Ryan Kellogg, 2010. "The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling," NBER Working Papers 16541, National Bureau of Economic Research, Inc.
• Aviral Kumar TIWARI & Raveesh KRISHNANKUTTY, 2014. "Determinants of capital structure: comparison of empirical evidence for the use of different estimators," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(12(601)), pages 63-82, December.
  • tiwari, aviral kumar & krishnankutty, Raveesh, 2010. "Determinants of capital Structure: comparison of empirical evidence for the use of different estimators," MPRA Paper 48612, University Library of Munich, Germany.
• Serrao, Amilcar, 2014. "The influence of behavior factors in setting the agricultural futures market prices," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170326, Agricultural and Applied Economics Association.
• Algieri, Bernardina, 2014. "The influence of biofuels, economic and financial factors on daily returns of commodity futures prices," Energy Policy, Elsevier, vol. 69(C), pages 227-247.
  • Algieri, Bernardina, 2014. "The influence of biofuels, economic and financial factors on daily returns of commodity futures prices," Discussion Papers 164963, University of Bonn, Center for Development Research (ZEF).
• Algieri, Bernardina & Kalkuhl, Matthias, 2014. "Back to the Futures: An Assessment of Commodity Market Efficiency and Forecast Error Drivers," Discussion Papers 187159, University of Bonn, Center for Development Research (ZEF).
• Cristina CIUMAS & Diana-Maria CHIS & Ramona Alexandrina COCA, 2014. "Unit-Linked Life Insurance Contracts With Investment Guarantees Ï¿½ A Proposal For Romanian Life Insurance Market," Journal of Public Administration, Finance and Law, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 0(Special i), pages 19-24, September.
• Andreea ROSOIU, 2014. "Monetary Policy Transmission Mechanism And Dynamic Factor Models," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 14, pages 199-206, December.
• Coulomb, Renaud & Sangnier, Marc, 2014. "The impact of political majorities on firm value: Do electoral promises or friendship connections matter?," Journal of Public Economics, Elsevier, vol. 115(C), pages 158-170.
  • Renaud Coulomb & Marc Sangnier, 2012. "Impacts of Political Majorities on French Firms: Electoral Promises or Friendship Connections?," PSE Working Papers halshs-00671405, HAL.
  • Renaud Coulomb & Marc Sangnier, 2014. "The Impact of Political Majorities on Firm Value: Do Electoral Promises or Friendship Connections Matter?," AMSE Working Papers 1414, Aix-Marseille School of Economics, France, revised May 2014.
  • Renaud Coulomb & Marc Sangnier, 2014. "The Impact of Political Majorities on Firm Value: Do Electoral Promises or Friendship Connections Matter?," PSE-Ecole d'économie de Paris (Postprint) halshs-00990241, HAL.
  • Renaud Coulomb & Marc Sangnier, 2014. "The Impact of Political Majorities on Firm Value: Do Electoral Promises or Friendship Connections Matter?," Post-Print halshs-00990241, HAL.
• Gheorghe MATEI & Olivia MANOLE, 2014. "Financial Decentralization Reflected in the Revenues and Expenses of Local Budgets in Romania," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, vol. 1(16), pages 36-45, December.
• Breitung, Jörg & Hafner, Christian M., 2016. "A simple model for now-casting volatility series," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1247-1255.
  • Hafner, Christian & Breitung, Jörg, 2014. "A simple model for now-casting volatility series," LIDAM Discussion Papers CORE 2014060, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Breitung, J. & Hafner, C., 2016. "A simple model for now-casting volatility series," LIDAM Discussion Papers ISBA 2016035, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • Breitung, Jorg & Hafner, Christian, 2016. "A simple model for now-casting volatility series," LIDAM Reprints ISBA 2016040, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • Jörg BREITUNG & Christian M. HAFNER, 2016. "A simple model for now-casting volatility series," LIDAM Reprints CORE 2865, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Breitung, Jorg & Hafner, Christian, 2015. "A simple model for now-casting volatility series," LIDAM Discussion Papers ISBA 2015021, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • Breitung, J. & Hafner, C., 2014. "A simple model for now-casting volatility series," LIDAM Discussion Papers ISBA 2014046, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • BREITUNG, Jörg & HAFNER, Christian, 2016. "A Simple Model for Now-Casting Volatility Series," LIDAM Discussion Papers CORE 2016004, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Boudt, Kris & Petitjean, Mikael, 2014. "Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks," Journal of Financial Markets, Elsevier, vol. 17(C), pages 121-149.
  • BOUDT, Kris & PETITJEAN, Mikael, 2014. "Intraday liquidity dynamics and news releases around price jumps: evidence from the DJIA stocks," LIDAM Reprints CORE 2591, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Boudt, Kris & Petitjean, Mikael, 2014. "Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks," LIDAM Reprints LFIN 2014006, Université catholique de Louvain, Louvain Finance (LFIN).
• Adina Elena DănuleÅ£iu & Iulia Cristina Iuga & Adela Socol, 2014. "Investigating Banking Households' Deposits Using Vector Autoregressive Model Var," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(16), pages 1-8.
• Ioan-Bogdan Robu & Mihaela-Alina Robu & Marilena Mironiuc & Florentina Olivia Balu, 2014. "The Value Relevance of Financial Distress Risk in the Case of RASDAQ Companies," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 13(4), pages 623-642, December.
• Luis Varona Castillo & Laura Gismera Tierno & Ricardo Gimeno Nogues, 2014. "Supervivencia de las empresas según indicadores empresariales. Modelo lineal mixto con datos de panel, período 2004 al 2008, caso de España," Working Papers 13, Peruvian Economic Association.
• Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2017. "Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequency Measures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(3), pages 504-532, April.
  • Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2013. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers 28/13, Monash University, Department of Econometrics and Business Statistics.
  • Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2016. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers 8/16, Monash University, Department of Econometrics and Business Statistics.
  • Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2014. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Papers 1401.3911, arXiv.org, revised Mar 2016.
  • Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2014. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers 30/14, Monash University, Department of Econometrics and Business Statistics.
• Jozef Baruník, Evzen Kocenda and Lukáa Vácha, 2015. "Volatility Spillovers Across Petroleum Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
  • Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2014. "How does bad and good volatility spill over across petroleum markets?," Papers 1405.2445, arXiv.org.
  • Jozef Baruni & Evzen Kocenda & Lukas Vacha, 2015. "Volatility spillovers across petroleum markets," William Davidson Institute Working Papers Series wp1093, William Davidson Institute at the University of Michigan.
• Medovikov, Ivan, 2014. "Can analysts predict rallies better than crashes?," Finance Research Letters, Elsevier, vol. 11(4), pages 319-325.
  • Medovikov, Ivan, 2014. "Can Analysts Predict Rallies Better Than Crashes?," MPRA Paper 55942, University Library of Munich, Germany.
  • Ivan Medovikov, 2014. "Can Analysts Predict Rallies Better Than Crashes?," Papers 1405.3225, arXiv.org.
• Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014. "A Compound Multifractal Model for High-Frequency Asset Returns," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-05, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
  • Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014. "The Random Walk of High Frequency Trading," Papers 1408.3650, arXiv.org, revised Aug 2014.
• Roberto Casarin & Fabrizio Leisen & German Molina & Enrique Ter Horst, 2014. "A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities," Working Papers 2014:22, Department of Economics, University of Venice "Ca' Foscari".
  • Roberto Casarin & Fabrizio Leisen & German Molina & Enrique ter Horst, 2014. "A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities," Papers 1409.1956, arXiv.org.
• Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, 2016. "Statistical Modeling Of Stock Returns: Explanatory Or Descriptive? A Historical Survey With Some Methodological Reflections," Journal of Economic Surveys, Wiley Blackwell, vol. 30(1), pages 149-164, February.
  • Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, 2014. "Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections," DEOS Working Papers 1410, Athens University of Economics and Business.
  • Koundouri, Phoebe & Kourogenis, Nikolaos & Pittis, Nikitas, 2016. "Statistical modeling of stock returns: explanatory ordescriptive? A historical survey with some methodologicalreflections," LSE Research Online Documents on Economics 65549, London School of Economics and Political Science, LSE Library.
• Noureddine Benlagha, 2014. "Volatility Linkage of Nominal and Index-linked Bond Returns: A Multivariate BEKK-GARCH Approach," Review of Economics & Finance, Better Advances Press, Canada, vol. 4, pages 49-60, November.
• Boryana Bogdanova, 2014. "Measuring the degree of integration within a group of stock markets," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 6, pages 26-46.
• Weigand, Roland, 2014. "Matrix Box-Cox Models for Multivariate Realized Volatility," University of Regensburg Working Papers in Business, Economics and Management Information Systems 478, University of Regensburg, Department of Economics.
  • Roland Weigand, 2014. "Matrix Box-Cox Models for Multivariate Realized Volatility," Working Papers 144, Bavarian Graduate Program in Economics (BGPE).
• Roland Weigand, 2014. "Matrix Box-Cox Models for Multivariate Realized Volatility," Working Papers 144, Bavarian Graduate Program in Economics (BGPE).
  • Weigand, Roland, 2014. "Matrix Box-Cox Models for Multivariate Realized Volatility," University of Regensburg Working Papers in Business, Economics and Management Information Systems 478, University of Regensburg, Department of Economics.
• Soloschenko, Max & Weber, Enzo, 2014. "Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure," University of Regensburg Working Papers in Business, Economics and Management Information Systems 475, University of Regensburg, Department of Economics.
• Ornelas, Jose Renato Haas & Silva Jr., Antonio Francisco de Almeida, 2015. "Testing the liquidity preference hypothesis using survey forecasts," Emerging Markets Review, Elsevier, vol. 23(C), pages 173-185.
  • Jose Renato Haas Ornelas & Antonio Francisco de Almeida Silva Jr, 2014. "Testing the Liquidity Preference Hypothesis using Survey Forecasts," Working Papers Series 353, Central Bank of Brazil, Research Department.
• Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2018. "Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 339-378, March.
  • Michele Leonardo Bianchi & Frank J. Fabozzi & Svetlozar T. Rachev, 2014. "Calibrating the Italian smile with time-varying volatility and heavy-tailed models," Temi di discussione (Economic working papers) 944, Bank of Italy, Economic Research and International Relations Area.
• Hernández Juan R., 2014. "Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis," Working Papers 2014-09, Banco de México.
• Santiago García-Verdú & Manuel Ramos-Francia, 2014. "Interventions and Expected Exchange Rates in Emerging Market Economies," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-34.
  • Santiago García-Verdú & Manuel Ramos-Francia, 2013. "Interventions and expected exchange rates in emerging market economies," BIS Papers chapters, in: Bank for International Settlements (ed.), Sovereign risk: a world without risk-free assets?, volume 73, pages 223-242, Bank for International Settlements.
  • García-Verdú Santiago & Ramos Francia Manuel, 2014. "Interventions and Expected Exchange Rates in Emerging Market Economies," Working Papers 2014-11, Banco de México.
• Carlos León, 2014. "Scale-free tails in Colombian financial indexes: a primer," Borradores de Economia 11144, Banco de la Republica.
  • Carlos León, 2014. "Scale-free tails in Colombian financial indexes: A primer," Borradores de Economia 812, Banco de la Republica de Colombia.
• Niccolò Battistini & Marco Pagano & Saverio Simonelli, 2014. "Systemic risk, sovereign yields and bank exposures in the euro crisis [Real effects of the sovereign debt crises in Europe: evidence from syndicated loans]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 29(78), pages 203-251.
  • Niccolò Battistini & Marco Pagano & Saverio Simonelli, 2014. "Systemic risk, sovereign yields and bank exposures in the euro crisis," Economic Policy, CEPR;CES;MSH, vol. 29(78), pages 203-251, April.
  • Niccolò Battistini & Marco Pagano & Saverio Simonelli, 2013. "Systemic Risk, Sovereign Yields and Bank Exposures in the Euro Crisis," CSEF Working Papers 345, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
• Hall Robert E., 2014. "Fiscal Stability of High-Debt Nations under Volatile Economic Conditions," German Economic Review, De Gruyter, vol. 15(1), pages 4-22, February.
  • Robert E. Hall, 2014. "Fiscal Stability of High-Debt Nations under Volatile Economic Conditions," German Economic Review, Verein für Socialpolitik, vol. 15(1), pages 4-22, February.
  • Robert E. Hall, 2013. "Fiscal Stability of High-Debt Nations under Volatile Economic Conditions," NBER Working Papers 18797, National Bureau of Economic Research, Inc.
• Akbar Komijani & Esmaeil Naderi & Nadiya Gandali Alikhani, 2014. "A hybrid approach for forecasting of oil prices volatility," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 38(3), pages 323-340, September.
  • Komijani, Akbar & Naderi, Esmaeil & Gandali Alikhani, Nadiya, 2013. "A Hybrid Approach for Forecasting of Oil Prices Volatility," MPRA Paper 44654, University Library of Munich, Germany.
• Rodrigo Guimarães, 2014. "Expectations, risk premia and information spanning in dynamic term structure model estimation," Bank of England working papers 489, Bank of England.
• Jan Hanousek & Evzen Kocenda & Jan Novotny, 2014. "Price jumps on European stock markets," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 14(1), pages 10-22, March.
  • Jan Hanousek & Ev??en Ko??enda & Jan Novotn??, 2013. "Price Jumps on European Stock Markets," William Davidson Institute Working Papers Series wp1059, William Davidson Institute at the University of Michigan.
• Buerhan Saiti & Obiyathulla I. Bacha & Mansur Masih, 2014. "The diversification benefits from Islamic investment during the financial turmoil: The case for the US-based equity investors," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 14(4), pages 196-211, December.
• Ahmet Sensoy & Benjamin M. Tabak, 2014. "Dynamic Spanning Tree Approach - The Case Of Asia-Pacific Stock Markets," Working Paper 15, Research and Business Development Department, Borsa Istanbul.
• Robert E. Hall, 2014. "Fiscal Stability of High-Debt Nations under Volatile Economic Conditions," German Economic Review, Verein für Socialpolitik, vol. 15(1), pages 4-22, February.
  • Hall Robert E., 2014. "Fiscal Stability of High-Debt Nations under Volatile Economic Conditions," German Economic Review, De Gruyter, vol. 15(1), pages 4-22, February.
  • Robert E. Hall, 2013. "Fiscal Stability of High-Debt Nations under Volatile Economic Conditions," NBER Working Papers 18797, National Bureau of Economic Research, Inc.
• Regis Augusto Ely, 2014. "Relations Between Serial Correlation and Volatility: Is There a LeBaron Effect in Brazil?," Brazilian Review of Finance, Brazilian Society of Finance, vol. 12(1), pages 13-39.
• Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014. "The Random Walk of High Frequency Trading," Papers 1408.3650, arXiv.org, revised Aug 2014.
  • Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014. "A Compound Multifractal Model for High-Frequency Asset Returns," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-05, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
• Bailey, Natalia & Pesaran, M. Hashem & Smith, L. Vanessa, 2019. "A multiple testing approach to the regularisation of large sample correlation matrices," Journal of Econometrics, Elsevier, vol. 208(2), pages 507-534.
  • Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith, 2014. "A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices," CESifo Working Paper Series 4834, CESifo.
  • Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith, 2015. "A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices," Working Papers 764, Queen Mary University of London, School of Economics and Finance.
  • Natalia Bailey & Vanessa Smith & M. Hashem Pesaran, 2014. "A multiple testing approach to the regularisation of large sample correlation matrices," Cambridge Working Papers in Economics 1413, Faculty of Economics, University of Cambridge.
• Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2019. "Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(3), pages 419-435, July.
  • Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus, 2014. "Estimating the spot covariation of asset prices: Statistical theory and empirical evidence," CFS Working Paper Series 477, Center for Financial Studies (CFS).
  • Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2014. "Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence," Cambridge Working Papers in Economics 1464, Faculty of Economics, University of Cambridge.
  • Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus, 2014. "Estimating the spot covariation of asset prices: Statistical theory and empirical evidence," SFB 649 Discussion Papers 2014-055, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series," Tinbergen Institute Discussion Papers 14-014/III, Tinbergen Institute.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series," Working Papers in Economics 14/04, University of Canterbury, Department of Economics and Finance.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series," Documentos de Trabajo del ICAE 2014-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• McAleer, M.J., 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Econometric Institute Research Papers EI 2014-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer, 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Working Papers in Economics 14/09, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer, 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Documentos de Trabajo del ICAE 2014-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer, 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Tinbergen Institute Discussion Papers 14-025/III, Tinbergen Institute.
• Asai, Manabu & McAleer, Michael, 2015. "Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance," Journal of Econometrics, Elsevier, vol. 189(2), pages 251-262.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Tinbergen Institute Discussion Papers 14-037/III, Tinbergen Institute.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Working Papers in Economics 14/10, University of Canterbury, Department of Economics and Finance.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Documentos de Trabajo del ICAE 2014-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Econometrics, MDPI, vol. 2(2), pages 1-6, June.
  • McAleer, M.J. & Hafner, C.M., 2014. "A One Line Derivation of EGARCH," Econometric Institute Research Papers EI2014-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Working Papers in Economics 14/16, University of Canterbury, Department of Economics and Finance.
  • McAleer, Michael & Hafner, Christian, 2014. "A One Line Derivation of EGARCH," LIDAM Reprints ISBA 2014030, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Documentos de Trabajo del ICAE 2014-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Tinbergen Institute Discussion Papers 14-069/III, Tinbergen Institute.
• Hammoudeh, Shawkat & McAleer, Michael, 2015. "Advances in financial risk management and economic policy uncertainty: An overview," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 1-7.
  • Shawkat Hammoudeh & Michael McAleer, 2014. "Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview," Tinbergen Institute Discussion Papers 14-076/III, Tinbergen Institute.
  • Shawkat Hammoudeh & Michael McAleer, 2014. "Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview," Working Papers in Economics 14/17, University of Canterbury, Department of Economics and Finance.
  • Shawkat Hammoudeh & Michael McAleer, 2014. "Advances in Financial Risk Management andEconomic Policy Uncertainty: An Overview," Documentos de Trabajo del ICAE 2014-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Christian M. Hafner & Michael McAleer, 2014. "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Tinbergen Institute Discussion Papers 14-087/III, Tinbergen Institute.
  • Christian M. Hafner & Michael McAleer, 2014. "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Working Papers in Economics 14/19, University of Canterbury, Department of Economics and Finance.
  • Christian M. Hafner & Michael McAleer, 2014. "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Documentos de Trabajo del ICAE 2014-29, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," JRFM, MDPI, vol. 7(2), pages 1-30, June.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Documentos de Trabajo del ICAE 2014-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Working Papers in Economics 14/20, University of Canterbury, Department of Economics and Finance.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Tinbergen Institute Discussion Papers 14-075/III, Tinbergen Institute.
• Guillaume Gaetan Martinet & Michael McAleer, 2018. "On the invertibility of EGARCH(p, q)," Econometric Reviews, Taylor & Francis Journals, vol. 37(8), pages 824-849, September.
  • Martinet, G.G. & McAleer, M.J., 2014. "On the Invertibility of EGARCH," Econometric Institute Research Papers EI2014-22, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Guillaume Gaetan Martinet & Michael McAleer, 2015. "On the Invertibility of EGARCH(p,q)," Documentos de Trabajo del ICAE 2015-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Working Papers in Economics 14/21, University of Canterbury, Department of Economics and Finance.
  • Guillaume Gaetan Martinet & Michael McAleer, 2015. "On the Invertibility of EGARCH(p,q)," Tinbergen Institute Discussion Papers 15-022/III, Tinbergen Institute.
  • Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Tinbergen Institute Discussion Papers 14-096/III, Tinbergen Institute.
  • Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Documentos de Trabajo del ICAE 2014-28, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Martinet, G.G. & McAleer, M.J., 2015. "On the Invertibility of EGARCH(p,q)," Econometric Institute Research Papers EI 2015-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Allen, David E. & McAleer, Michael & Powell, Robert J. & Singh, Abhay K., 2017. "Volatility Spillovers from Australia's major trading partners across the GFC," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 159-175.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's major trading partners across the GFC," Documentos de Trabajo del ICAE 2014-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's major trading partners across the GFC," Working Papers in Economics 14/23, University of Canterbury, Department of Economics and Finance.
  • David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's Major Trading Partners across the GFC," Tinbergen Institute Discussion Papers 14-106/III, Tinbergen Institute.
• Michael McAleer, 2014. "Asymmetry and Leverage in Conditional Volatility Models," Econometrics, MDPI, vol. 2(3), pages 1-6, September.
  • Michael McAleer, 2014. "Asymmetry and Leverage in Conditional Volatility Models," Tinbergen Institute Discussion Papers 14-125/III, Tinbergen Institute.
  • Michael McAleer, 2014. "Asymmetry and Leverage in Conditional Volatility Models," Working Papers in Economics 14/24, University of Canterbury, Department of Economics and Finance.
  • McAleer, M.J., 2014. "Asymmetry and Leverage in Conditional Volatility Models," Econometric Institute Research Papers 77759, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chang, Chia-Lin & McAleer, Michael, 2015. "Econometric analysis of financial derivatives: An overview," Journal of Econometrics, Elsevier, vol. 187(2), pages 403-407.
  • Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Tinbergen Institute Discussion Papers 14-153/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Working Papers in Economics 14/29, University of Canterbury, Department of Economics and Finance.
  • Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Documentos de Trabajo del ICAE 2014-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Olivier Schöni, 2014. "Asymptotic Properties of Imputed Hedonic Price Indices," SERC Discussion Papers 0166, Centre for Economic Performance, LSE.
• Bailey, Natalia & Pesaran, M. Hashem & Smith, L. Vanessa, 2019. "A multiple testing approach to the regularisation of large sample correlation matrices," Journal of Econometrics, Elsevier, vol. 208(2), pages 507-534.
  • Natalia Bailey & Vanessa Smith & M. Hashem Pesaran, 2014. "A multiple testing approach to the regularisation of large sample correlation matrices," Cambridge Working Papers in Economics 1413, Faculty of Economics, University of Cambridge.
  • Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith, 2015. "A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices," Working Papers 764, Queen Mary University of London, School of Economics and Finance.
  • Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith, 2014. "A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices," CESifo Working Paper Series 4834, CESifo.
• Marc Gronwald, 2014. "The Economics of Bitcoins - Market Characteristics and Price Jumps," CESifo Working Paper Series 5121, CESifo.
• Jorge M. Uribe & Juli�n Fern�ndez, 2014. "Riesgo sistémico en el mercado de acciones colombiano: alternativas de diversificación bajo eventos extremos," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Carlos León, 2014. "Scale-free tails in Colombian financial indexes: A primer," Borradores de Economia 812, Banco de la Republica de Colombia.
  • Carlos Le�n, 2014. "Scale-free tails in Colombian financial indexes: a primer," Borradores de Economia 11144, Banco de la Republica.
• Jorge Uribe & Juli�n Fern�ndez, 2014. "Burbujas financieras y comportamiento reciente de los mercados de acciones en América Latina," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 81, pages 57-90.
• G.A. Meagher & Felicity Pang & R.A. Wilson, 2014. "Interfacing a CGE Labour Market Model with the E3ME Multi-Sector Macroeconomic Model," Centre of Policy Studies/IMPACT Centre Working Papers g-248, Victoria University, Centre of Policy Studies/IMPACT Centre.
• G.A. Meagher & R.A.Wilson & E.Yerushalmi, 2014. "Emerging Structural Pressures in European Labour Markets," Centre of Policy Studies/IMPACT Centre Working Papers g-249, Victoria University, Centre of Policy Studies/IMPACT Centre.
• Jean-François Carpantier, 2014. "Specific Markov-switching behaviour for ARMA parameters," DEM Discussion Paper Series 14-07, Department of Economics at the University of Luxembourg.
  • CARPANTIER, Jean-François & DUFAYS, Arnaud, 2014. "Specific Markov-switching behaviour for ARMA parameters," LIDAM Discussion Papers CORE 2014014, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014. "On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 59770, University Library of Munich, Germany.
  • Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014. "On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 57084, University Library of Munich, Germany.
• Joseph Ato Forson & Jakkaphong Janrattanagul, 2014. "Selected Macroeconomic Variables and Stock Market Movements: Empirical evidence from Thailand," Contemporary Economics, Vizja University, vol. 8(2), June.
  • Forson, Joseph Ato & Janrattanagul, Jakkaphong, 2014. "Selected Macroeconomic Variables and Stock Market Movements: Empirical evidence from Thailand," MPRA Paper 57582, University Library of Munich, Germany.
• el Alaoui, AbdelKader O. & Ismath Bacha, Obiyathulla & Masih, Mansur & Asutay, Mehmet, 2017. "Leverage versus volatility: Evidence from the capital structure of European firms," Economic Modelling, Elsevier, vol. 62(C), pages 145-160.
  • el Alaoui, AbdelKader & Masih, Mansur & Bacha, Obiyathulla & Asutay, Mehmet, 2014. "Leverage versus volatility: Evidence from the Capital Structure of European Firms," MPRA Paper 57682, University Library of Munich, Germany.
• el Alaoui, AbdelKader & Masih, Mansur & Bacha, Obiyathulla & Asutay, Mehmet, 2014. "Leverage, Sensitivity to Market Risk and Contagion: A Multi-Country Analysis for Shari’ah(Islamic) Stock Screening," MPRA Paper 57685, University Library of Munich, Germany.
• Ilhan, Bilal & Masih, Mansur, 2014. "Do Portfolio Diversification Opportunities exist across the Euro Zone Islamic Equity Markets? MGARCH-DCC and Wavelet Correlation Analysis," MPRA Paper 57688, University Library of Munich, Germany.
• Hussan, Subithabhanu & Masih, Mansur, 2014. "Are The Profit Rates of the Islamic Investment Deposit Accounts Truly Performance Based? A Case Study of Malaysia," MPRA Paper 57689, University Library of Munich, Germany.
• Wanat, Stanisław & Papież, Monika & Śmiech, Sławomir, 2014. "Causality in distribution between European stock markets and commodity prices: Using independence test based on the empirical copula," MPRA Paper 57706, University Library of Munich, Germany.
• Rafi, Umar & Masih, Mansur, 2014. "Are Islamic Banks Truly Shariah Compliant? An Application of Time Series Multivariate Forecasting Techniques to Islamic Bank Financing," MPRA Paper 57711, University Library of Munich, Germany.
• el Alaoui, AbdelKader & Masih, Mansur & Bacha, Obiyathulla & Asutay, Mehmet, 2014. "Leverage, return, volatility and contagion: Evidence from the portfolio framework," MPRA Paper 57726, University Library of Munich, Germany.
• Massimiliano Caporin & Aleksey Kolokolov & Roberto RenoÕ, 2014. "Multi-jumps," "Marco Fanno" Working Papers 0185, Dipartimento di Scienze Economiche "Marco Fanno".
  • Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2014. "Multi-jumps," MPRA Paper 58175, University Library of Munich, Germany.
• Masih, Mansur & AbdulKarim, Fatima, 2014. "Dynamic causal chain of money, output, interest rate, exchange rate and prices: Nigeria as a case study," MPRA Paper 58240, University Library of Munich, Germany.
• Yildirim, Ramazan & Masih, A. Mansur M., 2014. "The Effect of Recent Financial Crisis over Global Portfolio Diversification Opportunities – Empirical Evidence A Comparative Multivariate GARCH-DCC, MODWT and Wavelet Correlation Analysis," MPRA Paper 58269, University Library of Munich, Germany.
• Chia-Lin Chang & Shing-Yang Hu & Shih-Ti Yu, 2014. "Recent Developments In Quantitative Finance: An Overview," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-7.
  • Chang, Chia-Lin & Hu, Shing-Yang & Yu, Shih-Ti, 2014. "Recent Developments in Quantitative Finance: An Overview," MPRA Paper 58307, University Library of Munich, Germany.
• Hiremath, Gourishankar S & Kumari, Jyoti, 2014. "Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India," MPRA Paper 58378, University Library of Munich, Germany.
• Golinski, Adam & Madeira, Joao & Rambaccussing, Dooruj, 2014. "Fractional Integration of the Price-Dividend Ratio in a Present-Value Model," MPRA Paper 58554, University Library of Munich, Germany.
• Golmohammadpoor Azar, Kamran, 2014. "Estimation of Fractal Parameters of Tehran Stock Market Groups Time Series Using Discrete Wavelet Transform," MPRA Paper 58597, University Library of Munich, Germany.
• Naseri, Marjan & Masih, Mansur, 2014. "Integration and Comovement of Developed and Emerging Islamic Stock Markets: A Case Study of Malaysia," MPRA Paper 58799, University Library of Munich, Germany.
• Karkowska, Renata, 2014. "Is the Central and Eastern European banking systems stable? Evidence from the recent financial crisis," MPRA Paper 58803, University Library of Munich, Germany.
• Ali, Mohsin & Masih, Mansur, 2014. "Does Indian Stock Market Provide Diversification Benefits Against Oil Price Shocks? A Sectoral Analysis," MPRA Paper 58828, University Library of Munich, Germany.
• Rahim, Adam Mohamed & Masih, Mansur, 2014. "Effects of Political Turmoil (Arab Spring) on Portfolio Diversification Benefits: Perspectives of the Moroccan Islamic Stock investors," MPRA Paper 58832, University Library of Munich, Germany.
• Omer, Gamal Salih & Masih, Mansur, 2014. "Estimating and Forecasting Conditional Volatility and Correlations of the Dow Jones Islamic Stock Market Index Using Multivariate GARCH-DCC," MPRA Paper 58862, University Library of Munich, Germany.
• Al Shugaa, Ameen & Masih, Mansur, 2014. "Uncertainty and Volatility in MENA Stock Markets During the Arab Spring," MPRA Paper 58867, University Library of Munich, Germany.
• Farouk, Faizal & Masih, Mansur, 2016. "Are there profit (returns) in Shariah-compliant exchange traded funds? The multiscale propensity," Research in International Business and Finance, Elsevier, vol. 38(C), pages 360-375.
  • Farouk, Faizal & Masih, Mansur, 2014. "Are There Profit (Returns) in Shariah-Compliant Exchange Traded Funds? The Multiscale Propensity," MPRA Paper 58869, University Library of Munich, Germany.
• Yusoff, Yuzlizawati & Masih, Mansur, 2014. "Comovement of East and West Stock Market Indexes," MPRA Paper 58872, University Library of Munich, Germany.
• Rahim, Adam Mohamed & Masih, Mansur, 2014. "Portfolio Diversification Benefits of Islamic Stocks and Malaysia’s Major Trading Partners:MGARCH-DCC and Wavelet Correlation Approaches," MPRA Paper 58903, University Library of Munich, Germany.
• Hakim, Idwan & Masih, Mansur, 2014. "Portfolio diversification strategy for Malaysia: International and sectoral perspectives," MPRA Paper 58909, University Library of Munich, Germany.
• Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2018. "On The Sources Of Uncertainty In Exchange Rate Predictability," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 59(1), pages 329-357, February.
  • Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2014. "On the Sources of Uncertainty in Exchange Rate Predictability," SIRE Discussion Papers 2015-24, Scottish Institute for Research in Economics (SIRE).
  • Byrne, Joseph P & Korobilis, Dimitris & Ribeiro, Pinho J, 2014. "On the Sources of Uncertainty in Exchange Rate Predictability," MPRA Paper 58956, University Library of Munich, Germany.
  • Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "On the Sources of Uncertainty in Exchange Rate Predictability," Working Papers 2014_16, Business School - Economics, University of Glasgow.
• Estrada, Fernando, 2014. "Rescue costs and financial risk," MPRA Paper 59066, University Library of Munich, Germany.
• Akcay, Belgin & Yucel, Eray, 2014. "Unveiling the House Price Movements and Financial Development," MPRA Paper 59377, University Library of Munich, Germany, revised 19 Oct 2014.
• Dewandaru, Ginanjar & Rizvi, Syed Aun & Sarkar, Kabir & Bacha, Obiyathulla & Masih, Mansur, 2014. "How do Macroeconomic Changes Impact Islamic and Conventional Equity Prices? Evidence from Developed and Emerging Countries," MPRA Paper 59587, University Library of Munich, Germany.
• el Alaoui, AbdelKader & Diwandaru, Ginanjar & Rosly, Saiful Azhar & Masih, Mansur, 2014. "What Drives Profitability of Banks: Do Interest rate, and Fee and Commissions impact the profitability of Banks? Evidence from the European Countries," MPRA Paper 59606, University Library of Munich, Germany.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014. "On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 57084, University Library of Munich, Germany.
  • Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014. "On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 59770, University Library of Munich, Germany.
• Mehta, Anirudh & Kanishka, Kunal, 2014. "Modeling and Forecasting Volatility – How Reliable are modern day approaches?," MPRA Paper 59788, University Library of Munich, Germany.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 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 inform," MPRA Paper 61805, University Library of Munich, Germany.
  • Ledenyov, Dimitri O. & Ledenyov, Viktor O., 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 inform," MPRA Paper 60055, University Library of Munich, Germany.
  • Ledenyov, Dimitri O. & Ledenyov, Viktor O., 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 inform," MPRA Paper 60106, University Library of Munich, Germany.
• Jin, Xin & Maheu, John M., 2016. "Bayesian semiparametric modeling of realized covariance matrices," Journal of Econometrics, Elsevier, vol. 192(1), pages 19-39.
  • Xin Jin & John M. Maheu, 2014. "Bayesian Semiparametric Modeling of Realized Covariance Matrices," Working Paper series 34_14, Rimini Centre for Economic Analysis.
  • Jin, Xin & Maheu, John M, 2014. "Bayesian Semiparametric Modeling of Realized Covariance Matrices," MPRA Paper 60102, University Library of Munich, Germany.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 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 inform," MPRA Paper 61805, University Library of Munich, Germany.
  • Ledenyov, Dimitri O. & Ledenyov, Viktor O., 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 inform," MPRA Paper 60106, University Library of Munich, Germany.
  • Ledenyov, Dimitri O. & Ledenyov, Viktor O., 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 inform," MPRA Paper 60055, University Library of Munich, Germany.
• Valli, Mohammed & Masih, Mansur, 2014. "Is there any causality between inflation and FDI in an ‘inflation targeting’ regime? Evidence from South Africa," MPRA Paper 60246, University Library of Munich, Germany.
• Kamaruzdin, Thaqif & Masih, Mansur, 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," MPRA Paper 60248, University Library of Munich, Germany.
• Yaremenko, Nataliia, 2014. "Bank investment attractiveness and the methodology for its assessment at mergers and acquisitions," MPRA Paper 60635, University Library of Munich, Germany.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 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 inform," MPRA Paper 60106, University Library of Munich, Germany.
  • Ledenyov, Dimitri O. & Ledenyov, Viktor O., 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 inform," MPRA Paper 61805, University Library of Munich, Germany.
  • Ledenyov, Dimitri O. & Ledenyov, Viktor O., 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 inform," MPRA Paper 60055, University Library of Munich, Germany.
• Mobin, Mohammad Ashraful & Masih, Mansur, 2014. "Do the macroeconomic variables have any impact on the Islamic bank deposits?An application of ARDL approach to the Malaysian market," MPRA Paper 62342, University Library of Munich, Germany.
• Jaffar, Yusuf & Masih, Mansur, 2014. "Exploring portfolio diversification opportunities through venture capital financing," MPRA Paper 62351, University Library of Munich, Germany.
• Rahman, Sharezan & Masih, Mansur, 2014. "Increasing household debts and its relation to GDP, interest rate and house price: Malaysia’s perspective," MPRA Paper 62365, University Library of Munich, Germany.
• Hashim, Khairul & Masih, Mansur, 2014. "What causes economic growth in Malaysia: exports or imports ?," MPRA Paper 62366, University Library of Munich, Germany.
• Abdi, Zeinab & Masih, Mansur, 2014. "Which type of government revenue leads government expenditure?," MPRA Paper 62367, University Library of Munich, Germany.
• Mukhoti, Sujay, 2014. "Non-Stationary Stochastic Volatility Model for Dynamic Feedback and Skewness," MPRA Paper 62532, University Library of Munich, Germany.
• Harri Pönkä, 2017. "Predicting the direction of US stock markets using industry returns," Empirical Economics, Springer, vol. 52(4), pages 1451-1480, June.
  • Pönkä, Harri, 2014. "Predicting the direction of US stock markets using industry returns," MPRA Paper 62942, University Library of Munich, Germany.
• Alaa Alaabed & Mansur Masih, 2016. "Finance-growth nexus: Insights from an application of threshold regression model to Malaysia's dual financial system," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 16(2), pages 63-71, June.
  • Alaaabed, Alaa & Masih, Mansur, 2014. "Finance-growth nexus: insights from an application of threshold regression model to Malaysia’s dual financial system," MPRA Paper 62990, University Library of Munich, Germany.
• Alaabed, Alaa & Masih, Mansur, 2014. "Size and Volatility: new evidence from an application of wavelet approach to the emerging Islamic mutual funds’ industry," MPRA Paper 62991, University Library of Munich, Germany.
• Othman, Arshad Nuval & Masih, Mansur, 2014. "The different impact of conventional interest rates on Islamic stock market, Islamic banking and Islamic insurance: evidence from Malaysia," MPRA Paper 63285, University Library of Munich, Germany.
• Muteba Mwamba, John & Thabo, Lethaba & Uwilingiye, Josine, 2014. "Modelling the short-term interest rate with stochastic differential equation in continuous time: linear and nonlinear models," MPRA Paper 64386, University Library of Munich, Germany.
• Bo Tang, 2015. "Exchange Rate Exposure of Chinese Firms at the Industry and Firm Level," Review of Development Economics, Wiley Blackwell, vol. 19(3), pages 592-607, August.
  • Tang, Bo, 2014. "Exchange Rate Exposure of Chinese Firms at the Industry and Firm level," MPRA Paper 66008, University Library of Munich, Germany, revised Apr 2015.
• Tao Zou & Song Xi Chen, 2017. "Enhancing Estimation for Interest Rate Diffusion Models With Bond Prices," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(3), pages 486-498, July.
  • Zou, Tao & Chen, Song Xi, 2014. "Enhancing Estimation for Interest Rate Diffusion Models with Bond Prices," MPRA Paper 67073, University Library of Munich, Germany, revised Apr 2015.
• Youssef, Ahmed H. & El-Sheikh, Ahmed A. & Abonazel, Mohamed R., 2014. "New GMM Estimators for Dynamic Panel Data Models," MPRA Paper 68676, University Library of Munich, Germany.
• Izatov, Asset, 2014. "Testing the Effect of the Conflict in Georgia in 2008 on Energy Market," MPRA Paper 70787, University Library of Munich, Germany.
• Muteba Mwamba, John Weirstrass & Webb, Daniel, 2014. "The predictability of asset returns in the BRICS countries: a nonparametric approach," MPRA Paper 72880, University Library of Munich, Germany, revised 15 Nov 2014.
• BEKHALED, Aicha & DADENE, Abdelghani & CHIKHI, Mohamed, 2014. "اختبار القدرة على التنبؤ بعوائد مؤشر سوق الدار البيضاء المالي من 2007 إلى 2011 [Testing the Predictability of Casablanca Stock Exchange Returns (2007-2011)]," MPRA Paper 76629, University Library of Munich, Germany, revised 2014.
• Ben Naceur, Hassen, 2014. "Stock Market Indexes: A random walk test with ARCH (q) disturbances," MPRA Paper 78978, University Library of Munich, Germany.
• Shijaku, Gerti, 2014. "Fiscal policy, output and financial stress in the case of developing and emerging European economies: a threshold VAR approach," MPRA Paper 79139, University Library of Munich, Germany.
• Saban Nazlioglu & Ugur Soytas & Rangan Gupta, 2014. "Volatility Spillover between Energy and Financial Markets," Working Papers 201409, University of Pretoria, Department of Economics.
• Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2016. "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 63(3), pages 273-291.
  • Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2014. "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Working Papers 201422, University of Pretoria, Department of Economics.
• Milan Bašta, 2014. "Simulating Bivariate Stationary Processes with Scale-Specific Characteristics," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2014(1), pages 3-26.
• Roman Huptas, 2014. "Bayesian Estimation and Prediction for ACD Models in the Analysis of Trade Durations from the Polish Stock Market," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(4), pages 237-273, December.
• Kapetanios, George & Konstantinidi, Eirini & Neumann, Michael & Skiadopoulos, George, 2019. "Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market," Journal of Financial Markets, Elsevier, vol. 46(C).
  • George Kapetanios & Michael Neumann & George Skiadopoulos, 2014. "Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market," Working Papers 730, Queen Mary University of London, School of Economics and Finance.
• Kapetanios, George & Konstantinidi, Eirini & Neumann, Michael & Skiadopoulos, George, 2019. "Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market," Journal of Financial Markets, Elsevier, vol. 46(C).
  • George Kapetanios & Michael Neumann & George Skiadopoulos, 2014. "Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market," Working Papers 730, Queen Mary University of London, School of Economics and Finance.
  • George Kapetanios & Michael Neumann & George Skiadopoulos, 2014. "Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market," Working Papers 730, Queen Mary University of London, School of Economics and Finance.
• Oleg Groshev, 2014. "Time varying vine copulas for multivariate returns (in Russian)," Quantile, Quantile, issue 12, pages 53-67, February.
• Grigory Franguridi, 2014. "Higher order conditional moment dynamics and forecasting value-at-risk (in Russian)," Quantile, Quantile, issue 12, pages 69-82, February.
• Monica Billio & Lorenzon Frattarolo & Lauriana Pelizzon, 2014. "A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation," Bankers, Markets & Investors, ESKA Publishing, issue 129, pages 40-58, March-Apr.
• Segal, Gill & Shaliastovich, Ivan & Yaron, Amir, 2015. "Good and bad uncertainty: Macroeconomic and financial market implications," Journal of Financial Economics, Elsevier, vol. 117(2), pages 369-397.
  • Gill Segal & Ivan Shaliastovich & Amir Yaron, 2014. "Good and Bad Uncertainty: Macroeconomic and Financial Market Implications," 2014 Meeting Papers 488, Society for Economic Dynamics.
• Jin, Xin & Maheu, John M., 2016. "Bayesian semiparametric modeling of realized covariance matrices," Journal of Econometrics, Elsevier, vol. 192(1), pages 19-39.
  • Jin, Xin & Maheu, John M, 2014. "Bayesian Semiparametric Modeling of Realized Covariance Matrices," MPRA Paper 60102, University Library of Munich, Germany.
  • Xin Jin & John M. Maheu, 2014. "Bayesian Semiparametric Modeling of Realized Covariance Matrices," Working Paper series 34_14, Rimini Centre for Economic Analysis.
• Jin, Xin & Maheu, John M., 2016. "Modeling covariance breakdowns in multivariate GARCH," Journal of Econometrics, Elsevier, vol. 194(1), pages 1-23.
  • Jin, Xin & Maheu, John M, 2014. "Modeling Covariance Breakdowns in Multivariate GARCH," MPRA Paper 55243, University Library of Munich, Germany.
  • Xin Jin & John M. Maheu, 2014. "Modeling Covariance Breakdowns in Multivariate GARCH," Working Paper series 36_14, Rimini Centre for Economic Analysis.
• Shcherba, Alexandr, 2014. "Comparing «Realized volatility» models in the VaR calculation for the Russian equity market," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 34(2), pages 120-136.
• Penikas, Henry, 2014. "Investment portfolio risk modelling based on hierarchical copulas," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 35(3), pages 18-38.
• Durdyev, Ruslan & Peresetsky, Anatoly, 2014. "Autocorrelation in the global stochastic trend," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 35(3), pages 39-58.
• Lakshina, Valeriya, 2014. "Is it possible to break the «curse of dimensionality»? Spatial specifications of multivariate volatility models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 36(4), pages 61-78.
• Islam , Raisul, 2014. "A Comparison of the Long Term Interdependence of Southeast Asian Equity Markets," East Asian Economic Review, Korea Institute for International Economic Policy, vol. 18(2), pages 187-212, June.
• Rothschild, David & Pennock, David M., 2014. "The extent of price misalignment in prediction markets," Algorithmic Finance, IOS Press, vol. 3(1-2), pages 3-20.
• Bianchi, Sergio & Pianese, Augusto, 2014. "Multifractional processes in finance," Risk and Decision Analysis, IOS Press, issue 5, pages 1-22.
• Pawe³ Kliber, 2014. "Estimation Of Risk Neutral Measure For Polish Stock Market," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 10(2), pages 28-37, August.
• Mahmood Mahmoodzadeh & Saleh Ghavidel & Mir Hosein Mousavi, 2014. "The Role of Information in Stock Market," Proceedings of International Academic Conferences 0701697, International Institute of Social and Economic Sciences.
• Petra Andrlikova, 2014. "Is Barrier version of Merton model more realistic? Evidence from Europe," Proceedings of International Academic Conferences 0801868, International Institute of Social and Economic Sciences.
• Maxime Bonelli & Daniel Mantilla-Garcia, 2014. "Should a skeptical portfolio insurer use an optimal or a risk-based multiplier?," Proceedings of International Academic Conferences 0802327, International Institute of Social and Economic Sciences.
• Lidan Grossmass, 2014. "Obtaining and Predicting the Bounds of Realized Correlations," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 150(III), pages 191-226, September.
• Wojciech Szatzschneider, 2014. "Generating Covariances in multifactor CIR model," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 4(1), pages 87-98, enero-jun.
• Amanjot Singh & Parneet Kaur, 2014. "Impact Of The Fii'S Indian Equity Investment Behavior On The Bric Countries' Stock Market Volatility During The Subprime Crisis. An Empirical Investigation," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, vol. 6(3 (Novemb), pages 336-349.
• Sainan Jin & Liangjun Su & Yonghui Zhang, 2015. "Nonparametric testing for anomaly effects in empirical asset pricing models," Empirical Economics, Springer, vol. 48(1), pages 9-36, February.
  • Sainan Jin & Liangjun Su & Yonghui Zhang, 2014. "Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models," Working Papers 09-2014, Singapore Management University, School of Economics.
• Liang Jiang & Peter C.B. Phillips & Jun Yu, 2014. "A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market," Cowles Foundation Discussion Papers 1969, Cowles Foundation for Research in Economics, Yale University.
  • Liang Jiang & Peter C.B. Phillips & Jun Yu, 2014. "A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market," Working Papers 19-2014, Singapore Management University, School of Economics.
• Ioannis Vogiatzis & Costas Siriopoulos & Nikolaos Frangos, 2014. "Effects of the Public Sector downsizing on Social Security and public finance," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 64(1), pages 53-62, January-M.
• Romuald Kenmoe & Simona Sanfelici, 2014. "An application of nonparametric volatility estimators to option pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 393-412, October.
• Ergun Ermisoglu & Yasin Akcelik & Arif Oduncu & Temel Taskin, 2014. "Effects of additional monetary tightening on exchange rates," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 4(1), pages 71-79, June.
  • Ermişoğlu, Ergun & Akçelik, Yasin & Oduncu, Arif & Taşkın, Temel, 2013. "The Effects of Additional Monetary Tightening on Exchange Rates," MPRA Paper 46615, University Library of Munich, Germany.
• John Fry, 2014. "Bubbles, shocks and elementary technical trading strategies," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 87(1), pages 1-13, January.
  • Fry, John, 2013. "Bubbles, shocks and elementary technical trading strategies," MPRA Paper 47052, University Library of Munich, Germany.
• Omid Sabbaghi & Navid Sabbaghi, 2014. "An empirical analysis of the Carbon Financial Instrument," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(2), pages 209-234, April.
• Renata KARKOWSKA, 2014. "Is the Central and Eastern European Banking Systems Stable? Evidence from the Recent Financial Crisis," Chapters of Challenges to Financial Stability – Perspective, Models and Policies book,in: Renata Karkowska (ed.), Challenges to Financial Stability – Perspective, Models and Policies,Volume I A Framework for Modeling Systemic Risk Drivers of Different Markets, volume 1, chapter 4, pages 100-120 ASERS Publishing.
  • Karkowska, Renata, 2014. "Is the Central and Eastern European banking systems stable? Evidence from the recent financial crisis," MPRA Paper 58803, University Library of Munich, Germany.
• Nicolas FULLI-LEMAIRE, 2014. "A Tale Of Two Euro-Zones. Banks' Funding, Sovereign Risk And Unconventional Monetary Policies," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 0(1), pages 5-26, June.
• Rangan Gupta & Shawkat Hammoudeh & Beatrice D. Simo-Kengne & Soodabeh Sarafrazi, 2014. "Can the Sharia-based Islamic stock market returns be forecasted using large number of predictors and models?," Applied Financial Economics, Taylor & Francis Journals, vol. 24(17), pages 1147-1157, September.
  • Rangan Gupta & Shawkat Hammoudeh & Beatrice D. Simo-Kengne & Soodabeh Sarafrazi, 2013. "Can the Sharia-Based Islamic Stock Market Returns be Forecasted Using Large Number of Predictors and Models?," Working Papers 201381, University of Pretoria, Department of Economics.
• Chaker Aloui & Duc Khuong Nguyen, 2014. "On the detection of extreme movements and persistent behaviour in Mediterranean stock markets: a wavelet-based approach," Applied Economics, Taylor & Francis Journals, vol. 46(22), pages 2611-2622, August.
  • Chaker Aloui & Duc Khuong Nguyen, 2014. "On the detection of extreme movements and persistent behavior in Mediterranean stock markets: a wavelet-based approach," Working Papers 2014-184, Department of Research, Ipag Business School.
• Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Estimation of Long Memory in Integrated Variance," Econometric Reviews, Taylor & Francis Journals, vol. 33(7), pages 785-814, October.
  • Eduardo Rossi & Paolo Santucci de Magistris, 2011. "Estimation of long memory in integrated variance," CREATES Research Papers 2011-11, Department of Economics and Business Economics, Aarhus University.
  • Eduardo Rossi & Paolo Santucci de Magistris, 2012. "Estimation of long memory in integrated variance," DEM Working Papers Series 017, University of Pavia, Department of Economics and Management.
• Friedman, Joseph & Shachmurove, Yochanan, 2015. "The responses of the prime rate to change in policies of the Federal Reserve," Economic Modelling, Elsevier, vol. 46(C), pages 407-411.
  • Joseph Friedman & Yochanan Shachmurove, 2014. "The Responses of the Prime Rate to a Change in Policies of the Federal Reserve," DETU Working Papers 1405, Department of Economics, Temple University.
• David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series," Working Papers in Economics 14/04, University of Canterbury, Department of Economics and Finance.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series," Tinbergen Institute Discussion Papers 14-014/III, Tinbergen Institute.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series," Documentos de Trabajo del ICAE 2014-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Lukasz Gatarek & Søren Johansen, 2014. "Optimal Hedging with the Vector Autoregressive Model," Tinbergen Institute Discussion Papers 14-022/III, Tinbergen Institute.
• McAleer, M.J., 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Econometric Institute Research Papers EI 2014-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer, 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Tinbergen Institute Discussion Papers 14-025/III, Tinbergen Institute.
  • Michael McAleer, 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Documentos de Trabajo del ICAE 2014-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer, 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Working Papers in Economics 14/09, University of Canterbury, Department of Economics and Finance.
• Siem Jan Koopman & Rutger Lit & André Lucas, 2014. "The Dynamic Skellam Model with Applications," Tinbergen Institute Discussion Papers 14-032/IV/DSF73, Tinbergen Institute, revised 06 Jul 2015.
• Asai, Manabu & McAleer, Michael, 2015. "Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance," Journal of Econometrics, Elsevier, vol. 189(2), pages 251-262.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Documentos de Trabajo del ICAE 2014-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Tinbergen Institute Discussion Papers 14-037/III, Tinbergen Institute.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Working Papers in Economics 14/10, University of Canterbury, Department of Economics and Finance.
• David Ardia & Lukasz T. Gatarek & Lennart Hoogerheide & Herman K. Van Dijk, 2016. "Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices," Econometrics, MDPI, vol. 4(1), pages 1-19, March.
  • Lukasz Gatarek & Lennart Hoogerheide & Herman K. van Dijk, 2014. "Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices," Tinbergen Institute Discussion Papers 14-039/III, Tinbergen Institute.
• Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Econometrics, MDPI, vol. 2(2), pages 1-6, June.
  • McAleer, M.J. & Hafner, C.M., 2014. "A One Line Derivation of EGARCH," Econometric Institute Research Papers EI2014-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Tinbergen Institute Discussion Papers 14-069/III, Tinbergen Institute.
  • Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Working Papers in Economics 14/16, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Documentos de Trabajo del ICAE 2014-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • McAleer, Michael & Hafner, Christian, 2014. "A One Line Derivation of EGARCH," LIDAM Reprints ISBA 2014030, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Pawel Janus & André Lucas & Anne Opschoor & Dick J.C. van Dijk, 2014. "New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels," Tinbergen Institute Discussion Papers 14-073/IV, Tinbergen Institute, revised 19 Aug 2015.
• David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," JRFM, MDPI, vol. 7(2), pages 1-30, June.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Documentos de Trabajo del ICAE 2014-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Tinbergen Institute Discussion Papers 14-075/III, Tinbergen Institute.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Working Papers in Economics 14/20, University of Canterbury, Department of Economics and Finance.
• Hammoudeh, Shawkat & McAleer, Michael, 2015. "Advances in financial risk management and economic policy uncertainty: An overview," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 1-7.
  • Shawkat Hammoudeh & Michael McAleer, 2014. "Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview," Working Papers in Economics 14/17, University of Canterbury, Department of Economics and Finance.
  • Shawkat Hammoudeh & Michael McAleer, 2014. "Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview," Tinbergen Institute Discussion Papers 14-076/III, Tinbergen Institute.
  • Shawkat Hammoudeh & Michael McAleer, 2014. "Advances in Financial Risk Management andEconomic Policy Uncertainty: An Overview," Documentos de Trabajo del ICAE 2014-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Christian M. Hafner & Michael McAleer, 2014. "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Documentos de Trabajo del ICAE 2014-29, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Christian M. Hafner & Michael McAleer, 2014. "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Tinbergen Institute Discussion Papers 14-087/III, Tinbergen Institute.
  • Christian M. Hafner & Michael McAleer, 2014. "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Working Papers in Economics 14/19, University of Canterbury, Department of Economics and Finance.
• Anne Opschoor & Dick van Dijk & Michel van der Wel, 2014. "Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities," Tinbergen Institute Discussion Papers 14-090/III, Tinbergen Institute.
• Guillaume Gaetan Martinet & Michael McAleer, 2018. "On the invertibility of EGARCH(p, q)," Econometric Reviews, Taylor & Francis Journals, vol. 37(8), pages 824-849, September.
  • Martinet, G.G. & McAleer, M.J., 2014. "On the Invertibility of EGARCH," Econometric Institute Research Papers EI2014-22, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Guillaume Gaetan Martinet & Michael McAleer, 2015. "On the Invertibility of EGARCH(p,q)," Documentos de Trabajo del ICAE 2015-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Tinbergen Institute Discussion Papers 14-096/III, Tinbergen Institute.
  • Martinet, G.G. & McAleer, M.J., 2015. "On the Invertibility of EGARCH(p,q)," Econometric Institute Research Papers EI 2015-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Documentos de Trabajo del ICAE 2014-28, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Guillaume Gaetan Martinet & Michael McAleer, 2015. "On the Invertibility of EGARCH(p,q)," Tinbergen Institute Discussion Papers 15-022/III, Tinbergen Institute.
  • Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Working Papers in Economics 14/21, University of Canterbury, Department of Economics and Finance.
• Allen, David E. & McAleer, Michael & Powell, Robert J. & Singh, Abhay K., 2017. "Volatility Spillovers from Australia's major trading partners across the GFC," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 159-175.
  • David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's major trading partners across the GFC," Working Papers in Economics 14/23, University of Canterbury, Department of Economics and Finance.
  • David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's Major Trading Partners across the GFC," Tinbergen Institute Discussion Papers 14-106/III, Tinbergen Institute.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's major trading partners across the GFC," Documentos de Trabajo del ICAE 2014-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• István Barra & Lennart Hoogerheide & Siem Jan Koopman & André Lucas, 2017. "Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(5), pages 1003-1026, August.
  • István Barra & Lennart Hoogerheide & Siem Jan Koopman & André Lucas, 2014. "Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models," Tinbergen Institute Discussion Papers 14-118/III, Tinbergen Institute, revised 31 Mar 2016.
• Michael McAleer, 2014. "Asymmetry and Leverage in Conditional Volatility Models," Econometrics, MDPI, vol. 2(3), pages 1-6, September.
  • Michael McAleer, 2014. "Asymmetry and Leverage in Conditional Volatility Models," Working Papers in Economics 14/24, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer, 2014. "Asymmetry and Leverage in Conditional Volatility Models," Tinbergen Institute Discussion Papers 14-125/III, Tinbergen Institute.
  • McAleer, M.J., 2014. "Asymmetry and Leverage in Conditional Volatility Models," Econometric Institute Research Papers 77759, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chang, Chia-Lin & McAleer, Michael, 2015. "Econometric analysis of financial derivatives: An overview," Journal of Econometrics, Elsevier, vol. 187(2), pages 403-407.
  • Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Working Papers in Economics 14/29, University of Canterbury, Department of Economics and Finance.
  • Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Tinbergen Institute Discussion Papers 14-153/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Documentos de Trabajo del ICAE 2014-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series," Working Papers in Economics 14/04, University of Canterbury, Department of Economics and Finance.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series," Documentos de Trabajo del ICAE 2014-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series," Tinbergen Institute Discussion Papers 14-014/III, Tinbergen Institute.
• Asai, Manabu & McAleer, Michael, 2015. "Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance," Journal of Econometrics, Elsevier, vol. 189(2), pages 251-262.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Tinbergen Institute Discussion Papers 14-037/III, Tinbergen Institute.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Documentos de Trabajo del ICAE 2014-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Working Papers in Economics 14/10, University of Canterbury, Department of Economics and Finance.
• Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014. "A new approach to the unconditional measurement of default risk," Documentos de Trabajo del ICAE 2014-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014. "Conditional coverage and its role in determining and assessing long-term capital requirements," Documentos de Trabajo del ICAE 2014-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014. "Linking the problems of estimating and allocating unconditional capital," Documentos de Trabajo del ICAE 2014-13, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Econometrics, MDPI, vol. 2(2), pages 1-6, June.
  • McAleer, M.J. & Hafner, C.M., 2014. "A One Line Derivation of EGARCH," Econometric Institute Research Papers EI2014-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Documentos de Trabajo del ICAE 2014-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Working Papers in Economics 14/16, University of Canterbury, Department of Economics and Finance.
  • McAleer, Michael & Hafner, Christian, 2014. "A One Line Derivation of EGARCH," LIDAM Reprints ISBA 2014030, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Tinbergen Institute Discussion Papers 14-069/III, Tinbergen Institute.
• David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," JRFM, MDPI, vol. 7(2), pages 1-30, June.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Tinbergen Institute Discussion Papers 14-075/III, Tinbergen Institute.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Documentos de Trabajo del ICAE 2014-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Working Papers in Economics 14/20, University of Canterbury, Department of Economics and Finance.
• Hammoudeh, Shawkat & McAleer, Michael, 2015. "Advances in financial risk management and economic policy uncertainty: An overview," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 1-7.
  • Shawkat Hammoudeh & Michael McAleer, 2014. "Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview," Tinbergen Institute Discussion Papers 14-076/III, Tinbergen Institute.
  • Shawkat Hammoudeh & Michael McAleer, 2014. "Advances in Financial Risk Management andEconomic Policy Uncertainty: An Overview," Documentos de Trabajo del ICAE 2014-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Shawkat Hammoudeh & Michael McAleer, 2014. "Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview," Working Papers in Economics 14/17, University of Canterbury, Department of Economics and Finance.
• McAleer, M.J., 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Econometric Institute Research Papers EI 2014-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer, 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Documentos de Trabajo del ICAE 2014-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer, 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Working Papers in Economics 14/09, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer, 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Tinbergen Institute Discussion Papers 14-025/III, Tinbergen Institute.
• Guillaume Gaetan Martinet & Michael McAleer, 2018. "On the invertibility of EGARCH(p, q)," Econometric Reviews, Taylor & Francis Journals, vol. 37(8), pages 824-849, September.
  • Martinet, G.G. & McAleer, M.J., 2014. "On the Invertibility of EGARCH," Econometric Institute Research Papers EI2014-22, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Guillaume Gaetan Martinet & Michael McAleer, 2015. "On the Invertibility of EGARCH(p,q)," Documentos de Trabajo del ICAE 2015-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Documentos de Trabajo del ICAE 2014-28, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Working Papers in Economics 14/21, University of Canterbury, Department of Economics and Finance.
  • Guillaume Gaetan Martinet & Michael McAleer, 2015. "On the Invertibility of EGARCH(p,q)," Tinbergen Institute Discussion Papers 15-022/III, Tinbergen Institute.
  • Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Tinbergen Institute Discussion Papers 14-096/III, Tinbergen Institute.
  • Martinet, G.G. & McAleer, M.J., 2015. "On the Invertibility of EGARCH(p,q)," Econometric Institute Research Papers EI 2015-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Christian M. Hafner & Michael McAleer, 2014. "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Tinbergen Institute Discussion Papers 14-087/III, Tinbergen Institute.
  • Christian M. Hafner & Michael McAleer, 2014. "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Documentos de Trabajo del ICAE 2014-29, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Christian M. Hafner & Michael McAleer, 2014. "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Working Papers in Economics 14/19, University of Canterbury, Department of Economics and Finance.
• Chang, Chia-Lin & McAleer, Michael, 2015. "Econometric analysis of financial derivatives: An overview," Journal of Econometrics, Elsevier, vol. 187(2), pages 403-407.
  • Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Tinbergen Institute Discussion Papers 14-153/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Documentos de Trabajo del ICAE 2014-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Working Papers in Economics 14/29, University of Canterbury, Department of Economics and Finance.
• Tae-Hwy Lee & Huiyu Huang, 2014. "Forecasting Realized Volatility Using Subsample Averaging," Working Papers 201410, University of California at Riverside, Department of Economics.
• Aman Ullah & Yong Bao & Yun Wang, 2014. "Exact Distribution of the Mean Reversion Estimator in the Ornstein-Uhlenbeck Process," Working Papers 201413, University of California at Riverside, Department of Economics.
• Audrino, Francesco & Huitema, Robert & Ludwig, Markus, 2014. "An Empirical Analysis of the Ross Recovery Theorem," Economics Working Paper Series 1411, University of St. Gallen, School of Economics and Political Science.
• Fengler, Matthias R. & Hin, Lin-Yee, 2015. "A simple and general approach to fitting the discount curve under no-arbitrage constraints," Finance Research Letters, Elsevier, vol. 15(C), pages 78-84.
  • Fengler, Matthias R. & Hin, Lin-Yee, 2014. "A simple and general approach to fitting the discount curve under no-arbitrage constraints," Economics Working Paper Series 1423, University of St. Gallen, School of Economics and Political Science.
• Trojan, Sebastian, 2014. "Multivariate Stochastic Volatility with Dynamic Cross Leverage," Economics Working Paper Series 1424, University of St. Gallen, School of Economics and Political Science.
• Trojan, Sebastian, 2014. "Modeling Intraday Stochastic Volatility and Conditional Duration Contemporaneously with Regime Shifts," Economics Working Paper Series 1425, University of St. Gallen, School of Economics and Political Science.
• Massimiliano Caporin & Angelo Ranaldo & Gabriel G. Velo, 2015. "Precious metals under the microscope: a high-frequency analysis," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 743-759, May.
  • Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2014. "Precious Metals Under the Microscope: A High-Frequency Analysis," Working Papers on Finance 1409, University of St. Gallen, School of Finance.
• Gian P. Cervellera & Marco P. Tucci, 2014. "A note on the estimation of a Gamma-Variance process: Learning from a failure," Department of Economics University of Siena 702, Department of Economics, University of Siena.
• Roberto Casarin & Fabrizio Leisen & German Molina & Enrique ter Horst, 2014. "A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities," Papers 1409.1956, arXiv.org.
  • Roberto Casarin & Fabrizio Leisen & German Molina & Enrique Ter Horst, 2014. "A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities," Working Papers 2014:22, Department of Economics, University of Venice "Ca' Foscari".
• David E. Giles & Qinlu Chen, 2014. "Risk Analysis for Three Precious Metals: An Application of Extreme Value Theory," Econometrics Working Papers 1402, Department of Economics, University of Victoria.
  • David E. Giles & Qinlu Chen, 2017. "Risk Analysis for Three Precious Metals: An Application of Extreme Value Theory," Econometrics Working Papers 1704, Department of Economics, University of Victoria.
• DIMITRIU, Mihail, 2014. "Particularities Of Transfer Channel In The Financial Network Modeling," Journal of Financial and Monetary Economics, Centre of Financial and Monetary Research "Victor Slavescu", vol. 1(1), pages 239-243.
• Rasmus S. Pedersen & Anders Rahbek, 2014. "Multivariate variance targeting in the BEKK–GARCH model," Econometrics Journal, Royal Economic Society, vol. 17(1), pages 24-55, February.
  • Rasmus Søndergaard Pedersen & Anders Rahbek, 2012. "Multivariate Variance Targeting in the BEKK-GARCH Model," Discussion Papers 12-23, University of Copenhagen. Department of Economics.
  • Rasmus Søndergaard Pedersen & Anders Rahbek, 2012. "Multivariate Variance Targeting in the BEKK-GARCH Model," CREATES Research Papers 2012-53, Department of Economics and Business Economics, Aarhus University.
• Azam, Kazim, 2014. "Dependence Analysis between Foreign Exchange Rates: A Semi-Parametric Copula Approach," The Warwick Economics Research Paper Series (TWERPS) 1052, University of Warwick, Department of Economics.
• Chia-Lin Chang & Shing-Yang Hu & Shih-Ti Yu, 2014. "Recent Developments In Quantitative Finance: An Overview," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-7.
  • Chang, Chia-Lin & Hu, Shing-Yang & Yu, Shih-Ti, 2014. "Recent Developments in Quantitative Finance: An Overview," MPRA Paper 58307, University Library of Munich, Germany.
• Renfei Gao & Cindy S. H. Wang & Christian M. Hafner, 2014. "The Impact Of Acquisitions On New Technology Stocks: The Google–Motorola Case," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-23.
• Chia-Lin Chang & Shing-Yang Hu & Shih-Ti Yu, 2014. "Recent Developments In Quantitative Finance: An Overview," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-7.
  • Chang, Chia-Lin & Hu, Shing-Yang & Yu, Shih-Ti, 2014. "Recent Developments in Quantitative Finance: An Overview," MPRA Paper 58307, University Library of Munich, Germany.
• Renfei Gao & Cindy S. H. Wang & Christian M. Hafner, 2014. "The Impact Of Acquisitions On New Technology Stocks: The Google–Motorola Case," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-23.
• Santiago García-Verdú & Manuel Ramos-Francia, 2014. "Interventions and Expected Exchange Rates in Emerging Market Economies," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-34.
  • Santiago García-Verdú & Manuel Ramos-Francia, 2013. "Interventions and expected exchange rates in emerging market economies," BIS Papers chapters, in: Bank for International Settlements (ed.), Sovereign risk: a world without risk-free assets?, volume 73, pages 223-242, Bank for International Settlements.
  • García-Verdú Santiago & Ramos Francia Manuel, 2014. "Interventions and Expected Exchange Rates in Emerging Market Economies," Working Papers 2014-11, Banco de México.
• Raymond Hon Fu Chan & Spike Tsz Ho Lee & Wing-Keung Wong, 2014. "Technical Analysis and Financial Asset Forecasting:From Simple Tools to Advanced Techniques," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8625, February.
• Kaddour Hadri & William Mikhail (ed.), 2014. "Econometric Methods and Their Applications in Finance, Macro and Related Fields," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8843.
• Zhaodong Wang & Weian Zheng, 2014. "High-Frequency Trading and Probability Theory," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9233.
• Joseph Ato Forson & Jakkaphong Janrattanagul, 2014. "Selected Macroeconomic Variables and Stock Market Movements: Empirical evidence from Thailand," Contemporary Economics, Vizja University, vol. 8(2), June.
  • Forson, Joseph Ato & Janrattanagul, Jakkaphong, 2014. "Selected Macroeconomic Variables and Stock Market Movements: Empirical evidence from Thailand," MPRA Paper 57582, University Library of Munich, Germany.
• Ali Raza Elahi Bilal Mehmood Muhammad Mubashir Hussain Awan, 2014. "Macroeconomic Covariates of Default Risk: Case of Pakistani Non-Financial Firms," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 17(1), pages 15-26, May.
• Scharnagl, Michael & Stapf, Jelena, 2014. "Inflation, deflation, and uncertainty: What drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?," Discussion Papers 24/2014, Deutsche Bundesbank.
• Grammig, Joachim & Schaub, Eva-Maria, 2014. "Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing," CFR Working Papers 14-05, University of Cologne, Centre for Financial Research (CFR).
• Sönksen, Jantje & Grammig, Joachim, 2021. "Empirical asset pricing with multi-period disaster risk: A simulation-based approach," Journal of Econometrics, Elsevier, vol. 222(1), pages 805-832.
  • Sönksen, Jantje & Grammig, Joachim, 2020. "Empirical Asset Pricing with Multi-Period Disaster Risk: A Simulation-Based Approach," CFR Working Papers 14-06, University of Cologne, Centre for Financial Research (CFR), revised 2020.
• Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2019. "Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(3), pages 419-435, July.
  • Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2014. "Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence," Cambridge Working Papers in Economics 1464, Faculty of Economics, University of Cambridge.
  • Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus, 2014. "Estimating the spot covariation of asset prices: Statistical theory and empirical evidence," CFS Working Paper Series 477, Center for Financial Studies (CFS).
  • Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus, 2014. "Estimating the spot covariation of asset prices: Statistical theory and empirical evidence," SFB 649 Discussion Papers 2014-055, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Grammig, Joachim & Schaub, Eva-Maria, 2014. "Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing models," CFS Working Paper Series 479, Center for Financial Studies (CFS).
• Grammig, Joachim & Sönksen, Jantje, 2014. "Consumption-based asset pricing with rare disaster risk," CFS Working Paper Series 480, Center for Financial Studies (CFS).
• Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2016. "Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers," Journal of Financial Markets, Elsevier, vol. 27(C), pages 55-78.
  • Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2013. "Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?," Papers 1308.1221, arXiv.org, revised Jul 2014.
  • Jozef Baruník & Evžen Kocenda & Lukáš Vácha, 2015. "Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover," CESifo Working Paper Series 5305, CESifo.
  • Barunik, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2014. "Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?," FinMaP-Working Papers 13, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2016. "Gold, oil, and stocks: Dynamic correlations," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 186-201.
  • Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2013. "Gold, Oil, and Stocks," Papers 1308.0210, arXiv.org, revised Mar 2014.
  • Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2014. "Gold, Oil, and Stocks," FinMaP-Working Papers 14, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  • Jozef Baruník & Evžen Kocenda & Lukáš Vácha, 2015. "Gold, Oil, and Stocks: Dynamic Correlations," CESifo Working Paper Series 5333, CESifo.
• Jürgen Franke & Peter Mwita & Weining Wang, 2015. "Nonparametric estimates for conditional quantiles of time series," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 99(1), pages 107-130, January.
  • Franke, Jürgen & Mwita, Peter & Wang, Weining, 2014. "Nonparametric estimates for conditional quantiles of time series," SFB 649 Discussion Papers 2014-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Reiß, Markus & Todorov, Viktor & Tauchen, George, 2014. "Nonparametric test for a constant beta over a fixed time interval," SFB 649 Discussion Papers 2014-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Härdle, Wolfgang Karl & Nasekin, Sergey & Lee, David Kuo Chuen & Fai, Phoon Kok, 2014. "TEDAS - Tail Event Driven ASset Allocation," SFB 649 Discussion Papers 2014-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Dedy Dwi Prastyo & Härdle, Wolfgang Karl, 2014. "Localising forward intensities for multiperiod corporate default," SFB 649 Discussion Papers 2014-040, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Carsten Bormann & Julia Schaumburg & Melanie Schienle, 2016. "Beyond Dimension two: A Test for Higher-Order Tail Risk," Journal of Financial Econometrics, Oxford University Press, vol. 14(3), pages 552-580.
  • Bormann, Carsten & Schienle, Melanie & Schaumburg, Julia, 2014. "Beyond dimension two: A test for higher-order tail risk," SFB 649 Discussion Papers 2014-042, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  • Bormann, Carsten & Schaumburg, Julia & Schienle, Melanie, 2016. "Beyond dimension two: A test for higher-order tail risk," Working Paper Series in Economics 80, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Bibinger, Markus & Jirak, Moritz & Reiss, Markus, 2014. "Improved volatility estimation based on limit order books," SFB 649 Discussion Papers 2014-053, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2019. "Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(3), pages 419-435, July.
  • Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus, 2014. "Estimating the spot covariation of asset prices: Statistical theory and empirical evidence," CFS Working Paper Series 477, Center for Financial Studies (CFS).
  • Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus, 2014. "Estimating the spot covariation of asset prices: Statistical theory and empirical evidence," SFB 649 Discussion Papers 2014-055, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  • Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2014. "Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence," Cambridge Working Papers in Economics 1464, Faculty of Economics, University of Cambridge.
• Dimpfl, Thomas & Peter, Franziska J., 2014. "The impact of the financial crisis on transatlantic information flows: An intraday analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 1-13.
  • Dimpfl, Thomas & Peter, Franziska J., 2014. "The impact of the financial crisis on transatlantic information flows: An intraday analysis," University of Tübingen Working Papers in Business and Economics 70, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
• Becker, Gideon, 2014. "The portfolio structure of German households: A multinomial fractional response approach with unobserved heterogeneity," University of Tübingen Working Papers in Business and Economics 74, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
• Grammig, Joachim & Schaub, Eva-Maria, 2014. "Give me strong moments and time - Combining GMM and SMM to estimate long-run risk asset pricing models," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100607, Verein für Socialpolitik / German Economic Association.
• Grammig, Joachim & Sönksen, Jantje, 2014. "Consumption-Based Asset Pricing with Rare Disaster Risk: A Simulated Method of Moments Approach," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100614, Verein für Socialpolitik / German Economic Association.
• Blasques, Francisco & Koopman, Siem Jan & Lucas, Andre & Schaumburg, Julia, 2016. "Spillover dynamics for systemic risk measurement using spatial financial time series models," Journal of Econometrics, Elsevier, vol. 195(2), pages 211-223.
  • Francisco Blasques & Siem Jan Koopman & Andre Lucas & Julia Schaumburg, 2014. "Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models," Tinbergen Institute Discussion Papers 14-107/III, Tinbergen Institute.
  • Blasques, Francisco & Koopman, Siem Jan & Lucas, Andre & Schaumburg, Julia, 2014. "Spillover dynamics for systemic risk measurement using spatial financial time series models," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100632, Verein für Socialpolitik / German Economic Association.
• Olivier Ledoit & Michael Wolf, 2014. "Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks," ECON - Working Papers 137, Department of Economics - University of Zurich, revised Feb 2017.

2013

• Chun An Li & Jia Chi Wang, 2013. "The Influences of Greed And Fear on Fund Performance," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 7(5), pages 47-57.
• Monica Giulietti & Luigi Grossi, 2013. "Revenues from storage in a competitive electricity market: Empirical evidence from Great Britain," Working Papers 2013/37, Institut d'Economia de Barcelona (IEB).
• Gradojevic, Nikola, 2014. "Foreign exchange customers and dealers: Who’s driving whom?," Finance Research Letters, Elsevier, vol. 11(3), pages 213-218.
  • Nikola Gradojevic, 2013. "Foreign exchange customers and dealers: Who’s driving whom?," Working Papers 2013-FIN-03, IESEG School of Management.
• Uctum, Remzi & Renou-Maissant, Patricia & Prat, Georges & Lecarpentier-Moyal, Sylvie, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Review of Financial Economics, Elsevier, vol. 35(C), pages 43-56.
  • Remzi Uctum & Patricia Renou‐Maissant & Georges Prat & Sylvie Lecarpentier‐Moyal, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Review of Financial Economics, John Wiley & Sons, vol. 35(1), pages 43-56, November.
  • Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," EconomiX Working Papers 2013-36, University of Paris Nanterre, EconomiX.
  • Georges Prat & Remzi Uctum & Sylvie Lecarpentier-Moyal & Patricia Renou-Maissant, 2014. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Post-Print hal-01638222, HAL.
  • Sylvie Lecarpentier Moyal & Georges Prat & Patricia Renou Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Working Papers 2013-27, Department of Research, Ipag Business School.
  • Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Erudite Working Paper 2013-05, Erudite.
  • Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2014. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Post-Print hal-01411783, HAL.
  • Remzi Uctum & Patricia Renou-Maissant & Georges Prat & Sylvie Lecarpentier-Moyal, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Post-Print halshs-02080313, HAL.
• Emiliano Magrini & Ayca Donmez, 2013. "Agricultural Commodity Price Volatility and Its Macroeconomic Determinants: A GARCH-MIDAS Approach," JRC Research Reports JRC84138, Joint Research Centre.
• Viorica Chirila, 2013. "Analysis Of The Returns And Volatility Of The Environmental Stock Leaders," CES Working Papers, Centre for European Studies, Alexandru Ioan Cuza University, vol. 5(3), pages 359-377, September.
• Peter H. Sullivan, 2013. "Finding a Connection Between Exchange Rates and Fundamentals, How Should We Model Revisions to Forecasting Strategies?," 2013 Papers psu387, Job Market Papers.
• Thomas Lux, 2013. "Inference for systems of stochastic differential equations from discretely sampled data: a numerical maximum likelihood approach," Annals of Finance, Springer, vol. 9(2), pages 217-248, May.
• Juan Carranza & Dairo Estrada, 2013. "Identifying the determinants of mortgage default in Colombia between 1997 and 2004," Annals of Finance, Springer, vol. 9(3), pages 501-518, August.
• Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Computational Economics, Springer;Society for Computational Economics, vol. 41(2), pages 249-265, February.
  • Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Working Papers halshs-00793203, HAL.
  • Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Post-Print hal-01499630, HAL.
  • Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," AMSE Working Papers 1214, Aix-Marseille School of Economics, France.
• Chiuling Lu & Yiuman Tse & Michael Williams, 2013. "Returns transmission, value at risk, and diversification benefits in international REITs: evidence from the financial crisis," Review of Quantitative Finance and Accounting, Springer, vol. 40(2), pages 293-318, February.
• Fady Barsoum, 2013. "The Effects of Monetary Policy Shocks on a Panel of Stock Market Volatilities: A Factor-Augmented Bayesian VAR Approach," Working Paper Series of the Department of Economics, University of Konstanz 2013-15, Department of Economics, University of Konstanz.
• Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2012. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," JRFM, MDPI, vol. 5(1), pages 1-37, December.
  • Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," Documentos de Trabajo del ICAE 2013-06, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Jan 2013.
  • Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," KIER Working Papers 844, Kyoto University, Institute of Economic Research.
  • Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013. "Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," Working Papers in Economics 13/07, University of Canterbury, Department of Economics and Finance.
  • Chang, C-L. & Chen, C-C. & McAleer, M.J. & Chen, P-Y., 2013. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," Econometric Institute Research Papers EI 2013-04, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," Tinbergen Institute Discussion Papers 13-024/III, Tinbergen Institute.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Documentos de Trabajo del ICAE 2013-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," KIER Working Papers 854, Kyoto University, Institute of Economic Research.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About DCC," Econometric Institute Research Papers EI 2013-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Working Papers in Economics 13/16, University of Canterbury, Department of Economics and Finance.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about DCC," Tinbergen Institute Discussion Papers 13-048/III, Tinbergen Institute.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know about the Dynamic Conditional Correlation Representation," Econometrics, MDPI, vol. 1(1), pages 1-12, June.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Working Papers in Economics 13/21, University of Canterbury, Department of Economics and Finance.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," KIER Working Papers 870, Kyoto University, Institute of Economic Research.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Econometric Institute Research Papers EI 2013-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about the Dynamic Conditional Correlation Representation," Tinbergen Institute Discussion Papers 13-078/III, Tinbergen Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Documentos de Trabajo del ICAE 2013-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chia-Lin Chang & David E. Allen & Michael McAleer & Ju-Ting Tang & Teodosio Pérez Amaral, 2013. "Risk Modelling and Management: An Overview," Documentos de Trabajo del ICAE 2013-22, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral, 2013. "Risk Modelling and Management: An Overview," KIER Working Papers 872, Kyoto University, Institute of Economic Research.
  • Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral, 2013. "Risk Modelling and Management: An Overview," Tinbergen Institute Discussion Papers 13-085/III, Tinbergen Institute, revised 08 Jul 2013.
  • Chang, C-L. & Allen, D.E. & McAleer, M.J. & Pérez-Amaral, T., 2013. "Risk Modelling and Management: An Overview," Econometric Institute Research Papers EI 2013-22, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral, 2013. "Risk Modeling and Management: An Overview," Working Papers in Economics 13/22, University of Canterbury, Department of Economics and Finance.
• Michael McAleer & Kim Radalj, 2013. "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Journal of Reviews on Global Economics, Lifescience Global, vol. 2, pages 307-329.
  • McAleer, M.J. & Radalj, K., 2013. "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Econometric Institute Research Papers EI 2013-23, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Kim Radalj, 2013. "Herding, Information Cascades and Volatility Spillovers in Futures Markets," KIER Working Papers 873, Kyoto University, Institute of Economic Research.
  • Michael McAleer & Kim Radalj, 2013. "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Tinbergen Institute Discussion Papers 13-086/III, Tinbergen Institute.
  • Michael McAleer & Kim Radalj, 2013. "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Working Papers in Economics 13/23, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer & Kim Radalj, 2013. "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Documentos de Trabajo del ICAE 2013-25, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• M.Fatih Oztek & Nadir Ocal, 2013. "Financial Crises, Financialization of Commodity Markets and Correlation of Agricultural Commodity Index with Precious Metal Index and S&P500," ERC Working Papers 1302, ERC - Economic Research Center, Middle East Technical University, revised Feb 2013.
• Lucia BALDI & Massimo PERI & Daniela VANDONE, 2013. "Clean Energy Industries and Rare Earth Materials: Economic and Financial Issues," Departmental Working Papers 2013-07, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
• Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli, 2015. "A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises," Applied Economics, Taylor & Francis Journals, vol. 47(2), pages 129-147, January.
  • Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli, 2013. "A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0038, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
• Cipollini, Andrea & Cascio, Iolanda Lo & Muzzioli, Silvia, 2015. "Volatility co-movements: A time-scale decomposition analysis," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 34-44.
  • Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli, 2013. "Volatility co-movements: a time scale decomposition analysis," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0044, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
• Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli, 2015. "A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises," Applied Economics, Taylor & Francis Journals, vol. 47(2), pages 129-147, January.
  • Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli, 2013. "A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 13071, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
• Cipollini, Andrea & Cascio, Iolanda Lo & Muzzioli, Silvia, 2015. "Volatility co-movements: A time-scale decomposition analysis," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 34-44.
  • Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli, 2013. "Volatility co-movements: a time scale decomposition analysis," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 13111, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
• Dominique Guegan & Bertrand Hassani & Xin Zhao, 2013. "Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institutions Investment Decisions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00820839, HAL.
  • Dominique Guegan & Bertrand K. Hassani & Xin Zhao, 2013. "Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institution Investment Decisions," Documents de travail du Centre d'Economie de la Sorbonne 13034, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2017. "Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequency Measures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(3), pages 504-532, April.
  • Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2013. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers 28/13, Monash University, Department of Econometrics and Business Statistics.
  • Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2016. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers 8/16, Monash University, Department of Econometrics and Business Statistics.
  • Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2014. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Papers 1401.3911, arXiv.org, revised Mar 2016.
  • Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2014. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers 30/14, Monash University, Department of Econometrics and Business Statistics.
• Coronado Ramírez Semei Leopoldo & Porras Serrano Jesús & Sandoval Bravo Salvador, 2013. "Aplicación de bicorrelación cruzada al rendimiento diario del precio del café," Contaduría y Administración, Accounting and Management, vol. 58(1), pages 117-129, enero-mar.
• Michał Adam & Piotr Bańbuła & Michał Markun, 2013. "Dependence and contagion between asset prices in Poland and abroad. A copula approach," NBP Working Papers 169, Narodowy Bank Polski.
• Robert E. Hall, 2014. "Fiscal Stability of High-Debt Nations under Volatile Economic Conditions," German Economic Review, Verein für Socialpolitik, vol. 15(1), pages 4-22, February.
  • Hall Robert E., 2014. "Fiscal Stability of High-Debt Nations under Volatile Economic Conditions," German Economic Review, De Gruyter, vol. 15(1), pages 4-22, February.
  • Robert E. Hall, 2013. "Fiscal Stability of High-Debt Nations under Volatile Economic Conditions," NBER Working Papers 18797, National Bureau of Economic Research, Inc.
• Robin L. Lumsdaine & Rogier J.D. Potter van Loon, 2013. "Wall Street vs. Main Street: An Evaluation of Probabilities," NBER Working Papers 19103, National Bureau of Economic Research, Inc.
• Efstathios Avdis & Jessica A. Wachter, 2013. "Maximum likelihood estimation of the equity premium," NBER Working Papers 19684, National Bureau of Economic Research, Inc.
• Tatiana MANOLE & Sofia SCUTARI (ANGHEL), 2013. "Use Of The Macroeconomic Models In The Analysis Of The Balance Value," ECONOMY AND SOCIOLOGY: Theoretical and Scientifical Journal, Socionet;Complexul Editorial "INCE", issue 2, pages 21-33.
• Neil Shephard, 2013. "Martingale unobserved component models," Economics Series Working Papers 644, University of Oxford, Department of Economics.
  • Neil Shephard, 2013. "Martingale unobserved component models," Economics Papers 2013-W01, Economics Group, Nuffield College, University of Oxford.
• Ozgur (Ozzy) Akay & Zeynep Senyuz & Emre Yoldas, 2013. "Hedge Fund Contagion and Risk-adjusted Returns: A Markov-switching Dynamic Factor Approach," Working Papers 13-03, Office of Financial Research, US Department of the Treasury.
• Paul Glasserman & H. Peyton Young, 2013. "How Likely is Contagion in Financial Networks?," Working Papers 13-06, Office of Financial Research, US Department of the Treasury, revised 12 Apr 2017.
• Pece Andreea Maria & Ludusan (Corovei) Emilia Anuta & Mutu Simona, 2013. "Testing The Long Range-Dependence For The Central Eastern European And The Balkans Stock Markets," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 1113-1124, July.
• Baciu Olivia & Parpucea Ilie, 2013. "A Model To Minimize Multicollinearity Effects," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 699-706, July.
• Rainer Dahlhaus & Jan C. Neddermeyer, 2014. "Online Spot Volatility-Estimation and Decomposition with Nonlinear Market Microstructure Noise Models," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 174-212.
  • Rainer Dahlhaus & Jan C. Neddermeyer, 2013. "Online Spot Volatility-Estimation and Decomposition with Nonlinear Market Microstructure Noise Models," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 174-212, December.
• Ionescu Alexandra & Horga Maria-Gabriela & Nancu Dorinela, 2013. "Firm Financial Performance: An Empirical Investigation on Romanian SMEs," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 1299-1303, May.
• Neil Shephard, 2013. "Martingale unobserved component models," Economics Papers 2013-W01, Economics Group, Nuffield College, University of Oxford.
  • Neil Shephard, 2013. "Martingale unobserved component models," Economics Series Working Papers 644, University of Oxford, Department of Economics.
• Liu, Lily Y. & Patton, Andrew J. & Sheppard, Kevin, 2015. "Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes," Journal of Econometrics, Elsevier, vol. 187(1), pages 293-311.
  • Kevin Sheppard & Lily Liu & Andrew J. Patton, 2013. "Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes," Economics Series Working Papers 645, University of Oxford, Department of Economics.
• James Wolter, 2013. "Separating the impact of macroeconomic variables and global frailty in event data," Economics Series Working Papers 667, University of Oxford, Department of Economics.
• Boleslaw Borkowski & Monika Krawiec & Yochanan Shachmurove, 2013. "Modeling and Estimating Volatility of Options on Standard & Poor’s 500 Index," PIER Working Paper Archive 13-015, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
• Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2015. "Risks of large portfolios," Journal of Econometrics, Elsevier, vol. 186(2), pages 367-387.
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  • Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2013. "Risks of large portfolios," MPRA Paper 44206, University Library of Munich, Germany.
• Akbar Komijani & Esmaeil Naderi & Nadiya Gandali Alikhani, 2014. "A hybrid approach for forecasting of oil prices volatility," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 38(3), pages 323-340, September.
  • Komijani, Akbar & Naderi, Esmaeil & Gandali Alikhani, Nadiya, 2013. "A Hybrid Approach for Forecasting of Oil Prices Volatility," MPRA Paper 44654, University Library of Munich, Germany.
• Rafik Nazarian & Esmaeil Naderi & Nadiya G. Alikhani & Ashkan Amiri, 2014. "Long Memory Analysis: An Empirical Investigation," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 16-26.
  • Nazarian, Rafik & Naderi, Esmaeil & Gandali Alikhani, Nadiya & Amiri, Ashkan, 2013. "Long Memory Analysis: An Empirical Investigation," MPRA Paper 45605, University Library of Munich, Germany.
• Delavari, Majid & Gandali Alikhani, Nadiya & Naderi, Esmaeil, 2013. "Does long memory matter in forecasting oil price volatility?," MPRA Paper 46356, University Library of Munich, Germany.
• Ergun Ermisoglu & Yasin Akcelik & Arif Oduncu & Temel Taskin, 2014. "Effects of additional monetary tightening on exchange rates," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 4(1), pages 71-79, June.
  • Ermişoğlu, Ergun & Akçelik, Yasin & Oduncu, Arif & Taşkın, Temel, 2013. "The Effects of Additional Monetary Tightening on Exchange Rates," MPRA Paper 46615, University Library of Munich, Germany.
• Afsin Sahin, 2013. "Estimating Money Demand Function by a Smooth Transition Regression Model: An Evidence for Turkey," Working Papers 791, Economic Research Forum, revised Nov 2013.
  • Sahin, Afsin, 2013. "Estimating Money Demand Function by a Smooth Transition Regression Model: An Evidence for Turkey," MPRA Paper 46851, University Library of Munich, Germany.
• John Fry, 2014. "Bubbles, shocks and elementary technical trading strategies," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 87(1), pages 1-13, January.
  • Fry, John, 2013. "Bubbles, shocks and elementary technical trading strategies," MPRA Paper 47052, University Library of Munich, Germany.
• Dumitriu, Ramona & Stefanescu, Razvan, 2013. "DOW effects in returns and in volatility of stock markets during quiet and turbulent times," MPRA Paper 47218, University Library of Munich, Germany, revised 02 Apr 2013.
• Rendón, Stephanie, 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 [Stock crack detection using mu," MPRA Paper 47699, University Library of Munich, Germany, revised 19 May 2013.
• nnamdi, Kelechi & ifionu, Ebele, 2013. "Exchange rate volatility and exchange rate uncertainty in Nigeria: a financial econometric analysis (1970- 2012)," MPRA Paper 48316, University Library of Munich, Germany, revised 2013.
• Fulli-Lemaire, Nicolas, 2013. "A Tale of Two Eurozones: Banks’s Funding, Sovereign Risk & Unconventional Monetary Policies," MPRA Paper 49072, University Library of Munich, Germany.
• Fulli-Lemaire, Nicolas & Palidda, Ernesto, 2013. "Cross-Hedging of Inflation Derivatives on Commodities: The Informational Content of Futures Markets," MPRA Paper 49687, University Library of Munich, Germany.
• De Luca, Giovanni & Zuccolotto, Paola, 2013. "A Conditional Value-at-Risk Based Portfolio Selection With Dynamic Tail Dependence Clustering," MPRA Paper 50129, University Library of Munich, Germany.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 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," MPRA Paper 50235, University Library of Munich, Germany.
• Sucarrat, Genaro & Escribano, Álvaro, 2013. "Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns," UC3M Working papers. Economics we1321, Universidad Carlos III de Madrid. Departamento de Economía.
  • Sucarrat, Genaro & Escribano, Alvaro, 2013. "Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns," MPRA Paper 50699, University Library of Munich, Germany.
• Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2014. "Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 159-177.
  • Massimiliano Caporin & Juan Ángel Jiménez Martín & Lydia González-Serrano, 2013. "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," Documentos de Trabajo del ICAE 2013-36, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2013. "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," MPRA Paper 50940, University Library of Munich, Germany, revised 23 Oct 2013.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 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 – Buc," MPRA Paper 51046, University Library of Munich, Germany.
• Mohamed El Ghourabi & Christian Francq & Fedya Telmoudi, 2016. "Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(1), pages 46-76, January.
  • El Ghourabi, Mohamed & Francq, Christian & Telmoudi, Fedya, 2013. "Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified," MPRA Paper 51150, University Library of Munich, Germany.
• Pinelis, Iosif, 2013. "An optimal three-way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality," MPRA Paper 51361, University Library of Munich, Germany.
• Ezzat, Hassan, 2013. "Long Memory Processes and Structural Breaks in Stock Returns and Volatility: Evidence from the Egyptian Exchange," MPRA Paper 51465, University Library of Munich, Germany.
• Nath, Golaka, 2013. "Liquidity Issues in Indian Sovereign Bond Market," MPRA Paper 51633, University Library of Munich, Germany.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "Venture capital optimal investment portfolio strategies selection in diffusion - type financial systems in global capital markets with nonlinearities," MPRA Paper 51741, University Library of Munich, Germany.
• Christian Francq & Genaro Sucarrat, 2018. "An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 129-154.
  • Francq, Christian & Sucarrat, Genaro, 2013. "An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation," MPRA Paper 51783, University Library of Munich, Germany.
• Zhu, Ke & Li, Wai Keung, 2013. "A new Pearson-type QMLE for conditionally heteroskedastic models," MPRA Paper 52344, University Library of Munich, Germany.
  • Zhu, Ke & Li, Wai Keung, 2014. "A new Pearson-type QMLE for conditionally heteroskedastic models," MPRA Paper 52732, University Library of Munich, Germany.
• Schroeder, Anna Louise & Fryzlewicz, Piotr, 2013. "Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery," LSE Research Online Documents on Economics 54934, London School of Economics and Political Science, LSE Library.
  • Schröder, Anna Louise & Fryzlewicz, Piotr, 2013. "Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery," MPRA Paper 52379, University Library of Munich, Germany.
• Xiaochun Liu, 2016. "Markov switching quantile autoregression," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 70(4), pages 356-395, November.
  • Liu, Xiaochun, 2013. "Markov-Switching Quantile Autoregression," MPRA Paper 55800, University Library of Munich, Germany.
• Karapanagiotidis, Paul, 2013. "Empirical evidence for nonlinearity and irreversibility of commodity futures prices," MPRA Paper 56801, University Library of Munich, Germany.
• Dewandaru, Ginanjar & Alaoui, Abdelkader & Masih, A. Mansur M. & Alhabshi, Syed Othman, 2013. "Comovement and resiliency of Islamic equity market: Evidence from GCC Islamic equity index based on wavelet analysis," MPRA Paper 56980, University Library of Munich, Germany.
• Rizvi, Syed Aun & Masih, Mansur, 2013. "Do Shariah (Islamic) Indices Provide a Safer Avenue in Crisis? Empirical Evidence from Dow Jones Indices using Multivariate GARCH-DCC," MPRA Paper 57701, University Library of Munich, Germany.
• Masih, Mansur & Majid, Hamdan Abdul, 2013. "Stock Price and Industrial Production in Developing Countries: A Dynamic Heterogeneous Panel Analysis," MPRA Paper 58308, University Library of Munich, Germany.
• Masih, Mansur & Majid, Hamdan Abdul, 2013. "Comovement of Selected International Stock Market Indices:A Continuous Wavelet Transformation and Cross Wavelet Transformation Analysis," MPRA Paper 58313, University Library of Munich, Germany.
• Renata Karkowska, 2013. "The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility," Faculty of Management Working Paper Series 32013, University of Warsaw, Faculty of Management.
  • Karkowska, Renata, 2013. "The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility," MPRA Paper 58802, University Library of Munich, Germany.
• Swastika, Putri & 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," MPRA Paper 58833, University Library of Munich, Germany.
• Swastika, Purti & Dewandaru, Ginanjar & Masih, Mansur, 2013. "The Impact of Debt on Economic Growth: A Case Study of Indonesia," MPRA Paper 58837, University Library of Munich, Germany.
• Nagayev, Ruslan & Masih, Mansur, 2013. "Should Shariah-compliant investors include commodities in their portfolios? New evidence," MPRA Paper 58851, University Library of Munich, Germany.
• Nagayev, Ruslan & Masih, Mansur, 2013. "The Role of Gold as a Hedge and Safe Haven in Shariah-Compliant Portfolios," MPRA Paper 58852, University Library of Munich, Germany.
• Ayub, Aishahton & Masih, Mansur, 2013. "Interest Rate, Exchange Rate, and Stock Prices of Islamic Banks: A Panel Data Analysis," MPRA Paper 58871, University Library of Munich, Germany.
• Masih, Mansur & Majid, Hamdan Abdul, 2013. "The Volatility and Correlations of Stock Returns of Some Crisis-Hit Countries: US, Greece, Thailand and Malaysia: Evidence from MGARCH-DCC applications," MPRA Paper 58946, University Library of Munich, Germany.
• Lof, Matthijs, 2013. "Essays on Expectations and the Econometrics of Asset Pricing," MPRA Paper 59064, University Library of Munich, Germany.
• Ciuiu, Daniel, 2013. "Qualitative variables and their reduction possibility. Application to time series models," MPRA Paper 59284, University Library of Munich, Germany, revised Aug 2013.
• Ayub, Aishaton & Masih, Mansur, 2013. "The Relationship between Exchange Rates and Islamic Indices in Malaysia FTSE Market: A Wavelet Based Approach," MPRA Paper 59618, University Library of Munich, Germany.
• Naseri, Marjan & Masih, Mansur, 2013. "Causality between Malaysian Islamic Stock Market and Macroeconomic Variables," MPRA Paper 60247, University Library of Munich, Germany.
• T., Vasylieva & A., Lasukova, 2013. "Empirical study on the correlation of corporate social responsibility with the banks efficiency and stability," MPRA Paper 60404, University Library of Munich, Germany, revised 2013.
• Mohamad, Sharifah Fairuz Syed & Masih, Mansur, 2013. "Gold price movements in selected currencies: wavelet approach," MPRA Paper 62347, University Library of Munich, Germany.
• Mohamad, Sharifah Fairuz Syed & Masih, Mansur, 2013. "An application of MGARCH-DCC analysis on selected currencies in terms of gold Price," MPRA Paper 62349, University Library of Munich, Germany.
• shafaai, Shafizal & Masih, Mansur, 2013. "Stock market and crude oil relationship: A wavelet analysis," MPRA Paper 62363, University Library of Munich, Germany.
• Shafaai, Shafizal & Masih, Mansur, 2013. "Determinants of cost of equity: The case of Shariah-compliant Malaysian firms," MPRA Paper 62364, University Library of Munich, Germany.
• Hanifa, Mohamed Hisham & Masih, Mansur, 2013. "Housing finance and financial stability: evidence from Malaysia, Thailand and Singapore," MPRA Paper 63022, University Library of Munich, Germany.
• Mokhtar, Maznita & Masih, Mansur, 2013. "Are investments in islamic REITs susceptible to forex uncertainty: wavelet analysis," MPRA Paper 63024, University Library of Munich, Germany.
• Yu, Chao & Fang, Yue & Zhao, Xujie & Zhang, Bo, 2013. "Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise," MPRA Paper 63293, University Library of Munich, Germany, revised 10 Mar 2014.
• Pathan, Rubina & Masih, Mansur, 2013. "Relationship between macroeconomic variables and stock market index: evidence from India," MPRA Paper 63302, University Library of Munich, Germany.
• Muteba Mwamba, John & Mokwena, Paula, 2013. "International diversification and dependence structure of equity portfolios during market crashes: the Archimedean copula approach," MPRA Paper 64384, University Library of Munich, Germany.
• Aknouche, Abdelhakim, 2013. "Periodic autoregressive stochastic volatility," MPRA Paper 69571, University Library of Munich, Germany, revised 2015.
• Urbina, Jilber, 2013. "A component model for Dynamic Conditional Correlations: Disentangling interdependence from contagion," MPRA Paper 75579, University Library of Munich, Germany, revised 13 Dec 2016.
• Urbina, Jilber, 2013. "Financial Spillovers Across Countries: Measuring shock transmissions," MPRA Paper 75756, University Library of Munich, Germany.
• Yildirim, Ramazan & Masih, Mansur, 2013. "Relationship between regional Shariah stock markets: The cointegration and causality," MPRA Paper 76281, University Library of Munich, Germany.
• Trofimov, Ivan D., 2013. "Nonparametric approach to portfolio diversification: the case of Australian equity market," MPRA Paper 79562, University Library of Munich, Germany.
• Adenuga, Adeniyi O. & Omotosho, Babatunde S., 2013. "Financial Access, Financial Depth, and Economic Growth in Nigeria," MPRA Paper 99349, University Library of Munich, Germany.
• Gupta, Rangan & Modise, Mampho P., 2013. "Does the source of oil price shocks matter for South African stock returns? A structural VAR approach," Energy Economics, Elsevier, vol. 40(C), pages 825-831.
  • Rangan Gupta & Mampho P. Modise, 2013. "Does the Source of Oil Price Shocks Matter for South African Stock Returns? A Structural VAR Approach," Working Papers 201318, University of Pretoria, Department of Economics.
• Gupta, Rangan & Hammoudeh, Shawkat & Modise, Mampho P. & Nguyen, Duc Khuong, 2014. "Can economic uncertainty, financial stress and consumer sentiments predict U.S. equity premium?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 367-378.
  • Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013. "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers 2013-20, Department of Research, Ipag Business School.
  • Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013. "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers 201351, University of Pretoria, Department of Economics.
  • Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2014. "Can Economic Uncertainty, Financial Stress and Consumer Senti-ments Predict U.S. Equity Premium?," Working Papers 2014-436, Department of Research, Ipag Business School.
• Rangan Gupta & Shawkat Hammoudeh & Beatrice D. Simo-Kengne & Soodabeh Sarafrazi, 2014. "Can the Sharia-based Islamic stock market returns be forecasted using large number of predictors and models?," Applied Financial Economics, Taylor & Francis Journals, vol. 24(17), pages 1147-1157, September.
  • Rangan Gupta & Shawkat Hammoudeh & Beatrice D. Simo-Kengne & Soodabeh Sarafrazi, 2013. "Can the Sharia-Based Islamic Stock Market Returns be Forecasted Using Large Number of Predictors and Models?," Working Papers 201381, University of Pretoria, Department of Economics.
• Saban Nazlioglu & Shawkat Hammoudeh & Rangan Gupta, 2015. "Volatility transmission between Islamic and conventional equity markets: evidence from causality-in-variance test," Applied Economics, Taylor & Francis Journals, vol. 47(46), pages 4996-5011, October.
  • Saban Nazlioglu & Shawkat Hammoudeh & Rangan Gupta, 2013. "Volatility Transmission between Islamic and Conventional Equity Markets: Evidence from Causality-in-Variance Test," Working Papers 201384, University of Pretoria, Department of Economics.
• Marcos Álvarez-Díaz & Shawkat Hammoudeh & Rangan Gupta, 2013. "Detecting Predictable Non-linear Dynamics in Dow Jones Industrial Average and Dow Jones Islamic Market Indices using Nonparametric Regressions," Working Papers 201385, University of Pretoria, Department of Economics.
• Jozef Barunik, 2013. "Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition?," ACTA VSFS, University of Finance and Administration, vol. 7(1), pages 6-30.
• Marika Křepelová & Josef Jablonský, 2013. "Analýza státních dluhopisů jako indikátoru pro akciový trh [Analysis of Government Bonds as an Indicator for Stock Market]," Politická ekonomie, Prague University of Economics and Business, vol. 2013(5), pages 605-622.
• Krzysztof Osiewalski & Jacek Osiewalski, 2013. "A Long-Run Relationship between Daily Prices on Two Markets: The Bayesian VAR(2)–MSF-SBEKK Model," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 5(1), pages 65-83, March.
• Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2015. "Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets," Journal of Econometrics, Elsevier, vol. 187(2), pages 557-579.
  • Giuseppe Cavaliere & Morten Ø. Nielsen & A.M. Robert Taylor, 2013. "Bootstrap Score Tests For Fractional Integration In Heteroskedastic Arfima Models, With An Application To Price Dynamics In Commodity Spot And Futures Markets," Working Paper 1309, Economics Department, Queen's University.
  • Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2014. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," CREATES Research Papers 2014-22, Department of Economics and Business Economics, Aarhus University.
• Ogonna Nneji, 2013. "Liquidity Shocks and Stock Bubbles," ICMA Centre Discussion Papers in Finance icma-dp2013-07, Henley Business School, University of Reading, revised Jan 2014.
• Frank Schorfheide & Dongho Song & Amir Yaron, 2018. "Identifying Long‐Run Risks: A Bayesian Mixed‐Frequency Approach," Econometrica, Econometric Society, vol. 86(2), pages 617-654, March.
  • Frank Schorfheide & Dongho Song & Amir Yaron, 2013. "Identifying long-run risks: a bayesian mixed-frequency approach," Working Papers 13-39, Federal Reserve Bank of Philadelphia.
  • Dongho Song & Amir Yaron & Frank Schorfheide, 2013. "Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach," 2013 Meeting Papers 580, Society for Economic Dynamics.
  • Frank Schorfheide & Dongho Song & Amir Yaron, 2014. "Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach," NBER Working Papers 20303, National Bureau of Economic Research, Inc.
• Stelios D. Bekiros, 2013. "Decoupling and the Spillover Effects of the US Financial Crisis: Evidence from the BRIC Markets," Working Paper series 21_13, Rimini Centre for Economic Analysis.
• Fotis Papailias & Dimitrios Thomakos, 2015. "Covariance averaging for improved estimation and portfolio allocation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(1), pages 31-59, February.
  • Dimitrios D. Thomakos & Fotis Papailias, 2013. "Covariance Averaging for Improved Estimation and Portfolio Allocation," Working Paper series 66_13, Rimini Centre for Economic Analysis.
• Sidorov, Sergei & Date, Paresh & Balash, Vladimir, 2013. "Using news analytics data in GARCH models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 29(1), pages 82-96.
• Pekkaya, Mehmet, 2013. "Estimation Fractional Integration Parameter and an Application to Major Turkish Financial Time Series," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 4(2), pages 1-91, April.
• Trofimov, Ivan D., 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 australian," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 66(1), pages 87-112.
• Nick, Sebastian, 2013. "Price Formation and Intertemporal Arbitrage within a Low-Liquidity Framework: Empirical Evidence from European Natural Gas Markets," EWI Working Papers 2013-14, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI).
• Duong, Diep & Swanson, Norman R., 2015. "Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction," Journal of Econometrics, Elsevier, vol. 187(2), pages 606-621.
  • Diep Duong & Norman Swanson, 2013. "Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction," Departmental Working Papers 201321, Rutgers University, Department of Economics.
• Kausik Chaudhuri & Tirthankar Chowdhury, 2012. "Financial Performance Evaluation," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 11(1), pages 1-36, April.
• M.V. Lakshman & Sankarshan Basu & R. Vaidyanathan, 2013. "Market-wide Herding and the Impact of Institutional Investors in the Indian Capital Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 12(2), pages 197-237, August.
• Dilip Kumar & S. Maheswaran, 2013. "Return, Volatility and Risk Spillover from Oil Prices and the US Dollar Exchange Rate to the Indian Industrial Sectors," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 7(1), pages 61-91, February.
• Niccolò Battistini & Marco Pagano & Saverio Simonelli, 2014. "Systemic risk, sovereign yields and bank exposures in the euro crisis [Real effects of the sovereign debt crises in Europe: evidence from syndicated loans]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 29(78), pages 203-251.
  • Niccolò Battistini & Marco Pagano & Saverio Simonelli, 2013. "Systemic Risk, Sovereign Yields and Bank Exposures in the Euro Crisis," CSEF Working Papers 345, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
• De la Cruz Mejía Téllez, Juan, 2013. "Aplicación del modelo Weibull en el análisis de eventos críticos en precios bursátiles / Weibull Model Application for the Analysis of Critical Events in Stock Prices," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 3(1), pages 73-88, enero-jun.
• Luca Riccetti, 2013. "A copula–GARCH model for macro asset allocation of a portfolio with commodities," Empirical Economics, Springer, vol. 44(3), pages 1315-1336, June.
• Shlomo Yitzhaki & Peter Lambert, 2013. "The relationship between the absolute deviation from a quantile and Gini’s mean difference," METRON, Springer;Sapienza Università di Roma, vol. 71(2), pages 97-104, September.
• Małgorzata Doman & Ryszard Doman, 2013. "Dynamic linkages between stock markets: the effects of crises and globalization," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 12(2), pages 87-112, August.
• Nico Katzke, 2013. "South African Sector Return Correlations: using DCC and ADCC Multivariate GARCH techniques to uncover the underlying dynamics," Working Papers 17/2013, Stellenbosch University, Department of Economics.
• Julien Chevallier & Florian Ielpo, 2013. "Cross-market linkages between commodities, stocks and bonds," Applied Economics Letters, Taylor & Francis Journals, vol. 20(10), pages 1008-1018, July.
• Julien Chevallier & Florian Ielpo, 2013. "Volatility spillovers in commodity markets," Applied Economics Letters, Taylor & Francis Journals, vol. 20(13), pages 1211-1227, September.
• Julien Chevallier & Mathieu Gatumel & Florian Ielpo, 2013. "Understanding momentum in commodity markets," Applied Economics Letters, Taylor & Francis Journals, vol. 20(15), pages 1383-1402, October.
  • Mathieu Gatumel & Florian Ielpo, 2013. "Understanding momentum in commodity markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00947001, HAL.
• Arif Oduncu & Yasin Akcelik & Ergun Ermisoglu, 2013. "Reserve Options Mechanism : A New Macroprudential Tool to Limit the Adverse Effects of Capital Flow Volatility on Exchange Rates," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 13(3), pages 45-60.
• Irem Talasli, 2013. "Systemic Risk Analysis of Turkish Financial Institutions with Systemic Expected Shortfall," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 13(Special I), pages 25-40.
• Mahir Binici & Bulent Koksal & Cuneyt Orman, 2013. "Stock Return Co-movement and Systemic Risk in the Turkish Banking System," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 13(Special I), pages 41-63.
  • Binici, Mahir & Köksal, Bülent & Orman, Cüneyt, 2012. "Stock return comovement and systemic risk in the Turkish banking system," MPRA Paper 38663, University Library of Munich, Germany.
  • Mahir Binici & Bulent Koksal & Cuneyt Orman, 2013. "Stock Return Comovement and Systemic Risk in the Turkish Banking System," Working Papers 1302, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
• Mahir Binici & Bulent Koksal & Cuneyt Orman, 2013. "Stock Return Co-movement and Systemic Risk in the Turkish Banking System," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 13(Special I), pages 41-63.
  • Binici, Mahir & Köksal, Bülent & Orman, Cüneyt, 2012. "Stock return comovement and systemic risk in the Turkish banking system," MPRA Paper 38663, University Library of Munich, Germany.
  • Mahir Binici & Bulent Koksal & Cuneyt Orman, 2013. "Stock Return Comovement and Systemic Risk in the Turkish Banking System," Working Papers 1302, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
• Arif Oduncu & Yasin Akcelik & Ergun Ermisoglu, 2013. "Reserve Options Mechanism and FX Volatility," Working Papers 1303, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
• Irem Talasli, 2013. "Systemic Risk Analysis of Turkish Financial Institutions with Systemic Expected Shortfall," Working Papers 1311, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
• Doruk Kucuksarac & Ozgur Ozel, 2013. "Gecelik Kur Takasi Faizleri ve BIST Gecelik Repo Faizleri," Working Papers 1320, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
• David E. Allen & Abhay K. Singh & Robert J. Powell & Michael McAleer & James Taylor & Lyn Thomas, 2013. "Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression," Tinbergen Institute Discussion Papers 13-020/III, Tinbergen Institute.
• Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2012. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," JRFM, MDPI, vol. 5(1), pages 1-37, December.
  • Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," Documentos de Trabajo del ICAE 2013-06, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Jan 2013.
  • Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," Tinbergen Institute Discussion Papers 13-024/III, Tinbergen Institute.
  • Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013. "Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," Working Papers in Economics 13/07, University of Canterbury, Department of Economics and Finance.
  • Chang, C-L. & Chen, C-C. & McAleer, M.J. & Chen, P-Y., 2013. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," Econometric Institute Research Papers EI 2013-04, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," KIER Working Papers 844, Kyoto University, Institute of Economic Research.
• Ardia, David & Hoogerheide, Lennart F., 2014. "GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts," Economics Letters, Elsevier, vol. 123(2), pages 187-190.
  • David Ardia & Lennart Hoogerheide, 2013. "GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts," Tinbergen Institute Discussion Papers 13-047/III, Tinbergen Institute.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Documentos de Trabajo del ICAE 2013-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about DCC," Tinbergen Institute Discussion Papers 13-048/III, Tinbergen Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," KIER Working Papers 854, Kyoto University, Institute of Economic Research.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About DCC," Econometric Institute Research Papers EI 2013-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Working Papers in Economics 13/16, University of Canterbury, Department of Economics and Finance.
• Lukasz Gatarek & Lennart Hoogerheide & Koen Hooning & Herman K. van Dijk, 2013. "Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation," Tinbergen Institute Discussion Papers 13-060/III, Tinbergen Institute, revised 06 Mar 2014.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know about the Dynamic Conditional Correlation Representation," Econometrics, MDPI, vol. 1(1), pages 1-12, June.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Working Papers in Economics 13/21, University of Canterbury, Department of Economics and Finance.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about the Dynamic Conditional Correlation Representation," Tinbergen Institute Discussion Papers 13-078/III, Tinbergen Institute.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Econometric Institute Research Papers EI 2013-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," KIER Working Papers 870, Kyoto University, Institute of Economic Research.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Documentos de Trabajo del ICAE 2013-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chia-Lin Chang & David E. Allen & Michael McAleer & Ju-Ting Tang & Teodosio Pérez Amaral, 2013. "Risk Modelling and Management: An Overview," Documentos de Trabajo del ICAE 2013-22, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral, 2013. "Risk Modelling and Management: An Overview," Tinbergen Institute Discussion Papers 13-085/III, Tinbergen Institute, revised 08 Jul 2013.
  • Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral, 2013. "Risk Modelling and Management: An Overview," KIER Working Papers 872, Kyoto University, Institute of Economic Research.
  • Chang, C-L. & Allen, D.E. & McAleer, M.J. & Pérez-Amaral, T., 2013. "Risk Modelling and Management: An Overview," Econometric Institute Research Papers EI 2013-22, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral, 2013. "Risk Modeling and Management: An Overview," Working Papers in Economics 13/22, University of Canterbury, Department of Economics and Finance.
• David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CIRJE F-Series CIRJE-F-693, CIRJE, Faculty of Economics, University of Tokyo.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2013. "Realized Volatility Risk," Tinbergen Institute Discussion Papers 13-092/III, Tinbergen Institute.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," Working Papers in Economics 10/26, University of Canterbury, Department of Economics and Finance.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2013. "Realized volatility risk," Documentos de Trabajo del ICAE 2013-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," KIER Working Papers 753, Kyoto University, Institute of Economic Research.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CARF F-Series CARF-F-197, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2010.
• Francisco Blasques & Andre Lucas & Erkki Silde, 2013. "Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models," Tinbergen Institute Discussion Papers 13-097/IV/DSF59, Tinbergen Institute.
• Robert F. Engle & Eric Ghysels & Bumjean Sohn, 2013. "Stock Market Volatility and Macroeconomic Fundamentals," The Review of Economics and Statistics, MIT Press, vol. 95(3), pages 776-797, July.
• Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2012. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," JRFM, MDPI, vol. 5(1), pages 1-37, December.
  • Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," KIER Working Papers 844, Kyoto University, Institute of Economic Research.
  • Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," Documentos de Trabajo del ICAE 2013-06, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Jan 2013.
  • Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013. "Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," Working Papers in Economics 13/07, University of Canterbury, Department of Economics and Finance.
  • Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," Tinbergen Institute Discussion Papers 13-024/III, Tinbergen Institute.
  • Chang, C-L. & Chen, C-C. & McAleer, M.J. & Chen, P-Y., 2013. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," Econometric Institute Research Papers EI 2013-04, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about DCC," Tinbergen Institute Discussion Papers 13-048/III, Tinbergen Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Documentos de Trabajo del ICAE 2013-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," KIER Working Papers 854, Kyoto University, Institute of Economic Research.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About DCC," Econometric Institute Research Papers EI 2013-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Working Papers in Economics 13/16, University of Canterbury, Department of Economics and Finance.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know about the Dynamic Conditional Correlation Representation," Econometrics, MDPI, vol. 1(1), pages 1-12, June.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about the Dynamic Conditional Correlation Representation," Tinbergen Institute Discussion Papers 13-078/III, Tinbergen Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Documentos de Trabajo del ICAE 2013-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Econometric Institute Research Papers EI 2013-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Working Papers in Economics 13/21, University of Canterbury, Department of Economics and Finance.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," KIER Working Papers 870, Kyoto University, Institute of Economic Research.
• Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral, 2013. "Risk Modeling and Management: An Overview," Working Papers in Economics 13/22, University of Canterbury, Department of Economics and Finance.
  • Chia-Lin Chang & David E. Allen & Michael McAleer & Ju-Ting Tang & Teodosio Pérez Amaral, 2013. "Risk Modelling and Management: An Overview," Documentos de Trabajo del ICAE 2013-22, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral, 2013. "Risk Modelling and Management: An Overview," Tinbergen Institute Discussion Papers 13-085/III, Tinbergen Institute, revised 08 Jul 2013.
  • Chang, C-L. & Allen, D.E. & McAleer, M.J. & Pérez-Amaral, T., 2013. "Risk Modelling and Management: An Overview," Econometric Institute Research Papers EI 2013-22, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral, 2013. "Risk Modelling and Management: An Overview," KIER Working Papers 872, Kyoto University, Institute of Economic Research.
• David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CARF F-Series CARF-F-197, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2010.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2013. "Realized volatility risk," Documentos de Trabajo del ICAE 2013-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," Working Papers in Economics 10/26, University of Canterbury, Department of Economics and Finance.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," KIER Working Papers 753, Kyoto University, Institute of Economic Research.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2013. "Realized Volatility Risk," Tinbergen Institute Discussion Papers 13-092/III, Tinbergen Institute.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CIRJE F-Series CIRJE-F-693, CIRJE, Faculty of Economics, University of Tokyo.
• Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2014. "Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 159-177.
  • Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2013. "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," MPRA Paper 50940, University Library of Munich, Germany, revised 23 Oct 2013.
  • Massimiliano Caporin & Juan Ángel Jiménez Martín & Lydia González-Serrano, 2013. "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," Documentos de Trabajo del ICAE 2013-36, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Grassi, Stefano & Santucci de Magistris, Paolo, 2015. "It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 62-78.
  • Stefano Grassi & Paolo Santucci de Magistris, 2013. "It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model," CREATES Research Papers 2013-03, Department of Economics and Business Economics, Aarhus University.
  • Stefano Grassi & Paolo Santucci de Magistris, 2013. "It's all about volatility of volatility: evidence from a two-factor stochastic volatility model," Studies in Economics 1404, School of Economics, University of Kent.
• Audrino, Francesco & Fengler, Matthias R., 2015. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 46-63.
  • Audrino, Francesco & Fengler, Matthias, 2013. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series 1311, University of St. Gallen, School of Economics and Political Science.
• Fengler, Matthias R. & Mammen, Enno & Vogt, Michael, 2013. "Additive modeling of realized variance: tests for parametric specifications and structural breaks," Economics Working Paper Series 1332, University of St. Gallen, School of Economics and Political Science.
• Trojan, Sebastian, 2013. "Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously," Economics Working Paper Series 1341, University of St. Gallen, School of Economics and Political Science, revised Aug 2014.
• Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2013. "Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals," Working Papers on Finance 1318, University of St. Gallen, School of Finance.
• Monica Billio & Maddalena Cavicchioli, 2013. "�Markov Switching Models for Volatility: Filtering, Approximation and Duality�," Working Papers 2013:24, Department of Economics, University of Venice "Ca' Foscari".
• Andrea Berardi, 2013. "Inflation Risk Premia, Yield Volatility and Macro Factors," Working Papers 27/2013, University of Verona, Department of Economics.
• Yanan Li & David E. Giles, 2015. "Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 20(2), pages 155-177, March.
  • David E. Giles & Yanan Li, 2013. "Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets," Econometrics Working Papers 1301, Department of Economics, University of Victoria.
• Yasemin Keskin Benli & Suleyman Degirmen, 2013. "The Application of Data Envelopment Analysis Based Malmquist Total Factor Productivity Index: Empirical Evidence in Turkish Banking Sector," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(2), pages 139-159, April.
• Yasemin Keskin Benli & Suleyman Degirmen, 2013. "The Application of Data Envelopment Analysis Based Malmquist Total Factor Productivity Index: Empirical Evidence in Turkish Banking Sector," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(2), pages 139-159.
• Nikola Gradojević & Eldin Dobardžić, 2013. "Causality between Regional Stock Markets: A Frequency Domain Approach," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(5), pages 633-647, September.
• Nikola Gradojević & Eldin Dobardžić, 2013. "Causality between Regional Stock Markets: A Frequency Domain Approach," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(5), pages 633-647.
• Jan Novotn?? & Jan Hanousek & Ev??en Ko??enda, 2013. "Price Jump Indicators: Stock Market Empirics During the Crisis," William Davidson Institute Working Papers Series wp1050, William Davidson Institute at the University of Michigan.
• Jan Hanousek & Evzen Kocenda & Jan Novotny, 2014. "Price jumps on European stock markets," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 14(1), pages 10-22, March.
  • Jan Hanousek & Ev??en Ko??enda & Jan Novotn??, 2013. "Price Jumps on European Stock Markets," William Davidson Institute Working Papers Series wp1059, William Davidson Institute at the University of Michigan.
• Luc Bauwens & Christian M. Hafner & Diane Pierret, 2013. "Multivariate Volatility Modeling Of Electricity Futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 743-761, August.
  • BAUWENS, Luc & HAFNER, Christian & pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers CORE 2011011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • BAUWENS, Luc & HAFNER, Christian M. & PIERRET, Diane, 2013. "Multivariate volatility modeling of electricity futures," LIDAM Reprints CORE 2526, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Bauwens, L. & Hafner, C. & Pierret, D., 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers ISBA 2011013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • Bauwens, Luc & Hafner, Christian M. & Pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," SFB 649 Discussion Papers 2011-063, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Bekiros, Stelios D., 2013. "Irrational fads, short-term memory emulation, and asset predictability," Review of Financial Economics, Elsevier, vol. 22(4), pages 213-219.
  • Stelios D. Bekiros, 2013. "Irrational fads, short‐term memory emulation, and asset predictability," Review of Financial Economics, John Wiley & Sons, vol. 22(4), pages 213-219, November.
• Stefan Collignon & Piero Esposito & Hanna Lierse, 2013. "European Sovereign Bailouts, Political Risk And The Economic Consequences Of Mrs. Merkel," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 4(02), pages 1-25.
• Stefan Collignon & Piero Esposito & Hanna Lierse, 2013. "European Sovereign Bailouts, Political Risk And The Economic Consequences Of Mrs. Merkel," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 4(02), pages 1-25.
• Chow, Gregory C. & Liu, Changjiang & Niu, Linlin, 2011. "Co-movements of Shanghai and New York stock prices by time-varying regressions," Journal of Comparative Economics, Elsevier, vol. 39(4), pages 577-583.
  • Chow, Gregory C. & Liu, Changjiang & Niu, Linlin, 2011. "Co-movements of Shanghai and New York Stock prices by time-varying regressions," BOFIT Discussion Papers 16/2011, Bank of Finland Institute for Emerging Economies (BOFIT).
  • Gregory C Chow & Changjiang Liu & Linlin Niu, 2013. "Co-movements of Shanghai and New York Stock Prices by Time-varying Regressions," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
• Ming Lin & Changjiang Liu & Linlin Niu, 2013. "Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
• Peter Spencer, 2013. "The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models," Discussion Papers 13/22, Department of Economics, University of York.
• Korhonen, Iikka & Peresetsky, Anatoly, 2013. "Extracting global stochastic trend from non-synchronous data," BOFIT Discussion Papers 15/2013, Bank of Finland Institute for Emerging Economies (BOFIT).
• Gündüz, Yalin & Kaya, Orcun, 2013. "Sovereign default swap market efficiency and country risk in the eurozone," Discussion Papers 08/2013, Deutsche Bundesbank.
• Eder, Armin & Keiler, Sebastian & Pichl, Hannes, 2013. "Interest rate risk and the Swiss solvency test," Discussion Papers 41/2013, Deutsche Bundesbank.
• Bodnar, Taras & Hautsch, Nikolaus, 2012. "Copula-based dynamic conditional correlation multiplicative error processes," SFB 649 Discussion Papers 2012-044, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  • Bodnar, Taras & Hautsch, Nikolaus, 2013. "Copula-based dynamic conditional correlation multiplicative error processes," CFS Working Paper Series 2013/19, Center for Financial Studies (CFS).
• Lux, Thomas, 2013. "Exact solutions for the transient densities of continuous-time Markov switching models: With an application to the poisson multifractal model," Kiel Working Papers 1871, Kiel Institute for the World Economy (IfW Kiel).
• Bibinger, Markus & Mykland, Per A., 2013. "Inference for multi-dimensional high-frequency data: Equivalence of methods, central limit theorems, and an application to conditional independence testing," SFB 649 Discussion Papers 2013-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2015. "Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 263-290, March.
  • Hautsch, Nikolaus & Kyj, Lada. M. & Malec, Peter, 2013. "Do high-frequency data improve high-dimensional portfolio allocations?," SFB 649 Discussion Papers 2013-014, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Winkelmann, Lars, 2013. "Quantitative forward guidance and the predictability of monetary policy: A wavelet based jump detection approach," SFB 649 Discussion Papers 2013-016, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus, 2013. "Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency," SFB 649 Discussion Papers 2013-017, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Karl Härdle, Wolfgang & López-Cabrera, Brenda & Teng, Huei-Wen, 2015. "State price densities implied from weather derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 106-125.
  • Härdle, Wolfgang Karl & López-Cabrera, Brenda & Teng, Huei-wen, 2013. "State Price Densities implied from weather derivatives," SFB 649 Discussion Papers 2013-026, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Härdle, Wolfgang Karl & Huang, Li-shan, 2013. "Analysis of deviance in generalized partial linear models," SFB 649 Discussion Papers 2013-028, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Winkelmann, Lars & Bibinger, Markus & Linzert, Tobias, 2013. "ECB monetary policy surprises: Identification through cojumps in interest rates," SFB 649 Discussion Papers 2013-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Winkelmann, Lars & Bibinger, Markus & Linzert, Tobias, 2013. "ECB monetary policy surprises: identification through cojumps in interest rates," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79721, Verein für Socialpolitik / German Economic Association.
• Gribisch, Bastian, 2013. "A latent dynamic factor approach to forecasting multivariate stock market volatility," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79823, Verein für Socialpolitik / German Economic Association.
• Strohsal, Till & Weber, Enzo, 2013. "Identifying Volatility Signals from Time-Varying Simultaneous Stock Market Interaction," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79903, Verein für Socialpolitik / German Economic Association.
• Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar, 2013. "Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals," Energy Economics, Elsevier, vol. 40(C), pages 222-232.
  • Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar, 2013. "Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals," ZEW Discussion Papers 13-001 [rev.], ZEW - Leibniz Centre for European Economic Research.
  • Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar, 2013. "Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals," ZEW Discussion Papers 13-001, ZEW - Leibniz Centre for European Economic Research.
• Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar, 2013. "Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals," Energy Economics, Elsevier, vol. 40(C), pages 222-232.
  • Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar, 2013. "Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals," ZEW Discussion Papers 13-001, ZEW - Leibniz Centre for European Economic Research.
  • Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar, 2013. "Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals," ZEW Discussion Papers 13-001 [rev.], ZEW - Leibniz Centre for European Economic Research.
• Grassi, Stefano & Santucci de Magistris, Paolo, 2015. "It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 62-78.
  • Stefano Grassi & Paolo Santucci de Magistris, 2013. "It's all about volatility of volatility: evidence from a two-factor stochastic volatility model," Studies in Economics 1404, School of Economics, University of Kent.
  • Stefano Grassi & Paolo Santucci de Magistris, 2013. "It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model," CREATES Research Papers 2013-03, Department of Economics and Business Economics, Aarhus University.
• Sílvia Gonçalves & Ulrich Hounyo & Nour Meddahi, 2014. "Bootstrap Inference for Pre-averaged Realized Volatility based on Nonoverlapping Returns," Journal of Financial Econometrics, Oxford University Press, vol. 12(4), pages 679-707.
  • Sílvia Gonçalves & Ulrich Hounyo & Nour Meddahi, 2013. "Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns," CREATES Research Papers 2013-07, Department of Economics and Business Economics, Aarhus University.
• Daniela Osterrieder, 2013. "Interest Rates with Long Memory: A Generalized Affine Term-Structure Model," CREATES Research Papers 2013-17, Department of Economics and Business Economics, Aarhus University.
• Hounyo, Ulrich & Gonçalves, Sílvia & Meddahi, Nour, 2017. "Bootstrapping Pre-Averaged Realized Volatility Under Market Microstructure Noise," Econometric Theory, Cambridge University Press, vol. 33(4), pages 791-838, August.
  • Ulrich Hounyo & Sílvia Goncalves & Nour Meddahi, 2013. "Bootstrapping pre-averaged realized volatility under market microstructure noise," CREATES Research Papers 2013-28, Department of Economics and Business Economics, Aarhus University.
  • Goncalves, Silvia & Hounyo, Ulrich & Meddahi, Nour, 2017. "Bootstrapping Pre-Averaged Realized Volatility under Market Microstructure Noise," TSE Working Papers 17-809, Toulouse School of Economics (TSE).
  • Ulrich Hounyo & Silvia Gonçalves & Nour Meddahi, 2016. "Bootstrapping pre-averaged realized volatility under market microstructure noise," CIRANO Working Papers 2016s-25, CIRANO.
  • Goncalves, Silvia & Hounyo, Ulrich & Meddahi, Nour, 2017. "Bootstrapping Pre-Averaged Realized Volatility under Market Microstructure Noise," IDEI Working Papers 869, Institut d'Économie Industrielle (IDEI), Toulouse.
• Ulrich Hounyo, 2013. "Bootstrapping realized volatility and realized beta under a local Gaussianity assumption," CREATES Research Papers 2013-30, Department of Economics and Business Economics, Aarhus University.
• Torben G. Andersen & Oleg Bondarenko, 2013. "Assessing Measures of Order Flow Toxicity via Perfect Trade Classification," CREATES Research Papers 2013-43, Department of Economics and Business Economics, Aarhus University.
• Tatiana MANOLE & Sofia SCUTARI (ANGHEL), 2013. "Use Of The Macroeconomic Models In The Analysis Of The Balance Value," Economy and Sociology, The Journal Economy and Sociology, issue 2, pages 21-33.
• Tatiana MANOLE & Sofia SCUTARI (ANGHEL), 2013. "Use Of The Macroeconomic Models In The Analysis Of The Balance Value," Economy and Sociology, The Journal Economy and Sociology, issue 2, pages 21-33.
• Cândida Ferreira, 2013. "Banking Efficiency and European Financial Integration," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, vol. 59(2), pages 99-124.
• Baldi, Lucia & Peri, Massimo & Vandone, Daniela, 2013. "Clean Energy Industries and rare Earth Materials: Economic and Financial Issues," 2013 International European Forum, February 18-22, 2013, Innsbruck-Igls, Austria 164750, International European Forum on System Dynamics and Innovation in Food Networks.
• Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2015. "Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets," Journal of Econometrics, Elsevier, vol. 187(2), pages 557-579.
  • Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2013. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," Working Papers 1309, Queen's University, Department of Economics.
  • Cavaliere, Giuseppe & ßrregaard Nielsen, Morten & Taylor, A.M. Robert, 2013. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," Queen's Economics Department Working Papers 274634, Queen's University - Department of Economics.
  • Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2014. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," CREATES Research Papers 2014-22, Department of Economics and Business Economics, Aarhus University.
• Pujula, Aude Liliana & Zapata, Hector O., 2013. "Macroeconomic Aspects of Ghana's Export Performance," 2013 Annual Meeting, February 2-5, 2013, Orlando, Florida 143039, Southern Agricultural Economics Association.
• Almánzar, Miguel & Torero, Máximo & Grebmer, Klaus von, 2013. "Futures Commodities Prices and Media Coverage," Discussion Papers 149414, University of Bonn, Center for Development Research (ZEF).
  • Almanzar, Miguel & Torero, Maximo & von Grebmer, Klaus, 2014. "Futures Commodities Prices and Media Coverage," MPRA Paper 61327, University Library of Munich, Germany.
• Bücher, Axel & Jäschke, Stefan & Wied, Dominik, 2015. "Nonparametric tests for constant tail dependence with an application to energy and finance," Journal of Econometrics, Elsevier, vol. 187(1), pages 154-168.
  • Bucher, Axel & Jaschke, Stefan & Wied, Dominik, 2013. "Nonparametric tests for constant tail dependence with an application to energy and finance," LIDAM Discussion Papers ISBA 2013033, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• PIERRET, Diane, 2013. "The systemic risk of energy markets," LIDAM Discussion Papers CORE 2013018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Pierret, D., 2013. "The systemic risk of energy markets," LIDAM Discussion Papers ISBA 2013061, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Adela Socol & Adina Elena DănuleÅ£iu, 2013. "Analysis Of The Romanian Banks' Performance Through Roa, Roe And Non-Performing Loans Models," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 2(15), pages 1-24.
• Mihaela NICOLAU & Giulio PALOMBA & Ilaria TRAINI, 2013. "Are Futures Prices Influenced by Spot;Prices or Vice-versa? An Analysis of Crude;Oil, Natural Gas and Gold Markets," Working Papers 394, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
• João F. Caldeira, 2013. "Arbitragem Estatística, Estratégia Long-Short Pairs Trading, Abordagem com Cointegração Aplicada ao Mercado de Ações Brasileiro," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 14(1b), pages 521-546.
• Baldovin, Fulvio & Caporin, Massimiliano & Caraglio, Michele & Stella, Attilio L. & Zamparo, Marco, 2015. "Option pricing with non-Gaussian scaling and infinite-state switching volatility," Journal of Econometrics, Elsevier, vol. 187(2), pages 486-497.
  • Fulvio Baldovin & Massimiliano Caporin & Michele Caraglio & Attilio Stella & Marco Zamparo, 2013. "Option pricing with non-Gaussian scaling and infinite-state switching volatility," Papers 1307.6322, arXiv.org, revised May 2014.
• Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2016. "Gold, oil, and stocks: Dynamic correlations," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 186-201.
  • Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2013. "Gold, Oil, and Stocks," Papers 1308.0210, arXiv.org, revised Mar 2014.
  • Jozef Baruník & Evžen Kocenda & Lukáš Vácha, 2015. "Gold, Oil, and Stocks: Dynamic Correlations," CESifo Working Paper Series 5333, CESifo.
  • Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2014. "Gold, Oil, and Stocks," FinMaP-Working Papers 14, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2016. "Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers," Journal of Financial Markets, Elsevier, vol. 27(C), pages 55-78.
  • Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2013. "Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?," Papers 1308.1221, arXiv.org, revised Jul 2014.
  • Jozef Baruník & Evžen Kocenda & Lukáš Vácha, 2015. "Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover," CESifo Working Paper Series 5305, CESifo.
  • Barunik, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2014. "Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?," FinMaP-Working Papers 13, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Selma Chaker, 2013. "Volatility and Liquidity Costs," Staff Working Papers 13-29, Bank of Canada.
• Selma Chaker & Nour Meddahi, 2013. "Volatility Forecasting when the Noise Variance Is Time-Varying," Staff Working Papers 13-48, Bank of Canada.
• Selma Chaker & Nour Meddahi, 2013. "A Distributional Approach to Realized Volatility," Staff Working Papers 13-49, Bank of Canada.
• Doruk KUCUKSARAC & Ozgur OZEL, 2013. "The Overnight Currency Swap Rates and ISE Overnight Repo Rates," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 7(2), pages 37-53.
• Emma Berenguer & Ricardo Gimeno & Juan M. Nave, 2013. "Term structure estimation, liquidity-induced heteroskedasticity and the price of liquidity risk," Working Papers 1308, Banco de España.
• Hamann-Salcedo, Franz Alonso & Mejía, Luis Fernando & Rodríguez-Niño, Norberto, 2013. "Flujos de capitales y crecimiento en Colombia : estimación y perspectivas," Chapters, in: Rincón-Castro, Hernán & Velasco, Andrés M. (ed.), Flujos de capitales, choques externos y respuestas de política en países emergentes, chapter 6, pages 237-260, Banco de la Republica de Colombia.
• Vasile Cocris & Anca Elena Nucu, 2013. "Monetary policy and financial stability: empirical evidence from Central and Eastern European countries," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 13(1), pages 75-98, July.
• Santiago García-Verdú & Manuel Ramos-Francia, 2014. "Interventions and Expected Exchange Rates in Emerging Market Economies," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-34.
  • Santiago García-Verdú & Manuel Ramos-Francia, 2013. "Interventions and expected exchange rates in emerging market economies," BIS Papers chapters, in: Bank for International Settlements (ed.), Sovereign risk: a world without risk-free assets?, volume 73, pages 223-242, Bank for International Settlements.
  • García-Verdú Santiago & Ramos Francia Manuel, 2014. "Interventions and Expected Exchange Rates in Emerging Market Economies," Working Papers 2014-11, Banco de México.
• Bucevska Vesna, 2013. "An Empirical Evaluation of GARCH Models in Value-at-Risk Estimation: Evidence from the Macedonian Stock Exchange," Business Systems Research, Sciendo, vol. 4(1), pages 49-64, March.
• Corrado Macchiarelli, 2013. "On the Joint Test of the Uncovered Interest Parity and the Ex-ante Purchasing Power Parity," Review of International Economics, Wiley Blackwell, vol. 21(3), pages 519-535, August.
  • Macchiarelli, Corrado, 2011. "A VAR analysis for the uncovered interest parity and the ex-ante purchasing power parity: the role of macroeconomic and financial information," Working Paper Series 1404, European Central Bank.
• Martin Andreasen & Andrew Meldrum, 2013. "Likelihood inference in non-linear term structure models: the importance of the lower bound," Bank of England working papers 481, Bank of England.
• Korhonen, Iikka & Peresetsky, Anatoly, 2013. "Extracting global stochastic trend from non-synchronous data," BOFIT Discussion Papers 15/2013, Bank of Finland, Institute for Economies in Transition.
• Stavros Degiannakis & Timotheos Angelidis & George Filis, 2013. "Oil price shocks and volatility do predict stock market regimes," Working Papers 170, Bank of Greece.
• Burc Ulengin & M. Banu Yobas, 2013. "Effects of Horizontal M&As on Trading Volume of Stock Exchanges," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 13(52), pages 38-58, April.
• Aloy Marcel & Dufrénot Gilles & Tong Charles Lai & Peguin-Feissolle Anne, 2013. "A smooth transition long-memory model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(3), pages 281-296, May.
  • Marcel Aloy & Gilles Dufrénot & Charles Lai Tong & Anne Péguin-Feissolle, 2012. "A Smooth Transition Long-Memory Model," AMSE Working Papers 1240, Aix-Marseille School of Economics, France, revised Dec 2012.
  • Marcel Aloy & Gilles Dufrénot & Charles Lai-Tong & Anne Peguin-Feissolle, 2013. "A smooth transition long-memory model," Post-Print hal-01498270, HAL.
  • Marcel Aloy & Gilles Dufrenot & Charles Lai-Tong & Anne Peguin-Feissolle, 2012. "A Smooth Transition Long-Memory Model," Working Papers halshs-00793680, HAL.
• Ito, Ryoko, 2013. "Modeling Dynamic Diurnal Patterns in High-Frequency Financial Data," Cambridge Working Papers in Economics 1315, Faculty of Economics, University of Cambridge.
• Kelly, Robert & McQuinn, Kieran, 2013. "On the hook for impaired bank lending: Do sovereign-bank inter-linkages affect the fiscal multiplier?," Research Technical Papers 01/RT/13, Central Bank of Ireland.
• Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2012. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," JRFM, MDPI, vol. 5(1), pages 1-37, December.
  • Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," Documentos de Trabajo del ICAE 2013-06, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Jan 2013.
  • Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013. "Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," Working Papers in Economics 13/07, University of Canterbury, Department of Economics and Finance.
  • Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," Tinbergen Institute Discussion Papers 13-024/III, Tinbergen Institute.
  • Chang, C-L. & Chen, C-C. & McAleer, M.J. & Chen, P-Y., 2013. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," Econometric Institute Research Papers EI 2013-04, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013. "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," KIER Working Papers 844, Kyoto University, Institute of Economic Research.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about DCC," Tinbergen Institute Discussion Papers 13-048/III, Tinbergen Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Working Papers in Economics 13/16, University of Canterbury, Department of Economics and Finance.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Documentos de Trabajo del ICAE 2013-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," KIER Working Papers 854, Kyoto University, Institute of Economic Research.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About DCC," Econometric Institute Research Papers EI 2013-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know about the Dynamic Conditional Correlation Representation," Econometrics, MDPI, vol. 1(1), pages 1-12, June.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about the Dynamic Conditional Correlation Representation," Tinbergen Institute Discussion Papers 13-078/III, Tinbergen Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Working Papers in Economics 13/21, University of Canterbury, Department of Economics and Finance.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Econometric Institute Research Papers EI 2013-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Documentos de Trabajo del ICAE 2013-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," KIER Working Papers 870, Kyoto University, Institute of Economic Research.
• Chia-Lin Chang & David E. Allen & Michael McAleer & Ju-Ting Tang & Teodosio Pérez Amaral, 2013. "Risk Modelling and Management: An Overview," Documentos de Trabajo del ICAE 2013-22, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral, 2013. "Risk Modeling and Management: An Overview," Working Papers in Economics 13/22, University of Canterbury, Department of Economics and Finance.
  • Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral, 2013. "Risk Modelling and Management: An Overview," Tinbergen Institute Discussion Papers 13-085/III, Tinbergen Institute, revised 08 Jul 2013.
  • Chang, C-L. & Allen, D.E. & McAleer, M.J. & Pérez-Amaral, T., 2013. "Risk Modelling and Management: An Overview," Econometric Institute Research Papers EI 2013-22, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral, 2013. "Risk Modelling and Management: An Overview," KIER Working Papers 872, Kyoto University, Institute of Economic Research.
• Melvin, Michael & Prins, John & Shand, Duncan, 2013. "Forecasting Exchange Rates: an Investor Perspective," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 721-750, Elsevier.
  • Michael Melvin & John Prins & Duncan Shand, 2013. "Forecasting Exchange Rates: An Investor Perspective," CESifo Working Paper Series 4238, CESifo.
• Marc Gronwald, 2013. "Explosive Oil Prices," CESifo Working Paper Series 4376, CESifo.
• Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013. "The Micro Dynamics of Macro Announcements," CESifo Working Paper Series 4421, CESifo.
• Bardgett, Chris & Gourier, Elise & Leippold, Markus, 2019. "Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets," Journal of Financial Economics, Elsevier, vol. 131(3), pages 593-618.
  • Chris Bardgett & Elise Gourier & Markus Leippold, 2013. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets," Swiss Finance Institute Research Paper Series 13-40, Swiss Finance Institute, revised Dec 2016.
  • Chris Bardgett & Elise Gourier & Markus Leippold, 2016. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets," Working Papers 780, Queen Mary University of London, School of Economics and Finance.
• Lanwenjing Yin & Kanchana Chokethaworn & Chukiat Chaiboonsri, 2013. "Dependence structure analysis between stock index futures and spot markets in the case of the “Golden week” effect," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, vol. 2(4), pages 75-86, December.
• Theo Berger, 2013. "Forecasting value-at-risk using time varying copulas and EVT return distributions," International Economics, CEPII research center, issue 133, pages 93-106.
• Narcisa Kadlcakova & Lubos Komarek & Zlatuse Komarkova & Michal Hlavacek, 2016. "Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(11), pages 2595-2609, November.
  • Narcisa Kadlcakova & Lubos Komarek & Zlatuse Komarkova & Michal Hlavacek, 2013. "Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory," Working Papers 2013/14, Czech National Bank, Research and Statistics Department.
• Julio César Alonso & Andr�s Mauricio Arcila, 2013. "Empleo del comportamiento estacional para mejorar el pronóstico de un commodity: el caso del mercado internacional del azúcar," Estudios Gerenciales, Universidad Icesi.
• Fabián Enrique Salazar Villano, 2013. "Cuantificación del riesgo de incumplimiento en créditos de libre inversión: un ejercicio econométrico para una entidad bancaria del municipio de Popayán, Colombia," Estudios Gerenciales, Universidad Icesi.
• Jorge Mario Uribe Gil, 2013. "Testing for multiple bubbles with daily data," Documentos de Trabajo 11028, Universidad del Valle, CIDSE.
• L. Bauwens & E. Otranto, 2013. "Modeling the Dependence of Conditional Correlations on Volatility," Working Paper CRENoS 201304, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  • BAUWENS, Luc & otranto, EDOARDO, 2013. "Modeling the dependence of conditional correlations on volatility," LIDAM Discussion Papers CORE 2013014, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Pierret, D., 2013. "The systemic risk of energy markets," LIDAM Discussion Papers ISBA 2013061, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • PIERRET, Diane, 2013. "The systemic risk of energy markets," LIDAM Discussion Papers CORE 2013018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Luc Bauwens & Christian M. Hafner & Diane Pierret, 2013. "Multivariate Volatility Modeling Of Electricity Futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 743-761, August.
  • Bauwens, L. & Hafner, C. & Pierret, D., 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers ISBA 2011013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • BAUWENS, Luc & HAFNER, Christian M. & PIERRET, Diane, 2013. "Multivariate volatility modeling of electricity futures," LIDAM Reprints CORE 2526, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Bauwens, Luc & Hafner, Christian M. & Pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," SFB 649 Discussion Papers 2011-063, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  • BAUWENS, Luc & HAFNER, Christian & pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers CORE 2011011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Joanna Olbrys, 2013. "Asymmetric impact of innovations on volatility in the case of the US and CEEC-3 markets: EGARCH based approach," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 13, pages 33-50.
• Malgorzata Doman & Ryszard Doman, 2013. "The Dynamics and Strength of Linkages between the Stock Markets in the Czech Republic, Hungary and Poland after their EU Accession," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 13, pages 5-32.
• Eric Ghysels & Julien Idier & Simone Manganelli & Olivier Vergote, 2017. "A High-Frequency assessment of the ECB Securities Markets Programme," Journal of the European Economic Association, European Economic Association, vol. 15(1), pages 218-243.
  • Ghysels, Eric & Manganelli, Simone & , & Idier, Julien, 2013. "A high frequency assessment of the ECB Securities Markets Programme," CEPR Discussion Papers 9778, C.E.P.R. Discussion Papers.
  • Manganelli, Simone & Idier, Julien & Vergote, Olivier & Ghysels, Eric, 2014. "A high frequency assessment of the ECB securities markets programme," Working Paper Series 1642, European Central Bank.
• Sucarrat, Genaro & Escribano, Alvaro, 2013. "Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns," MPRA Paper 50699, University Library of Munich, Germany.
  • Sucarrat, Genaro & Escribano, Álvaro, 2013. "Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns," UC3M Working papers. Economics we1321, Universidad Carlos III de Madrid. Departamento de Economía.
• Boswijk, H. P. & Zu, Y., 2013. "Testing for Cointegration with Nonstationary Volatility," Working Papers 13/08, Department of Economics, City University London.
• Riadh Aloui & Mohamed Safouane Ben Aissa & Duc Khuong Nguyen, 2013. "A wavelet-based copula approach for modeling market risk in agricultural commodity markets," Working Papers 04, Development and Policies Research Center (DEPOCEN), Vietnam.
• Henri Audigé, 2013. "A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis," EconomiX Working Papers 2013-2, University of Paris Nanterre, EconomiX.
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• Uctum, Remzi & Renou-Maissant, Patricia & Prat, Georges & Lecarpentier-Moyal, Sylvie, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Review of Financial Economics, Elsevier, vol. 35(C), pages 43-56.
  • Remzi Uctum & Patricia Renou‐Maissant & Georges Prat & Sylvie Lecarpentier‐Moyal, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Review of Financial Economics, John Wiley & Sons, vol. 35(1), pages 43-56, November.
  • Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," EconomiX Working Papers 2013-36, University of Paris Nanterre, EconomiX.
  • Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Erudite Working Paper 2013-05, Erudite.
  • Sylvie Lecarpentier Moyal & Georges Prat & Patricia Renou Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Working Papers 2013-27, Department of Research, Ipag Business School.
  • Remzi Uctum & Patricia Renou-Maissant & Georges Prat & Sylvie Lecarpentier-Moyal, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Post-Print halshs-02080313, HAL.
  • Georges Prat & Remzi Uctum & Sylvie Lecarpentier-Moyal & Patricia Renou-Maissant, 2014. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Post-Print hal-01638222, HAL.
  • Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2014. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Post-Print hal-01411783, HAL.
• Niccolò Battistini & Marco Pagano & Saverio Simonelli, 2013. "Systemic Risk and Home Bias in the Euro Area," European Economy - Economic Papers 2008 - 2015 494, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
• Radovan Parrák, 2013. "The Economic Valuation of Variance Forecasts: An Artificial Option Market Approach," Working Papers IES 2013/09, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2013.
• Frank Schorfheide & Dongho Song & Amir Yaron, 2018. "Identifying Long‐Run Risks: A Bayesian Mixed‐Frequency Approach," Econometrica, Econometric Society, vol. 86(2), pages 617-654, March.
  • Dongho Song & Amir Yaron & Frank Schorfheide, 2013. "Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach," 2013 Meeting Papers 580, Society for Economic Dynamics.
  • Frank Schorfheide & Dongho Song & Amir Yaron, 2013. "Identifying long-run risks: a bayesian mixed-frequency approach," Working Papers 13-39, Federal Reserve Bank of Philadelphia.
  • Frank Schorfheide & Dongho Song & Amir Yaron, 2014. "Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach," NBER Working Papers 20303, National Bureau of Economic Research, Inc.
• Gianluca Stefani & Marco Tiberti, 2013. "Textbook Estimators of Multiperiod Optimal Hedging Ratios: Methodological Aspects and Application to the European Wheat Market," Working Papers - Economics wp2013_29.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
• Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know about the Dynamic Conditional Correlation Representation," Econometrics, MDPI, vol. 1(1), pages 1-12, June.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about the Dynamic Conditional Correlation Representation," Tinbergen Institute Discussion Papers 13-078/III, Tinbergen Institute.
  • Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Econometric Institute Research Papers EI 2013-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Documentos de Trabajo del ICAE 2013-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Working Papers in Economics 13/21, University of Canterbury, Department of Economics and Finance.
  • Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," KIER Working Papers 870, Kyoto University, Institute of Economic Research.
• Julien Chevallier & Mathieu Gatumel & Florian Ielpo, 2013. "Understanding momentum in commodity markets," Applied Economics Letters, Taylor & Francis Journals, vol. 20(15), pages 1383-1402, October.
  • Mathieu Gatumel & Florian Ielpo, 2013. "Understanding momentum in commodity markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00947001, HAL.
• Dominique Guegan & Bertrand K. Hassani & Xin Zhao, 2013. "Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institution Investment Decisions," Documents de travail du Centre d'Economie de la Sorbonne 13034, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Dominique Guegan & Bertrand Hassani & Xin Zhao, 2013. "Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institutions Investment Decisions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00820839, HAL.
• Jouvet, Pierre-André & Solier, Boris, 2013. "An overview of CO2 cost pass-through to electricity prices in Europe," Energy Policy, Elsevier, vol. 61(C), pages 1370-1376.
  • Boris Solier & Pierre-André Jouvet, 2011. "An overview of CO2 cost pass-through to electricity prices in Europe," Working Papers 1108, Chaire Economie du climat.
  • Pierre-André Jouvet & Boris Solier, 2013. "An overview of CO2 cost pass-through to electricity prices in Europe," Post-Print hal-01385884, HAL.
• de Truchis, Gilles, 2013. "Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue," Economic Modelling, Elsevier, vol. 34(C), pages 98-105.
  • Gilles de Truchis, 2012. "Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue," AMSE Working Papers 1220, Aix-Marseille School of Economics, France.
  • Gilles de Truchis, 2013. "Approximate whittle analysis of fractional cointegration and the stock market synchronization issue," Post-Print hal-01410658, HAL.
  • Gilles Truchis, 2013. "Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue," Post-Print hal-01498262, HAL.
  • Gilles de Truchis, 2012. "Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue," Working Papers halshs-00793220, HAL.
• de Truchis, Gilles, 2013. "Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue," Economic Modelling, Elsevier, vol. 34(C), pages 98-105.
  • Gilles de Truchis, 2012. "Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue," AMSE Working Papers 1220, Aix-Marseille School of Economics, France.
  • Gilles De Truchis, 2013. "Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue," Post-Print hal-01498262, HAL.
  • Gilles de Truchis, 2012. "Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue," Working Papers halshs-00793220, HAL.
• Aloy Marcel & Dufrénot Gilles & Tong Charles Lai & Peguin-Feissolle Anne, 2013. "A smooth transition long-memory model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(3), pages 281-296, May.
  • Marcel Aloy & Gilles Dufrénot & Charles Lai Tong & Anne Péguin-Feissolle, 2012. "A Smooth Transition Long-Memory Model," AMSE Working Papers 1240, Aix-Marseille School of Economics, France, revised Dec 2012.
  • Marcel Aloy & Gilles Dufrénot & Charles Lai-Tong & Anne Peguin-Feissolle, 2013. "A smooth transition long-memory model," Post-Print hal-01498270, HAL.
  • Marcel Aloy & Gilles Dufrenot & Charles Lai-Tong & Anne Peguin-Feissolle, 2012. "A Smooth Transition Long-Memory Model," Working Papers halshs-00793680, HAL.
• Girardin, Eric & Joyeux, Roselyne, 2013. "Macro fundamentals as a source of stock market volatility in China: A GARCH-MIDAS approach," Economic Modelling, Elsevier, vol. 34(C), pages 59-68.
  • Eric Girardin & Roselyne Joyeux, 2013. "Macro fundamentals as a source of stock market volatility in China: A GARCH-MIDAS approach," Post-Print hal-01499615, HAL.
• Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Computational Economics, Springer;Society for Computational Economics, vol. 41(2), pages 249-265, February.
  • Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Working Papers halshs-00793203, HAL.
  • Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Post-Print hal-01499630, HAL.
  • Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," AMSE Working Papers 1214, Aix-Marseille School of Economics, France.
• Banerjee, Anurag N. & Chevillon, Guillaume & Kratz, Marie, 2013. "Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model," ESSEC Working Papers WP1314, ESSEC Research Center, ESSEC Business School.
  • Anurag Narayan Banerjee & Guillaume Chevillon & Marie Kratz, 2013. "Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model," Working Papers hal-00870795, HAL.
• Brännäs, Kurt, 2013. "The Number of Traded Shares: A Time Series Modelling Approach," Umeå Economic Studies 860, Umeå University, Department of Economics.
• Kurozumi, Eiji & Aono, Kohei, 2013. "Estimation And Inference In Predictive Regressions," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 54(2), pages 231-250, December.
  • Eiji Kurozumi & Kohei Aono, 2011. "Estimation and Inference in Predictive Regressions," Global COE Hi-Stat Discussion Paper Series gd11-192, Institute of Economic Research, Hitotsubashi University.
• Matthias Bauer, 2013. "Political Aversion To a Multilateral Fiscal Rule: The Dynamic Commitment Problem in European Fiscal Governance," Global Financial Markets Working Paper Series 44-2013, Friedrich-Schiller-University Jena.
• Markus Bibinger & Per A. Mykland, 2013. "Inference for Multi-Dimensional High-Frequency Data: Equivalence of Methods, Central Limit Theorems, and an Application to Conditional Independence Testing," SFB 649 Discussion Papers SFB649DP2013-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Yan Fan & Wolfgang Karl Härdle & Weining Wang & Lixing Zhu, 2013. "Composite Quantile Regression for the Single-Index Model," SFB 649 Discussion Papers SFB649DP2013-010, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2015. "Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 263-290, March.
  • Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2013. "Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?," SFB 649 Discussion Papers SFB649DP2013-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Lars Winkelmann, 2013. "Quantitative forward guidance and the predictability of monetary policy - A wavelet based jump detection approach -," SFB 649 Discussion Papers SFB649DP2013-016, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2013. "Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency," SFB 649 Discussion Papers SFB649DP2013-017, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Karl Härdle, Wolfgang & López-Cabrera, Brenda & Teng, Huei-Wen, 2015. "State price densities implied from weather derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 106-125.
  • Wolfgang Karl Härdle & Brenda López-Cabrera & Huei-Wen Teng, 2013. "State Price Densities implied from weather derivatives," SFB 649 Discussion Papers SFB649DP2013-026, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Wolgang Karl Härdle & Li-Shan Huang, 2013. "Analysis of Deviance in Generalized Partial Linear Models," SFB 649 Discussion Papers SFB649DP2013-028, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Lars winkelmann & Markus Bibinger & Tobias Linzert, 2013. "ECB monetary policy surprises: identification through cojumps in interest rates," SFB 649 Discussion Papers SFB649DP2013-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

2012

• Matt P. Dziubinski, 2012. "Conditionally-uniform Feasible Grid Search Algorithm," CREATES Research Papers 2012-03, Department of Economics and Business Economics, Aarhus University.
• Christiansen, Charlotte, 2014. "Integration of European bond markets," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 191-198.
  • Charlotte Christiansen, 2012. "Integration of European Bond Markets," CREATES Research Papers 2012-33, Department of Economics and Business Economics, Aarhus University.
• Daniela Osterrieder & Peter C. Schotman, 2012. "The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums," CREATES Research Papers 2012-35, Department of Economics and Business Economics, Aarhus University.
• Rasmus S. Pedersen & Anders Rahbek, 2014. "Multivariate variance targeting in the BEKK–GARCH model," Econometrics Journal, Royal Economic Society, vol. 17(1), pages 24-55, February.
  • Rasmus Søndergaard Pedersen & Anders Rahbek, 2012. "Multivariate Variance Targeting in the BEKK-GARCH Model," Discussion Papers 12-23, University of Copenhagen. Department of Economics.
  • Rasmus Søndergaard Pedersen & Anders Rahbek, 2012. "Multivariate Variance Targeting in the BEKK-GARCH Model," CREATES Research Papers 2012-53, Department of Economics and Business Economics, Aarhus University.
• Pierpaolo Benigno & Salvatore Nisticò, 2012. "International Portfolio Allocation under Model Uncertainty," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(1), pages 144-189, January.
  • Pierpaolo Benigno & Salvatore Nisticò, 2009. "International Portfolio Allocation under Model Uncertainty," NBER Working Papers 14734, National Bureau of Economic Research, Inc.
• Stephen Gilmore & Fumio Hayashi, 2012. "Corrigendum: Emerging Market Currency Excess Returns," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(1), pages 283-283, January.
• Yacine Aït-Sahalia & Jean Jacod, 2012. "Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data," Journal of Economic Literature, American Economic Association, vol. 50(4), pages 1007-1050, December.
  • Yacine Aït-Sahalia & Jean Jacod, 2010. "Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data," NBER Working Papers 15808, National Bureau of Economic Research, Inc.
• Schmitz, Jochen & Ledebur, Oliver von, 2012. "The 2007 emerging corn price surge revisited – Was it expected or a large surprise?," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 123971, International Association of Agricultural Economists.
• Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Computational Economics, Springer;Society for Computational Economics, vol. 41(2), pages 249-265, February.
  • Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Working Papers halshs-00793203, HAL.
  • Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Post-Print hal-01499630, HAL.
  • Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," AMSE Working Papers 1214, Aix-Marseille School of Economics, France.
• Marcel Aloy & Gilles de Truchis, 2012. "Estimation and Testing for Fractional Cointegration," Working Papers halshs-00793206, HAL.
  • Marcel Aloy & Gilles de Truchis, 2012. "Estimation and Testing for Fractional Cointegration," AMSE Working Papers 1215, Aix-Marseille School of Economics, France.
• de Truchis, Gilles, 2013. "Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue," Economic Modelling, Elsevier, vol. 34(C), pages 98-105.
  • Gilles de Truchis, 2012. "Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue," Working Papers halshs-00793220, HAL.
  • Gilles de Truchis, 2012. "Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue," AMSE Working Papers 1220, Aix-Marseille School of Economics, France.
  • Gilles De Truchis, 2013. "Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue," Post-Print hal-01498262, HAL.
• Aloy Marcel & Dufrénot Gilles & Tong Charles Lai & Peguin-Feissolle Anne, 2013. "A smooth transition long-memory model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(3), pages 281-296, May.
  • Marcel Aloy & Gilles Dufrenot & Charles Lai-Tong & Anne Peguin-Feissolle, 2012. "A Smooth Transition Long-Memory Model," Working Papers halshs-00793680, HAL.
  • Marcel Aloy & Gilles Dufrénot & Charles Lai-Tong & Anne Peguin-Feissolle, 2013. "A smooth transition long-memory model," Post-Print hal-01498270, HAL.
  • Marcel Aloy & Gilles Dufrénot & Charles Lai Tong & Anne Péguin-Feissolle, 2012. "A Smooth Transition Long-Memory Model," AMSE Working Papers 1240, Aix-Marseille School of Economics, France, revised Dec 2012.
• Lucian Buse & Silviu-Valentin Carstina, 2012. "Profitability And Risk Analysis In The Metallurgical Industry Leading Companies In Romania," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 3(40), pages 5-16.
• Bauwens, L. & Hafner C. & Laurent, S., 2011. "Volatility Models," LIDAM Discussion Papers ISBA 2011044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • Bauwens, L. & Hafner, C. & Laurent, S., 2012. "Volatility Models," LIDAM Reprints ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," LIDAM Discussion Papers CORE 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Filip Žikeš & Jozef Baruník & Nikhil Shenai, 2017. "Modeling and forecasting persistent financial durations," Econometric Reviews, Taylor & Francis Journals, vol. 36(10), pages 1081-1110, November.
  • Filip Zikes & Jozef Barunik & Nikhil Shenai, 2012. "Modeling and Forecasting Persistent Financial Durations," Papers 1208.3087, arXiv.org, revised Apr 2013.
  • Zikes, Filip & Barunik, Jozef & Shenai, Nikhil, 2015. "Modeling and forecasting persistent financial durations," FinMaP-Working Papers 36, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Conrad, Christian & Loch, Karin & Rittler, Daniel, 2012. "On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation," Working Papers 0525, University of Heidelberg, Department of Economics.
• Christian Conrad & Karin Loch, 2015. "Anticipating Long‐Term Stock Market Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(7), pages 1090-1114, November.
  • Conrad, Christian & Loch, Karin, 2012. "Anticipating Long-Term Stock Market Volatility," Working Papers 0535, University of Heidelberg, Department of Economics.
• Sebastian Missio, 2012. "Government bond market integration and the EMU: Correlation based evidence," Working Papers 125, Bavarian Graduate Program in Economics (BGPE).
• Caio Almeida & Kym Ardison & Daniela Kubudi & Axel Simonsen & José Vicente, 2018. "Forecasting Bond Yields with Segmented Term Structure Models," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 1-33.
  • Caio Almeida & Axel Simonsen & José Valentim Vicente, 2012. "Forecasting Bond Yields with Segmented Term Structure Models," Working Papers Series 288, Central Bank of Brazil, Research Department.
• Michele Leonardo Bianchi, 2012. "An empirical comparison of alternative credit default swap pricing models," Temi di discussione (Economic working papers) 882, Bank of Italy, Economic Research and International Relations Area.
• Ippei Fujiwara & Koji Takahashi, 2012. "Asian Financial Linkage: Macro‐Finance Dissonance," Pacific Economic Review, Wiley Blackwell, vol. 17(1), pages 136-159, February.
  • Ippei Fujiwara & Koji Takahashi, 2011. "Asian financial linkage: macro-finance dissonance," Globalization Institute Working Papers 92, Federal Reserve Bank of Dallas.
  • Ippei Fujiwara & Koji Takahashi, 2011. "Asian Financial Linkage: Macro-Finance Dissonance," Bank of Japan Working Paper Series 11-E-6, Bank of Japan.
• Hanousek Jan & Kočenda Evžen & Novotný Jan, 2012. "The identification of price jumps," Monte Carlo Methods and Applications, De Gruyter, vol. 18(1), pages 53-77, January.
  • Jan Hanousek & Evzen Kocenda & Jan Novotny, 2011. "The Identification of Price Jumps," CERGE-EI Working Papers wp434, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Alethea Rea & William Rea & Marco Reale & Carl Scarrott, 2012. "A comparison of Spillover Effects before, during and after the 2008 Financial Crisis," Working Papers in Economics 12/03, University of Canterbury, Department of Economics and Finance.
• Oliver Grothe & Volodymyr Korniichuk & Hans Manner, 2012. "Modeling Multivariate Extreme Events Using Self-Exciting Point Processes," Cologne Graduate School Working Paper Series 03-06, Cologne Graduate School in Management, Economics and Social Sciences, revised 20 Jun 2013.
• Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
• Carlos Castro & Juan Sebastian Ordonez, 2012. "A Network model of systemic risk: identifying the sources of dependence across institutions," Documentos de Trabajo 9651, Universidad del Rosario.
• Claudia Sepúlveda Rivillas & Walter Reina Guti�rrez & Juan Carlos Guti�rrez Betancur, 2012. "Estimación del riesgo de crédito en empresas del sector real en Colombia," Estudios Gerenciales, Universidad Icesi.
• Jorge Mario Uribe Gil & Inés Maria Ulloa Villegas, 2012. "La medición del riesgo en eventos extremos. Una revisión metodológica en contexto," Revista Lecturas de Economía, Universidad de Antioquia, CIE.
• BAUWENS, Luc & STORTI, Giuseppe, 2012. "Computationally efficient inference procedures for vast dimensional realized covariance models," LIDAM Discussion Papers CORE 2012028, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • BAUWENS, Luc & STORTI, Giuseppe, 2013. "Computationally efficient inference procedures for vast dimensional realized covariance models," LIDAM Reprints CORE 2469, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• DUFAYS, Arnaud, 2012. "Infinite-state Markov-switching for dynamic volatility and correlation models," LIDAM Discussion Papers CORE 2012043, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• BAUWENS, Luc & STORTI, Giuseppe & VIOLANTE, Francesco, 2012. "Dynamic conditional correlation models for realized covariance matrices," LIDAM Discussion Papers CORE 2012060, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2012. "Sources of Risk in Currency Returns," CEPR Discussion Papers 8745, C.E.P.R. Discussion Papers.
• Gonzalo, Jesús & Taamouti, Abderrahim, 2011. "The reaction of stock market returns to anticipated unemployment," UC3M Working papers. Economics we1145, Universidad Carlos III de Madrid. Departamento de Economía.
  • Gonzalo, Jesús & Taamouti, Abderrahim, 2012. "The reaction of stock market returns to anticipated unemployment," UC3M Working papers. Economics we1237, Universidad Carlos III de Madrid. Departamento de Economía.
• Deschamps, Philippe J., 2012. "Bayesian estimation of generalized hyperbolic skewed student GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3035-3054.
• Bravo, Francesco & Crudu, Federico, 2012. "Efficient bootstrap with weakly dependent processes," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3444-3458.
  • Francesco Bravo & Federico Crudu, 2012. "Efficient bootstrap with weakly dependent processes," Discussion Papers 12/08, Department of Economics, University of York.
• Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012. "Futures basis, inventory and commodity price volatility: An empirical analysis," Economic Modelling, Elsevier, vol. 29(6), pages 2651-2663.
  • Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012. "Futures basis, inventory and commodity price volatility: An empirical analysis," MPRA Paper 39903, University Library of Munich, Germany.
• van Oordt, Maarten R.C. & Zhou, Chen, 2012. "The simple econometrics of tail dependence," Economics Letters, Elsevier, vol. 116(3), pages 371-373.
• Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2012. "The conditional autoregressive Wishart model for multivariate stock market volatility," Journal of Econometrics, Elsevier, vol. 167(1), pages 211-223.
  • Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2010. "The conditional autoregressive wishart model for multivariate stock market volatility," Economics Working Papers 2010-07, Christian-Albrechts-University of Kiel, Department of Economics.
• West, Kenneth D., 2012. "Econometric analysis of present value models when the discount factor is near one," Journal of Econometrics, Elsevier, vol. 171(1), pages 86-97.
  • Kenneth D. West, 2012. "Econometric Analysis of Present Value Models When the Discount Factor Is near One," NBER Working Papers 18247, National Bureau of Economic Research, Inc.
• Hoogerheide, Lennart & Opschoor, Anne & van Dijk, Herman K., 2012. "A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation," Journal of Econometrics, Elsevier, vol. 171(2), pages 101-120.
  • Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk, 2012. "A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation," Tinbergen Institute Discussion Papers 12-026/4, Tinbergen Institute.
• Maneesoonthorn, Worapree & Martin, Gael M. & Forbes, Catherine S. & Grose, Simone D., 2012. "Probabilistic forecasts of volatility and its risk premia," Journal of Econometrics, Elsevier, vol. 171(2), pages 217-236.
  • Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes & Simone Grose, 2010. "Probabilistic Forecasts of Volatility and its Risk Premia," Monash Econometrics and Business Statistics Working Papers 22/10, Monash University, Department of Econometrics and Business Statistics.
• Mun, Melissa & Brooks, Robert, 2012. "The roles of news and volatility in stock market correlations during the global financial crisis," Emerging Markets Review, Elsevier, vol. 13(1), pages 1-7.
• Mendes, Beatriz Vaz de Melo & Marques, Daniel S., 2012. "Choosing an optimal investment strategy: The role of robust pair-copulas based portfolios," Emerging Markets Review, Elsevier, vol. 13(4), pages 449-464.
• Wen, Xiaoqian & Wei, Yu & Huang, Dengshi, 2012. "Measuring contagion between energy market and stock market during financial crisis: A copula approach," Energy Economics, Elsevier, vol. 34(5), pages 1435-1446.
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• Lönnbark, Carl, 2012. "Occurrence of long and short term asymmetry in stock market volatilities," Umeå Economic Studies 848, Umeå University, Department of Economics.
• Lönnbark, Carl, 2012. "Asymmetry with respect to the memory in stock market volatilities," Umeå Economic Studies 849, Umeå University, Department of Economics.
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• Neil Shephard & Dacheng Xiu, 2012. "Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices," Economics Series Working Papers 604, University of Oxford, Department of Economics.
  • Neil Shephard & Dacheng Xiu, 2012. "Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices," Economics Papers 2012-W04, Economics Group, Nuffield College, University of Oxford.
• Neil Shephard & Arnaud Doucet, 2012. "Robust inference on parameters via particle filters and sandwich covariance matrices," Economics Series Working Papers 606, University of Oxford, Department of Economics.
  • Arnaud Doucet & Neil Shephard, 2012. "Robust inference on parameters via particle filters and sandwich covariance matrices," Economics Papers 2012-W05, Economics Group, Nuffield College, University of Oxford.
• Mereuţă Cezar, 2012. "Dinamica structurii economiei. Pe ce structuri ne bazăm?," Revista OEconomica, Romanian Society for Economic Science, Revista OEconomica, issue 01, March.
• Olteanu Dan, 2012. "Evidenţe empirice privind cauzele declinului exportului european," Revista OEconomica, Romanian Society for Economic Science, Revista OEconomica, issue 03, September.
• Robert Ferstl & David Seres, 2012. "Clustering Austrian Banks’ Business Models and Peer Groups in the European Banking Sector," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 24, pages 79-95.
• Dragu Ioana-Maria & Tiron-Tudor Adriana, 2012. "The Impact Of The Business And Organizational Size Of A Company Along With Gri And Csr Adoption On Integrating Sustainability Reporting Practices," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 916-920, July.
• Lala - Popa Ion & Buglea Alexandru & Anis Cecilia & Cican Simona, 2012. "Sectoral Risk And Return For Companies In Romania," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 343-348, December.
• Ciumas Cristina & Chis Diana-Maria & Botos Horia Mircea, 2012. "Global Financial Crisis And Unit-Linked Insurance Markets Efficiency: Empirical Evidence From Central And Eastern European Countries," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 443-448, December.
• Siem Jan Koopman & Marcel Scharth, 2012. "The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures," Journal of Financial Econometrics, Oxford University Press, vol. 11(1), pages 76-115, December.
  • Siem Jan Koopman & Marcel Scharth, 2011. "The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures," Tinbergen Institute Discussion Papers 11-132/4, Tinbergen Institute.
• Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin, 2014. "Multivariate rotated ARCH models," Journal of Econometrics, Elsevier, vol. 179(1), pages 16-30.
  • Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate Rotated ARCH Models," Economics Papers 2012-W01, Economics Group, Nuffield College, University of Oxford.
  • Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin, 2014. "Multivariate rotated ARCH models," Scholarly Articles 34650305, Harvard University Department of Economics.
  • Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate Rotated ARCH models," Economics Series Working Papers 594, University of Oxford, Department of Economics.
• Neil Shephard & Dacheng Xiu, 2012. "Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices," Economics Papers 2012-W04, Economics Group, Nuffield College, University of Oxford.
  • Neil Shephard & Dacheng Xiu, 2012. "Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices," Economics Series Working Papers 604, University of Oxford, Department of Economics.
• Arnaud Doucet & Neil Shephard, 2012. "Robust inference on parameters via particle filters and sandwich covariance matrices," Economics Papers 2012-W05, Economics Group, Nuffield College, University of Oxford.
  • Neil Shephard & Arnaud Doucet, 2012. "Robust inference on parameters via particle filters and sandwich covariance matrices," Economics Series Working Papers 606, University of Oxford, Department of Economics.
• Eduardo Rossi & Dean Fantazzini, 2015. "Long Memory and Periodicity in Intraday Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 13(4), pages 922-961.
  • Eduardo Rossi & Dean Fantazzini, 2012. "Long memory and Periodicity in Intraday Volatility," DEM Working Papers Series 015, University of Pavia, Department of Economics and Management.
• Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Estimation of Long Memory in Integrated Variance," Econometric Reviews, Taylor & Francis Journals, vol. 33(7), pages 785-814, October.
  • Eduardo Rossi & Paolo Santucci de Magistris, 2011. "Estimation of long memory in integrated variance," CREATES Research Papers 2011-11, Department of Economics and Business Economics, Aarhus University.
  • Eduardo Rossi & Paolo Santucci de Magistris, 2012. "Estimation of long memory in integrated variance," DEM Working Papers Series 017, University of Pavia, Department of Economics and Management.
• Gheorghe Matei & Olivia Manole, 2012. "Imbalances in Financial Autonomy at Different Level of Local Government in Romania," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 12(4), pages 137-146.
• T. Roncalli & G. Weisang, 2016. "Risk parity portfolios with risk factors," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 377-388, March.
  • Roncalli, Thierry & Weisang, Guillaume, 2012. "Risk Parity Portfolios with Risk Factors," MPRA Paper 44017, University Library of Munich, Germany.
• Oral, Ece, 2012. "Day of the Week Effect on Turkish Foreign Exchange Market Volatility During the Global Financial Crisis," MPRA Paper 44116, University Library of Munich, Germany.
• Malhotra, Karan, 2012. "Multiperiod Black Litterman Asset Allocation Model," MPRA Paper 44806, University Library of Munich, Germany.
• Bławat, Bogusław, 2012. "The Optimal Order Execution Problem within the Framework of a High-Frequency Trading - Sample Model," MPRA Paper 49081, University Library of Munich, Germany.
• Ezzat, Hassan, 2012. "The Application of GARCH Methods in Modeling Volatility Using Sector Indices from the Egyptian Exchange," MPRA Paper 51584, University Library of Munich, Germany.
• Bhattacharyya, Malay & Madhav R, Siddarth, 2012. "A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns," MPRA Paper 54189, University Library of Munich, Germany.
• Ghassan, Hassan B. & Alhajhoj, Hassan R., 2012. "أثر تحرير سوق رأس المال على التذبذب في سوق الأسهم السعودي [Effect of Capital Market Liberalization on Volatility of TASI]," MPRA Paper 54470, University Library of Munich, Germany, revised 2012.
• Erten, Irem & Tuncel, Murat B. & Okay, Nesrin, 2012. "Volatility Spillovers in Emerging Markets During the Global Financial Crisis: Diagonal BEKK Approach," MPRA Paper 56190, University Library of Munich, Germany.
• J. Miguel Marin & Genaro Sucarrat, 2015. "Financial density selection," The European Journal of Finance, Taylor & Francis Journals, vol. 21(13-14), pages 1195-1213, November.
  • Marin, J. Miguel & Sucarrat, Genaro, 2012. "Financial Density Selection," MPRA Paper 66839, University Library of Munich, Germany, revised 13 Jun 2012.
• Salles, Andre Assis de, 2012. "The Relationship between Crude Oil Prices and Exchange Rates," MPRA Paper 98515, University Library of Munich, Germany, revised 2019.
• Marcin Fałdziński & Magdalena Osińska & Tomasz Zdanowicz, 2012. "Detecting Risk Transfer in Financial Markets using Different Risk Measures," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(1), pages 45-64, March.
• Błażej Mazur & Mateusz Pipień, 2012. "On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(2), pages 95-116, June.
• Krzysztof Osiewalski & Jacek Osiewalski, 2012. "Missing observations in daily returns - Bayesian inference within the MSF-SBEKK model," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(3), pages 169-197, September.
• Maximiano Pinheiro, 2012. "Market perception of fiscal sustainability: An application to the largest euro area economies," Working Papers w201209, Banco de Portugal, Economics and Research Department.
• Andrey Rafalson, 2012. "Bootstrap inference about integrated volatility (in Russian)," Quantile, Quantile, issue 10, pages 91-108, December.
• Jensen, Mark J. & Maheu, John M., 2014. "Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture," Journal of Econometrics, Elsevier, vol. 178(P3), pages 523-538.
  • Mark J Jensen & John M Maheu, 2012. "Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture," Working Papers tecipa-453, University of Toronto, Department of Economics.
  • Mark J. Jensen & John M. Maheu, 2012. "Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture," Working Paper series 45_12, Rimini Centre for Economic Analysis.
  • Mark J. Jensen & John M. Maheu, 2012. "Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture," FRB Atlanta Working Paper 2012-06, Federal Reserve Bank of Atlanta.
• Maheu, John M. & McCurdy, Thomas H. & Zhao, Xiaofei, 2013. "Do jumps contribute to the dynamics of the equity premium?," Journal of Financial Economics, Elsevier, vol. 110(2), pages 457-477.
  • John M. Maheu & Thomas H. McCurdy & Xiaofei Zhao, 2012. "Do Jumps Contribute to the Dynamics of the Equity Premium?," Working Paper series 47_12, Rimini Centre for Economic Analysis.
• Jensen, Mark J. & Maheu, John M., 2013. "Bayesian semiparametric multivariate GARCH modeling," Journal of Econometrics, Elsevier, vol. 176(1), pages 3-17.
  • Mark J. Jensen & John M. Maheu, 2012. "Bayesian semiparametric multivariate GARCH modeling," FRB Atlanta Working Paper 2012-09, Federal Reserve Bank of Atlanta.
  • Mark J. Jensen & John M. Maheu, 2012. "Bayesian Semiparametric Multivariate GARCH Modeling," Working Paper series 48_12, Rimini Centre for Economic Analysis.
  • Mark J Jensen & John M Maheu, 2012. "Bayesian semiparametric multivariate GARCH modeling," Working Papers tecipa-458, University of Toronto, Department of Economics.
• 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," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 26(2), pages 92-112.
• Grigoryev, Ruslan & Jaffry, Shabbar & Marchenko, German, 2012. "The role of the timeline in Granger causality test in the presence of daily data non-synchronism," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 27(3), pages 3-19.
• Shcherba, Alexandr, 2012. "Market risk valuation modeling for the European countries at the financial crisis of 2008," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 27(3), pages 20-35.
• Habrov, Vladimir, 2012. "Optimization of portfolio management based on vector autoregression models and multivariate volatility models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 28(4), pages 35-62.
• Berk, Istemi & Aydogan, Berna, 2012. "Crude Oil Price Shocks and Stock Returns: Evidence from Turkish Stock Market under Global Liquidity Conditions," EWI Working Papers 2012-15, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI).
• Dergiades, Theologos & Madlener, Reinhard & Christofidou, Georgia, 2018. "The nexus between natural gas spot and futures prices at NYMEX: Do weather shocks and non-linear causality in low frequencies matter?," The Journal of Economic Asymmetries, Elsevier, vol. 18(C), pages 1-1.
  • Dergiades, Theologos & Madlener, Reinhard & Christofidou, Georgia, 2012. "The Nexus between Natural Gas Spot and Futures Prices at NYMEX: Do Weather Shocks and Non-Linear Causality in Low Frequencies Matter?," FCN Working Papers 17/2012, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN), revised Sep 2013.
• Ceylan, Ozcan, 2012. "Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model," GIAM Working Papers 12-4, Galatasaray University Economic Research Center.
• Moosa, Imad, 2012. "The Failure of Financial Econometrics: “Stir-Fry” Regressions as an Illustration," Journal of Financial Transformation, Capco Institute, vol. 34, pages 43-50.
• Matei, Marius, 2012. "Perspectives on risk measurement: a critical assessment of PC-GARCH against the main volatility forecasting models," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 95-115, March.
• Todea, Alexandru & Platon, Diana, 2012. "Sudden Changes In Volatility In Central And Eastern Europe Foreign Exchange Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 38-51, June.
• V. I. Tinyakova, 2012. "The new approaches in econometric research of financial markets. Distributed volatility," Review of Applied Socio-Economic Research, Pro Global Science Association, vol. 4(2), pages 247-255, Decembre.
• Alessia Naccarato & Andrea Pierini, 2012. "Multivariate statistical analysis for portfolio selection of italian stock market," Departmental Working Papers of Economics - University 'Roma Tre' 0166, Department of Economics - University Roma Tre.
• Walter Krämer & Philip Mess, 2012. "Structural Change and Spurious Persistence in Stochastic Volatility," Ruhr Economic Papers 0310, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
• Philip Messow, 2012. "Pricing Synthetic CDOs Using a Three Regime Random-Factor-Loading Model," Ruhr Economic Papers 0317, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
• Coronado Ramírez, Semei L. & Venegas Martínez, Francisco & Sandoval Mejía, Víctor, 2012. "Dependencia no lineal del índice de Precios y Cotizaciones de la Bolsa Mexicana de Valores / Non-linear Dependency of the Pricing and Trading Index of the Mexican Stock Exchange," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 2(1), pages 65-84, enero-jun.
• Young Kim & Rosella Giacometti & Svetlozar Rachev & Frank Fabozzi & Domenico Mignacca, 2012. "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model," Annals of Operations Research, Springer, vol. 201(1), pages 325-343, December.
  • Kim, Young Shin & Giacometti, Rosella & Rachev, Svetlozar T. & Fabozzi, Frank J. & Mignacca, Domenico, 2012. "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model," Working Paper Series in Economics 44, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Vladimir Vovk, 2012. "Continuous-time trading and the emergence of probability," Finance and Stochastics, Springer, vol. 16(4), pages 561-609, October.
• Benjamin Bruder & Pierre Hereil & Thierry Roncalli, 2012. "Managing Sovereign Credit Risk In Bond Portfolios1," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 0(1), pages 5-26, June.
• Apostolos Thomadakis, 2012. "Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns," School of Economics Discussion Papers 0612, School of Economics, University of Surrey.
• Malgorzata Sulimierska, 2012. "After Ten Years of the Russian Crisis, How Might IMF Intervention Be Evaluated?," Working Paper Series 5112, Department of Economics, University of Sussex Business School.
• Qian Chen & David E. Giles & Hui Feng, 2012. "The extreme-value dependence between the Chinese and other international stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 22(14), pages 1147-1160, July.
  • David E. Giles, 2010. "The Extreme-Value Dependence Between the Chinese and Other International Stock Markets," Econometrics Working Papers 1003, Department of Economics, University of Victoria.
• Felicia Ramona BIRAU, 2012. "The implications of chaos theory on Bucharest stock exchange," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, vol. 0, pages 36-41, May.
• Siem Jan Koopman & André Lucas & Marcel Scharth, 2016. "Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models," The Review of Economics and Statistics, MIT Press, vol. 98(1), pages 97-110, March.
  • Siem Jan Koopman & Andre Lucas & Marcel Scharth, 2012. "Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models," Tinbergen Institute Discussion Papers 12-020/4, Tinbergen Institute.
• Andre Lucas & Bastiaan Verhoef, 2012. "Aggregating Credit and Market Risk: The Impact of Model Specification," Tinbergen Institute Discussion Papers 12-057/2/DSF36, Tinbergen Institute.
• Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2012. "Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes," Tinbergen Institute Discussion Papers 12-059/4, Tinbergen Institute.
• Denitsa Stefanova, 2012. "Stock Market Asymmetries: A Copula Diffusion," Tinbergen Institute Discussion Papers 12-125/IV/DSF45, Tinbergen Institute.
• Jensen, Mark J. & Maheu, John M., 2014. "Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture," Journal of Econometrics, Elsevier, vol. 178(P3), pages 523-538.
  • Mark J. Jensen & John M. Maheu, 2012. "Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture," Working Paper series 45_12, Rimini Centre for Economic Analysis.
  • Mark J Jensen & John M Maheu, 2012. "Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture," Working Papers tecipa-453, University of Toronto, Department of Economics.
  • Mark J. Jensen & John M. Maheu, 2012. "Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture," FRB Atlanta Working Paper 2012-06, Federal Reserve Bank of Atlanta.
• Jensen, Mark J. & Maheu, John M., 2013. "Bayesian semiparametric multivariate GARCH modeling," Journal of Econometrics, Elsevier, vol. 176(1), pages 3-17.
  • Mark J. Jensen & John M. Maheu, 2012. "Bayesian Semiparametric Multivariate GARCH Modeling," Working Paper series 48_12, Rimini Centre for Economic Analysis.
  • Mark J Jensen & John M Maheu, 2012. "Bayesian semiparametric multivariate GARCH modeling," Working Papers tecipa-458, University of Toronto, Department of Economics.
  • Mark J. Jensen & John M. Maheu, 2012. "Bayesian semiparametric multivariate GARCH modeling," FRB Atlanta Working Paper 2012-09, Federal Reserve Bank of Atlanta.
• David E Allen & Abhay K Singh & Robert J Powell & Michael McAleer & James Taylor & Lyn Thomas, 2012. "The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions," KIER Working Papers 831, Kyoto University, Institute of Economic Research.
  • D.E. Allen & Abhay K Singh & R. Powell & Michael McAleer & James Taylor & Lyn Thomas, 2012. "The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions," Documentos de Trabajo del ICAE 2012-24, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Yasmin Briceño Santafé & Giampaolo Orlandoni Merli, 2012. "Determination of bank risk indicators and macroeconomic conditions in Venezuela (1997-2009)," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, vol. 37(34), pages 55-88, july-dece.
• Abbas Valadkhani & Sajid Anwar, 2012. "Modelling Australia's Retail Mortgage Rate," Economics Working Papers wp12-01, School of Economics, University of Wollongong, NSW, Australia.
• Fulvio Corsi & Stefano Peluso & Francesco Audrino, 2015. "Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(3), pages 377-397, April.
  • Corsi, Fulvio & Peluso, Stefano & Audrino, Francesco, 2012. "Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation," Economics Working Paper Series 1202, University of St. Gallen, School of Economics and Political Science.
• Audrino, Francesco & Meier, Pirmin, 2012. "Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines," Economics Working Paper Series 1210, University of St. Gallen, School of Economics and Political Science.
• Francesco Audrino & Simon D. Knaus, 2016. "Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics," Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1485-1521, December.
  • Audrino, Francesco & Knaus, Simon, 2012. "Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics," Economics Working Paper Series 1224, University of St. Gallen, School of Economics and Political Science.
• Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2013. "On the predictability of stock prices: A case for high and low prices," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5132-5146.
  • Massimiliano Caporin & Angelo Ranaldo, 2011. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers 2011-11, Swiss National Bank.
  • Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2012. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers on Finance 1213, University of St. Gallen, School of Finance.
  • Massimiliano Caporin & Angelo Ranaldo & Paolo Santucci de Magistris, 2011. "On the Predictability of Stock Prices: A Case for High and Low Prices," "Marco Fanno" Working Papers 0136, Dipartimento di Scienze Economiche "Marco Fanno".
• Roberto Casarin & Flaminio Squazzoni, 2012. "Financial press and stock markets in times of crisis," Working Papers 2012_04, Department of Economics, University of Venice "Ca' Foscari".
• Billio, Monica & Caporin, Massimiliano & Costola, Michele, 2015. "Backward/forward optimal combination of performance measures for equity screening," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 63-83.
  • Monica Billio & Massimiliano Caporin & Michele Costola, 2012. "Backward/forward optimal combination of performance measures for equity screening," Working Papers 2012_13, Department of Economics, University of Venice "Ca' Foscari".
• Piotr Arendarski, 2012. "Tactical allocation in falling stocks: Combining momentum and solvency ratio signals," Working Papers 2012-01, Faculty of Economic Sciences, University of Warsaw.
• Piotr Arendarski & Łukasz Postek, 2012. "Cointegration Based Trading Strategy For Soft Commodities Market," Working Papers 2012-02, Faculty of Economic Sciences, University of Warsaw.
• Pierre Chausse & Dinghai Xu, 2012. "GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study," Working Papers 1203, University of Waterloo, Department of Economics, revised May 2012.
• Dinghai Xu, 2012. "Continuous Empirical Characteristic Function Estimation of GARCH Models," Working Papers 1204, University of Waterloo, Department of Economics, revised May 2012.
• Vilimir Yordanov, 2012. "The Bulgarian Foreign and Domestic Debt ??? A No-Arbitrage Macrofinancial View," William Davidson Institute Working Papers Series wp1032, William Davidson Institute at the University of Michigan.
• Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate high‐frequency‐based volatility (HEAVY) models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 907-933, September.
  • Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011. "Multivariate High-Frequency-Based Volatility (HEAVY) Models," Economics Papers 2011-W01, Economics Group, Nuffield College, University of Oxford.
  • Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011. "Multivariate High-Frequency-Based Volatility (HEAVY) Models," Economics Series Working Papers 533, University of Oxford, Department of Economics.
• Jirô Akahori & Andrea Macrina, 2022. "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," World Scientific Book Chapters, in: Dorje Brody & Lane Hughston & Andrea Macrina (ed.), Financial Informatics An Information-Based Approach to Asset Pricing, chapter 9, pages 179-193, World Scientific Publishing Co. Pte. Ltd..
  • Jirô Akahori & Andrea Macrina, 2012. "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(01), pages 1-15.
  • Jirô Akahori & Andrea Macrina, 2012. "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 1, pages 1-15, World Scientific Publishing Co. Pte. Ltd..
  • Jiro Akahori & Andrea Macrina, 2010. "Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes," Papers 1012.1878, arXiv.org.
• Jirô Akahori & Andrea Macrina, 2012. "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," World Scientific Book Chapters, in: Finance at Fields, chapter 1, pages 1-15 World Scientific Publishing Co. Pte. Ltd..
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  • Jiro Akahori & Andrea Macrina, 2010. "Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes," Papers 1012.1878, arXiv.org.
• Matheus R Grasselli & Lane P Hughston (ed.), 2012. "Finance at Fields," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8507.
• Jirô Akahori & Andrea Macrina, 2022. "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," World Scientific Book Chapters, in: Dorje Brody & Lane Hughston & Andrea Macrina (ed.), Financial Informatics An Information-Based Approach to Asset Pricing, chapter 9, pages 179-193, World Scientific Publishing Co. Pte. Ltd..
  • Jirô Akahori & Andrea Macrina, 2012. "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 1, pages 1-15, World Scientific Publishing Co. Pte. Ltd..
  • Jirô Akahori & Andrea Macrina, 2012. "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(01), pages 1-15.
  • Jiro Akahori & Andrea Macrina, 2010. "Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes," Papers 1012.1878, arXiv.org.
• Hamed Amini & Rama Cont & Andreea Minca, 2012. "Stress Testing The Resilience Of Financial Networks," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 2, pages 17-36, World Scientific Publishing Co. Pte. Ltd..
• Attakrit Asvanunt & Mark Broadie & Suresh Sundaresan, 2012. "Managing Corporate Liquidity: Strategies And Pricing Implications," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 3, pages 37-74, World Scientific Publishing Co. Pte. Ltd..
• T. R. Bielecki & S. Crépey & M. Jeanblanc & B. Zargari, 2012. "Valuation And Hedging Of Cds Counterparty Exposure In A Markov Copula Model," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 4, pages 75-113, World Scientific Publishing Co. Pte. Ltd..
• Dorje C. Brody & Lane P. Hughston & Andrea Macrina, 2012. "Information-Based Asset Pricing," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 5, pages 115-150, World Scientific Publishing Co. Pte. Ltd..
• René Carmona & Sergey Nadtochiy, 2012. "Tangent Models As A Mathematical Framework For Dynamic Calibration," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 6, pages 151-179, World Scientific Publishing Co. Pte. Ltd..
• Patrick Cheridito & Michael Kupper, 2012. "Composition Of Time-Consistent Dynamic Monetary Risk Measures In Discrete Time," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 7, pages 181-206, World Scientific Publishing Co. Pte. Ltd..
• Giuseppe Di Graziano & Lorenzo Torricelli, 2012. "Target Volatility Option Pricing," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 8, pages 207-223, World Scientific Publishing Co. Pte. Ltd..
• Damir Filipović & Lane P. Hughston & Andrea Macrina, 2012. "Conditional Density Models For Asset Pricing," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 9, pages 225-248, World Scientific Publishing Co. Pte. Ltd..
• Hans Föllmer & Irina Penner, 2012. "Monetary Valuation Of Cash Flows Under Knightian Uncertainty," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 10, pages 249-263, World Scientific Publishing Co. Pte. Ltd..
• Marco Frittelli & Emanuela Rosazza Gianin, 2012. "On The Penalty Function And On Continuity Properties Of Risk Measures," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 12, pages 283-305, World Scientific Publishing Co. Pte. Ltd..
• Marco Frittelli & Marco Maggis, 2012. "Conditional Certainty Equivalent," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 13, pages 307-325, World Scientific Publishing Co. Pte. Ltd..
• Pavel V. Gapeev, 2012. "Pricing Of Perpetual American Options In A Model With Partial Information," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 14, pages 327-347, World Scientific Publishing Co. Pte. Ltd..
• Paul Gassiat & Huyên Pham & Mihai Sîrbu, 2012. "Optimal Investment On Finite Horizon With Random Discrete Order Flow In Illiquid Markets," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 15, pages 349-372, World Scientific Publishing Co. Pte. Ltd..
• Jim Gatheral & Alexander Schied, 2012. "Optimal Trade Execution Under Geometric Brownian Motion In The Almgren And Chriss Framework," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 16, pages 373-388, World Scientific Publishing Co. Pte. Ltd..
• Jim Gatheral & Tai-Ho Wang, 2012. "The Heat-Kernel Most-Likely-Path Approximation," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 17, pages 389-406, World Scientific Publishing Co. Pte. Ltd..
• Paul Glasserman & Qi Wu, 2012. "Forward And Future Implied Volatility," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 18, pages 407-432, World Scientific Publishing Co. Pte. Ltd..
• Svante Janson & Sokhna M'Baye & Philip Protter, 2012. "Absolutely Continuous Compensators," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 19, pages 433-449, World Scientific Publishing Co. Pte. Ltd..
• Dilip B. Madan & Wim Schoutens, 2012. "Conic Finance And The Corporate Balance Sheet," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 20, pages 451-474, World Scientific Publishing Co. Pte. Ltd..
• Michael Monoyios & Andrew Ng, 2012. "Optimal Exercise Of An Executive Stock Option By An Insider," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 21, pages 475-498, World Scientific Publishing Co. Pte. Ltd..
• M. Musiela & T. Zariphopoulou, 2012. "Initial Investment Choice And Optimal Future Allocations Under Time-Monotone Performance Criteria," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 22, pages 499-519, World Scientific Publishing Co. Pte. Ltd..
• Jan Obłój & Frédérik Ulmer, 2012. "Performance Of Robust Hedges For Digital Double Barrier Options," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 23, pages 521-554, World Scientific Publishing Co. Pte. Ltd..
• Thorsten Schmidt & Jerzy Zabczyk, 2012. "Cdo Term Structure Modelling With Lévy Processes And The Relation To Market Models," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 24, pages 555-573, World Scientific Publishing Co. Pte. Ltd..
• Bravo, Francesco & Crudu, Federico, 2012. "Efficient bootstrap with weakly dependent processes," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3444-3458.
  • Francesco Bravo & Federico Crudu, 2012. "Efficient bootstrap with weakly dependent processes," Discussion Papers 12/08, Department of Economics, University of York.
• Adam Golinski & Peter Spencer, 2012. "The Meiselman forward interest rate revision regression as an Affine Term Structure Model," Discussion Papers 12/27, Department of Economics, University of York.
• Stein, Michael & Islami, Mevlud & Lindemann, Jens, 2012. "Identifying time variability in stock and interest rate dependence," Discussion Papers 24/2012, Deutsche Bundesbank.
• Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2012. "Intra-daily volatility spillovers between the US and German stock markets," Economics Working Papers 2012-06, Christian-Albrechts-University of Kiel, Department of Economics.
• Gribisch, Bastian, 2012. "Multivariate wishart stochastic volatility and changes in regime," Economics Working Papers 2012-14, Christian-Albrechts-University of Kiel, Department of Economics.
• Alter, Adrian & Beyer, Andreas, 2014. "The dynamics of spillover effects during the European sovereign debt turmoil," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 134-153.
  • Alter, Adrian & Beyer, Andreas, 2012. "The dynamics of spillover effects during the European sovereign debt turmoil," CFS Working Paper Series 2012/13, Center for Financial Studies (CFS).
• Lux, Thomas, 2012. "Inference for systems of stochastic differential equations from discretely sampled data: A numerical maximum likelihood approach," Kiel Working Papers 1781, Kiel Institute for the World Economy (IfW Kiel).
• Agiakloglou, Christos & Gkouvakis, Michail, 2015. "Causal interrelations among market fundamentals: Evidence from the European Telecommunications sector," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 150-159.
  • Agiakloglou, Christos & Gkouvakis, Michalis, 2012. "Causal interrelations among market fundamentals: Evidence from the Europen telecommunications sector," 23rd European Regional ITS Conference, Vienna 2012 60387, International Telecommunications Society (ITS).
• Young Kim & Rosella Giacometti & Svetlozar Rachev & Frank Fabozzi & Domenico Mignacca, 2012. "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model," Annals of Operations Research, Springer, vol. 201(1), pages 325-343, December.
  • Kim, Young Shin & Giacometti, Rosella & Rachev, Svetlozar T. & Fabozzi, Frank J. & Mignacca, Domenico, 2012. "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model," Working Paper Series in Economics 44, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Krämer, Walter & Messow, Philip, 2012. "Structural Change and Spurious Persistence in Stochastic Volatility," Ruhr Economic Papers 310, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
• Messow, Philip, 2012. "Pricing Synthetic CDOs Using a Three Regime Random-Factor-Loading Model," Ruhr Economic Papers 317, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
• Bodnar, Taras & Hautsch, Nikolaus, 2012. "Copula-based dynamic conditional correlation multiplicative error processes," SFB 649 Discussion Papers 2012-044, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  • Bodnar, Taras & Hautsch, Nikolaus, 2013. "Copula-based dynamic conditional correlation multiplicative error processes," CFS Working Paper Series 2013/19, Center for Financial Studies (CFS).

2011

• Shih Yung Wei & Jack J. W. Yang, 2011. "The Impact Of Short Sale Restrictions On Stock Volatility: Evidence From Taiwan," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 5(4), pages 89-98.
• Wolfgang Rinnergschwentner & Gottfried Tappeiner & Janette Walde, 2011. "Multivariate Stochastic Volatility via Wishart Processes - A Continuation," Working Papers 2011-19, Faculty of Economics and Statistics, Universität Innsbruck.
• Cândida Ferreira, 2011. "European integration and banking efficiency: a panel cost frontier approach," Working Papers Department of Economics 2011/04, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
• Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2011. "How Prediction Markets can Save Event Studies," CAMA Working Papers 2011-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric, 2011. "How Prediction Markets Can Save Event Studies," IZA Discussion Papers 5640, Institute of Labor Economics (IZA).
  • Wolfers, Justin & Zitzewitz, Eric & Snowberg, Erik, 2011. "How Prediction Markets Can Save Event Studies," CEPR Discussion Papers 8351, C.E.P.R. Discussion Papers.
  • Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2011. "How Prediction Markets Can Save Event Studies," NBER Working Papers 16949, National Bureau of Economic Research, Inc.
  • Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2011. "How Prediction Markets can Save Event Studies," CESifo Working Paper Series 3434, CESifo.
• Dasheng Ji & B. Brorsen, 2011. "A recombining lattice option pricing model that relaxes the assumption of lognormality," Review of Derivatives Research, Springer, vol. 14(3), pages 349-367, October.
• Alter, Adrian & Schüler, Yves S., 2012. "Credit spread interdependencies of European states and banks during the financial crisis," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3444-3468.
  • Adrian Alter & Yves Stephan Schüler, 2011. "Credit Spead Interdependencies of European States and Banks during the Financial Crisis," Working Paper Series of the Department of Economics, University of Konstanz 2011-24, Department of Economics, University of Konstanz.
• Lestano, 2011. "Measuring Financial Markets Integration : Indonesia and East Asia," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, vol. 59, pages 19-46, April.
• Malika Hamadi & Andreas Heinen, 2011. "Ownership Structure and Firm Performance : Evidence from a non-parametric panel," DEM Discussion Paper Series 11-16, Department of Economics at the University of Luxembourg.
• Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K., 2014. "Marginal likelihood for Markov-switching and change-point GARCH models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 508-522.
  • Luc Luc & Arnaud Dufays & Jeroen V.K. Rombouts, 2011. "Marginal Likelihood for Markov-switching and Change-point Garch Models," CREATES Research Papers 2011-41, Department of Economics and Business Economics, Aarhus University.
  • BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V.K., 2014. "Marginal likelihood for Markov-switching and change-point GARCH models," LIDAM Reprints CORE 2533, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Luc Bauwens & Arnaud Dufays & Jeroen V.K. Rombouts, 2011. "Marginal Likelihood for Markov-Switching and Change-Point GARCH Models," Cahiers de recherche 1138, CIRPEE.
  • BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V.K., 2011. "Marginal likelihood for Markov-switching and change-point GARCH models," LIDAM Discussion Papers CORE 2011013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Luc Bauwens & Arnaud Dufays & Jeroen Rombouts, 2011. "Marginal Likelihood for Markov-Switching and Change-Point Garch Models," CIRANO Working Papers 2011s-72, CIRANO.
• Daniel Stavarek, 2011. "European exchange rates volatility and its asymmetrical components during the financial crisis," MENDELU Working Papers in Business and Economics 2011-17, Mendel University in Brno, Faculty of Business and Economics.
• Peter Martey Addo & Monica Billio & Dominique Guegan, 2011. "A test for a new modelling : The Univariate MT-STAR Model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00659158, HAL.
  • Peter Martey Addo & Monica Billio & Dominique Guegan, 2011. "A test for a new modelling: The Univariate MT-STAR Model," Documents de travail du Centre d'Economie de la Sorbonne 11083, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Peter Martey Addo & Monica Billio & Dominique Guegan, 2011. "A test for a new modelling : The Univariate MT-STAR Model," Post-Print halshs-00659158, HAL.
• Peter Martey Addo & Monica Billio & Dominique Guegan, 2011. "A New Modelling Test: The Univariate MT-STAR Model," Documents de travail du Centre d'Economie de la Sorbonne 11083r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Aug 2013.
• Solntsev, O. & Mamonov, M. & Pestova, A. & Magomedova, Z., 2011. "Experience in Developing Early Warning System for Financial Crises and the Forecast of Russian Banking Sector Dynamic in 2012," Journal of the New Economic Association, New Economic Association, issue 12, pages 41-76.
• Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate high‐frequency‐based volatility (HEAVY) models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 907-933, September.
  • Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011. "Multivariate High-Frequency-Based Volatility (HEAVY) Models," Economics Series Working Papers 533, University of Oxford, Department of Economics.
  • Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011. "Multivariate High-Frequency-Based Volatility (HEAVY) Models," Economics Papers 2011-W01, Economics Group, Nuffield College, University of Oxford.
• Anis Cecilia-Nicoleta & Roth Anne-Marie & Apolzan (Angyal) Carmen-Maria, 2011. "Value At Risk - Corporate Risk Measurement," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 387-392, December.
• Burcã Ana-Maria & Bãtrînca Ghiorghe, 2011. "Application of Actuarial Modelling in Insurance Industry," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 157-161, May.
• Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate high‐frequency‐based volatility (HEAVY) models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 907-933, September.
  • Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011. "Multivariate High-Frequency-Based Volatility (HEAVY) Models," Economics Papers 2011-W01, Economics Group, Nuffield College, University of Oxford.
  • Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011. "Multivariate High-Frequency-Based Volatility (HEAVY) Models," Economics Series Working Papers 533, University of Oxford, Department of Economics.
• Massimiliano Caporin & Gabriel G. Velo, 2011. "Modeling and forecasting realized range volatility," "Marco Fanno" Working Papers 0128, Dipartimento di Scienze Economiche "Marco Fanno".
• Aielli, Gian Piero & Caporin, Massimiliano, 2014. "Variance clustering improved dynamic conditional correlation MGARCH estimators," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 556-576.
  • Gian Piero Aielli & Massimiliano Caporin, 2011. "Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators," "Marco Fanno" Working Papers 0133, Dipartimento di Scienze Economiche "Marco Fanno".
• Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2013. "On the predictability of stock prices: A case for high and low prices," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5132-5146.
  • Massimiliano Caporin & Angelo Ranaldo, 2011. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers 2011-11, Swiss National Bank.
  • Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2012. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers on Finance 1213, University of St. Gallen, School of Finance.
  • Massimiliano Caporin & Angelo Ranaldo & Paolo Santucci de Magistris, 2011. "On the Predictability of Stock Prices: A Case for High and Low Prices," "Marco Fanno" Working Papers 0136, Dipartimento di Scienze Economiche "Marco Fanno".
• Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2011. "Conditional jumps in volatility and their economic determinants," "Marco Fanno" Working Papers 0138, Dipartimento di Scienze Economiche "Marco Fanno".
• Malgorzata Madrak-Grochowska & Miroslawa Zurek, 2011. "Testing For Causality In Variance For World Stock Exchange Indexes," Oeconomia Copernicana, Institute of Economic Research, vol. 2(4), pages 5-27, December.
• Jonas Teitge & Andreas Nastansky, 2011. "Interdependenzen in den Renditen DAX-notierter Unternehmen nach Branchen," Statistische Diskussionsbeiträge 47, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät.
• Benjamin Kauper & Karl-Kuno Kunze, 2011. "Modellierung von Aktienkursen im Lichte der Komplexitätsforschung," Statistische Diskussionsbeiträge 49, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät.
• Jiranyakul, Komain, 2011. "On the Risk-Return Tradeoff in the Stock Exchange of Thailand: New Evidence," MPRA Paper 45583, University Library of Munich, Germany.
• Zaytsev, Alexander, 2011. "Эконометрический Анализ Динамики Российских Паевых Инвестиционных Фондов В Кризисный И Посткризисный Периоды [Econometric analysis of Russian mutual funds in crisis and postcrisis periods]," MPRA Paper 46437, University Library of Munich, Germany.
• P., Srinivasan, 2011. "Price Discovery and Volatility Spillovers in Indian Spot-Futures Commodity Market," MPRA Paper 47412, University Library of Munich, Germany.
• Krishnankutty, Raveesh & Tiwari, Aviral Kumar, 2011. "Are the Bombay stock Exchange Sectoral indices of Indian stock market cointegrated? Evidence using fractional cointegration test," MPRA Paper 48590, University Library of Munich, Germany, revised 20 Dec 2011.
• CHIKHI, Mohamed, 2011. "Analyse du choc informationnel et de l’hétéroscédasticité conditionnelle dans les flux de trésorerie [Analysis of informational shock and conditional heteroscedasticity in cash flows]," MPRA Paper 77269, University Library of Munich, Germany, revised Jun 2011.
• Adam Borovička, 2011. "Comparison of Volatility Models of PX Index and FTSE 100 Index [Srovnání volatility akciových indexů PX a FTSE 100]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2011(2), pages 66-88.
• Zdeněk Štolc, 2011. "Application of FIGARCH and EWMA Models on Stock Indices PX and BUX [Aplikace FIGARCH a EWMA modelů na burzovní indexy PX a BUX]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2011(4), pages 25-38.
• Alexey Balaev, 2011. "Modeling multivariate parametric densities of financial returns (in Russian)," Quantile, Quantile, issue 9, pages 39-60, July.
• Rohit Vishal Kumar & Dhekra Azouzi, 2011. "Tunisian and Indian Forex Markets: A Comparision on Forward Rate Unbiased Hypothesis," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 14(40), pages 81-98, June.
• Penikas, Henry, 2011. "Copula-Based Price Risk Hedging Models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 22(2), pages 3-21.
• Bronshtein , Efim & Prokudina, Elena & Gerasimova, Anna & Dubinskaya, Ksenya, 2011. "Estimation of the interdependence of time series of stocks prices based on copula," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 22(2), pages 22-31.
• Aivazian, Sergey & Golovan, Sergey & Karminsky, Alexander & Peresetsky, Anatoly, 2011. "An approach to ratings mapping," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 23(3), pages 13-40.
• Shcherba, Alexandr, 2011. "Comparison of VaR estimation methods for different forecasting samples for Russian stocks," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 24(4), pages 58-70.
• Kang, Sang Hoon & Yoon , Seong-Min, 2011. "The Global Financial Crisis and the Integration of Emerging Stock Markets in Asia," East Asian Economic Review, Korea Institute for International Economic Policy, vol. 15(4), pages 49-72, December.
• Matei, Marius, 2011. "Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 116-141, June.
• Diep Duong & Norman R. Swanson, 2011. "Empirical Evidence on Jumps and Large Fluctuations in Individual Stocks," Departmental Working Papers 201116, Rutgers University, Department of Economics.
• Diep Duong & Norman R. Swanson, 2011. "Volatility in Discrete and Continuous-Time Models: A Survey with New Evidence on Large and Small Jumps," Advances in Econometrics, in: Missing Data Methods: Time-Series Methods and Applications, pages 179-233, Emerald Group Publishing Limited.
  • Diep Duong & Norman R. Swanson, 2011. "Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps," Departmental Working Papers 201117, Rutgers University, Department of Economics.
• Antonio Acconcia & Alfredo Del Monte & Luca Pennacchio & Germana Scepi, 2011. "IPO Underpricing and the Location of Firms," CSEF Working Papers 295, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 04 Feb 2021.
• Sergio Andenmatten & Felix Brill, 2011. "Did the CDS Market Push up Risk Premia for Sovereign Credit?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 147(III), pages 275-302, September.
• De los cobos Silva, Sergio G & Gutiérrez Andrade, Miguel Ángel & Lara Velázquez, Pedro, 2011. "Análisis borroso del impacto del índice de inflación y de la cotización del dólar sobre el índice de confianza en México / Fuzzy Analysis of the Inflation Index and the Dollar Exchange Rate Impact on ," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 1(1), pages 7-28, enero-jun.
• López Herrera, Francisco & Ortiz Calisto, Edgar & Gutiérrez, Raúl De Jesús, 2011. "Integración fraccionaria y valor en riesgo / Fractional Integration and Value at Risk," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 1(1), pages 29-53, enero-jun.
• Robert A. Jones & Mohammad Zanganeh, 2011. "Estimation of Equicorrelated Diffusions from Incomplete Data," Discussion Papers dp11-03, Department of Economics, Simon Fraser University.
• Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2014. "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Management Science, INFORMS, vol. 60(7), pages 1772-1791, July.
  • Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2010. "Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules," Working Papers 2010-008, Federal Reserve Bank of St. Louis.
  • Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2011. "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Working Papers CoFie-02-2011, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
• Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2013. "On the predictability of stock prices: A case for high and low prices," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5132-5146.
  • Massimiliano Caporin & Angelo Ranaldo & Paolo Santucci de Magistris, 2011. "On the Predictability of Stock Prices: A Case for High and Low Prices," "Marco Fanno" Working Papers 0136, Dipartimento di Scienze Economiche "Marco Fanno".
  • Massimiliano Caporin & Angelo Ranaldo, 2011. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers 2011-11, Swiss National Bank.
  • Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2012. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers on Finance 1213, University of St. Gallen, School of Finance.
• Almut Veraart, 2011. "How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 95(3), pages 253-291, September.
  • Almut E. D. Veraart, 2010. "How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?," CREATES Research Papers 2010-65, Department of Economics and Business Economics, Aarhus University.
• Dragoş Bolocan & Cristian Litan, 2011. "Estimating the Probability of Default with Applications in Provisioning the Portfolio of Clients of a Credit Institution," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 18(2), pages 271-285, December.
• Loretti I. Dobrescu & Mihaela Neamtu & Dumitru Opris, 2011. "A Discrete--Delay Dynamic Model for the Stock Market," Discussion Papers 2012-11, School of Economics, The University of New South Wales.
• Efe Çağlar Çağli & Pinar Evrim Mandaci & Pinar Hakan Kahyaoğlu, 2011. "Volatility Shifts and Persistence in Variance: Evidence from the Sector Indices of Istanbul Stock Exchange," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 4(3), pages 119-140, December.
• Ardia, David & Lennart, Hoogerheide & Nienke, Corré, 2011. "Stock index returns’ density prediction using GARCH models: Frequentist or Bayesian estimation?," MPRA Paper 28259, University Library of Munich, Germany.
  • Lennart F. Hoogerheide & David Ardia & Nienke Corre, 2011. "Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation?," Tinbergen Institute Discussion Papers 11-020/4, Tinbergen Institute.
• Oleg Sokolinskiy & Dick van Dijk, 2011. "Forecasting Volatility with Copula-Based Time Series Models," Tinbergen Institute Discussion Papers 11-125/4, Tinbergen Institute.
• Lennart F. Hoogerheide & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann," Tinbergen Institute Discussion Papers 11-131/4, Tinbergen Institute.
• Siem Jan Koopman & Marcel Scharth, 2012. "The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures," Journal of Financial Econometrics, Oxford University Press, vol. 11(1), pages 76-115, December.
  • Siem Jan Koopman & Marcel Scharth, 2011. "The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures," Tinbergen Institute Discussion Papers 11-132/4, Tinbergen Institute.
• van der Laan, Gerard & Talman, Dolf & Yang, Zaifu, 2011. "Solving discrete systems of nonlinear equations," European Journal of Operational Research, Elsevier, vol. 214(3), pages 493-500, November.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2008. "Solving Discrete Systems of Nonlinear Equations," Discussion Paper 2008-105, Tilburg University, Center for Economic Research.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2011. "Solving discrete systems of nonlinear equations," Other publications TiSEM 81f0a46c-3c9d-4757-bfa1-0, Tilburg University, School of Economics and Management.
  • Gerard van der Laan & Dolf Talman & Zaifu Yang, 2009. "Solving Discrete Systems of Nonlinear Equations," Tinbergen Institute Discussion Papers 09-062/1, Tinbergen Institute.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2008. "Solving Discrete Systems of Nonlinear Equations," Other publications TiSEM 38ca20ed-7652-4b71-acd6-2, Tilburg University, School of Economics and Management.
• Malgorzata Madrak-Grochowska & Miroslawa Zurek, 2011. "Testing For Causality In Variance For World Stock Exchange Indexes," Oeconomia Copernicana, Polskie Towarzystwo Ekonomiczne Oddzial w Toruniu, Wydzial Nauk Ekonomicznych i Zarzadzania UMK, vol. 2(4), pages 5-27, December.
• Sergio Andenmatten & Felix Brill, 2011. "Measuring Co-Movements of CDS Premia during the Greek Debt Crisis," Diskussionsschriften dp1104, Universitaet Bern, Departement Volkswirtschaft.
• Orso, Cristina, 2011. "Microcredit and poverty. An overview of the principal statistical methods used to measure the program net impacts," POLIS Working Papers 154, Institute of Public Policy and Public Choice - POLIS.
• Andrada-Félix, Julián & Fernández-Rodríguez, Fernando & Sosvilla-Rivero, Simón, 2012. "Historical financial analogies of the current crisis," Economics Letters, Elsevier, vol. 116(2), pages 190-192.
  • Julián Andrada-Félix & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2011. "Historical financial analogies of the current crisis," Working Papers 11-08, Asociación Española de Economía y Finanzas Internacionales.
  • Julián Andrada-Félix & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2011. "Historical financial analogies of the current crisis," Working Papers del Instituto Complutense de Estudios Internacionales 1110, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
• Fengler, Matthias & Hin, Lin-Yee, 2011. "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series 1136, University of St. Gallen, School of Economics and Political Science, revised May 2013.
• Francesco Audrino & Yujia Hu, 2016. "Volatility Forecasting: Downside Risk, Jumps and Leverage Effect," Econometrics, MDPI, vol. 4(1), pages 1-24, February.
  • Audrino, Francesco & Hu, Yujia, 2011. "Volatility Forecasting: Downside Risk, Jumps and Leverage Effect," Economics Working Paper Series 1138, University of St. Gallen, School of Economics and Political Science.
• David E. Giles & Hui Feng & Ryan T. Godwin, 2016. "Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(8), pages 2465-2483, April.
  • David E. Giles & Hui Feng, 2009. "Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution," Econometrics Working Papers 0902, Department of Economics, University of Victoria.
  • David E. Giles & Hui Feng & Ryan T. Godwin, 2011. "Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution," Econometrics Working Papers 1105, Department of Economics, University of Victoria.
• Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), 2011. "The Kelly Capital Growth Investment Criterion:Theory and Practice," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7598.
• Kian Guan Lim, 2011. "Probability and Finance Theory," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7781, February.
• Kian Guan Lim, 2011. "Financial Valuation And Econometrics," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7782, February.
• Daniel Bernoulli, 2011. "Exposition Of A New Theory On The Measurement Of Risk," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 2, pages 11-24, World Scientific Publishing Co. Pte. Ltd..
• J. L. Kelly Jr., 2011. "A New Interpretation of Information Rate," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 3, pages 25-34, World Scientific Publishing Co. Pte. Ltd..
• Henry Allen Latané, 2011. "Criteria For Choice Among Risky Ventures," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 4, pages 35-46, World Scientific Publishing Co. Pte. Ltd..
• L. Breiman, 2011. "Optimal Gambling Systems For Favorable Games," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 5, pages 47-60, World Scientific Publishing Co. Pte. Ltd..
• E. O. Thorp, 2011. "Optimal Gambling Systems For Favorable Games," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 6, pages 61-80, World Scientific Publishing Co. Pte. Ltd..
• Edward. O. Thorp, 2011. "Portfolio Choice And The Kelly Criterion," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 7, pages 81-90, World Scientific Publishing Co. Pte. Ltd..
• Nils H. Hakansson, 2011. "Optimal Investment And Consumption Strategies Under Risk For A Class Of Utility Functions," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 8, pages 91-111, World Scientific Publishing Co. Pte. Ltd..
• Nils H. Hakansson, 2011. "On Optimal Myopic Portfolio Policies, With And Without Serial Correlation Of Yields," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 9, pages 113-123, World Scientific Publishing Co. Pte. Ltd..
• Richard Roll, 2011. "Evidence On The “Growth-Optimum” Model," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 10, pages 125-140, World Scientific Publishing Co. Pte. Ltd..
• Robert M. Bell & Thomas M. Cover, 2011. "Competitive Optimality Of Logarithmic Investment," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 12, pages 147-152, World Scientific Publishing Co. Pte. Ltd..
• ANDREW R. BARRON & Thomas M. Cover, 2011. "A Bound on the Financial Value of Information," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 13, pages 153-156, World Scientific Publishing Co. Pte. Ltd..
• Paul H. Algoet & Thomas M. Cover, 2011. "Asymptotic Optimality And Asymptotic Equipartition Properties Of Log-Optimum Investment," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 14, pages 157-179, World Scientific Publishing Co. Pte. Ltd..
• Thomas M. Cover, 2011. "Universal Portfolios," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 15, pages 181-209, World Scientific Publishing Co. Pte. Ltd..
• Erik Ordentlich & Thomas M. Cover, 2011. "The Cost Of Achieving The Best Portfolio In Hindsight," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 16, pages 211-233, World Scientific Publishing Co. Pte. Ltd..
• Mark Finkelstein & Robert Whitley, 2011. "Optimal Strategies For Repeated Games," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 17, pages 235-248, World Scientific Publishing Co. Pte. Ltd..
• Vijay K. Chopra & William T. Ziemba, 2011. "The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 18, pages 249-257, World Scientific Publishing Co. Pte. Ltd..
• Leonard C. Maclean & William T. Ziemba & Yuming Li, 2011. "Time to wealth goals in capital accumulation," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 19, pages 259-271, World Scientific Publishing Co. Pte. Ltd..
• Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2011. "Survival and Evolutionary Stability of the Kelly Rule," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 20, pages 273-284, World Scientific Publishing Co. Pte. Ltd..
  • Igor V. EVSTIGNEEV & Thorsten HENS & Klaus Reiner SCHENK-HOPPE, 2009. "Survival and Evolutionary Stability of the Kelly Rule," Swiss Finance Institute Research Paper Series 09-32, Swiss Finance Institute.
• Yingdong Lv & Bernhard K. Meister, 2011. "Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 21, pages 285-297, World Scientific Publishing Co. Pte. Ltd..
• Sid Browne, 2011. "Survival And Growth With A Liability: Optimal Portfolio Strategies In Continuous Time," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 23, pages 307-332, World Scientific Publishing Co. Pte. Ltd..
• L. C. Maclean & W. T. Ziemba & G. Blazenko, 2011. "Growth Versus Security In Dynamic Investment Analysis," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 24, pages 331-354, World Scientific Publishing Co. Pte. Ltd..
• Leonard C. MacLean & Rafael Sanegre & Yonggan Zhao & William T. Ziemba, 2011. "Capital growth with security," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 25, pages 355-372, World Scientific Publishing Co. Pte. Ltd..
• Sid Browne, 2011. "Risk-Constrained Dynamic Active Portfolio Management," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 26, pages 373-384, World Scientific Publishing Co. Pte. Ltd..
• Mark Davis & Sébastien Lleo, 2011. "Fractional Kelly Strategies for Benchmarked Asset Management," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 27, pages 385-407, World Scientific Publishing Co. Pte. Ltd..
• Eckhard Platen, 2011. "A Benchmark Approach to Investing and Pricing," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 28, pages 409-426, World Scientific Publishing Co. Pte. Ltd..
  • Eckhard Platen, 2009. "A Benchmark Approach to Investing and Pricing," Research Paper Series 253, Quantitative Finance Research Centre, University of Technology, Sydney.
• Michael A. H. Dempster & Igor V. Evstigneev & Klaus Reiner Schenk-Hoppé, 2011. "Growing Wealth with Fixed-Mix Strategies," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 29, pages 427-455, World Scientific Publishing Co. Pte. Ltd..
  • Michael A.H. DEMPSTER & Igor V. EVSTIGNEEV & Klaus Reiner SCHENK-HOPPE, 2009. "Growing wealth with fixed-mix strategies," Swiss Finance Institute Research Paper Series 09-37, Swiss Finance Institute.
• Paul A. Samuelson, 2011. "Lifetime Portfolio Selection by Dynamic Stochastic Programming," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 31, pages 465-472, World Scientific Publishing Co. Pte. Ltd..
  • Samuelson, Paul A, 1969. "Lifetime Portfolio Selection by Dynamic Stochastic Programming," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 239-246, August.
• William T. Ziemba & Raymond G. Vickson, 2011. "Models of Optimal Capital Accumulation and Portfolio Selection and the Capital Growth Criterion," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 32, pages 473-485, World Scientific Publishing Co. Pte. Ltd..
• Paul A. Samuelson, 2011. "The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 33, pages 487-490, World Scientific Publishing Co. Pte. Ltd..
• Paul A. Samuelson, 2011. "Why We Should Not Make Mean Log of Wealth Big Though Years to Act Are Long," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 34, pages 491-493, World Scientific Publishing Co. Pte. Ltd..
  • Samuelson, Paul A., 1979. "Why we should not make mean log of wealth big though years to act are long," Journal of Banking & Finance, Elsevier, vol. 3(4), pages 305-307, December.
• Harry M. Markowitz, 2011. "Investment for the Long Run: New Evidence for an Old Rule," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 35, pages 495-508, World Scientific Publishing Co. Pte. Ltd..
  • Markowitz, Harry M, 1976. "Investment for the Long Run: New Evidence for an Old Rule," Journal of Finance, American Finance Association, vol. 31(5), pages 1273-1286, December.
• Edward O. Thorp, 2011. "Understanding the Kelly Criterion," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 36, pages 509-523, World Scientific Publishing Co. Pte. Ltd..
• E. Thorp & R. Whitley, 2011. "Concave Utilities are Distinguished by their Optimal Strategies," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 37, pages 525-542, World Scientific Publishing Co. Pte. Ltd..
• Leonard C. MacLean & Edward O. Thorp & Yonggan Zhao & William T. Ziemba, 2011. "Medium Term Simulations of The Full Kelly and Fractional Kelly Investment Strategies," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 38, pages 543-561, World Scientific Publishing Co. Pte. Ltd..
• Leonard C. MacLean & Edward O. Thorp & William T. Ziemba, 2011. "Good and Bad Properties of the Kelly Criterion," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 39, pages 563-572, World Scientific Publishing Co. Pte. Ltd..
• Nils H. Hakansson & William T Ziemba, 2011. "Capital Growth Theory," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 41, pages 577-598, World Scientific Publishing Co. Pte. Ltd..
• David G. Luenberger, 2011. "A preference foundation for log mean–variance criteria in portfolio choice problems," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 42, pages 599-618, World Scientific Publishing Co. Pte. Ltd..
• Michael Stutzer, 2011. "Portfolio choice with endogenous utility: a large deviations approach," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 43, pages 619-640, World Scientific Publishing Co. Pte. Ltd..
  • Stutzer, Michael, 2003. "Portfolio choice with endogenous utility: a large deviations approach," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 365-386.
• Michael Stutzer, 2011. "On Growth-Optimality vs. Security Against Underperformance," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 44, pages 641-653, World Scientific Publishing Co. Pte. Ltd..
• Donald B. Hausch & William T. Ziemba & Mark Rubinstein, 2011. "Efficiency of the Market for Racetrack Betting," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 46, pages 663-680, World Scientific Publishing Co. Pte. Ltd..
• Donald B. Hausch & William T. Ziemba, 2011. "Transactions Costs, Extent of Inefficiencies, Entries and Multiple Wagers in a Racetrack Betting Model," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 47, pages 681-694, World Scientific Publishing Co. Pte. Ltd..
• William T. Ziemba & Donald B. Hausch, 2011. "The Dr.Z Betting System in England," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 48, pages 695-702, World Scientific Publishing Co. Pte. Ltd..
• Robert R. Grauer & Nils H. Hakansson, 2011. "A Half Century of Returns on Levered and Unlevered Portfolios of Stocks, Bonds, and Bills, with and without Small Stocks," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 49, pages 703-734, World Scientific Publishing Co. Pte. Ltd..
• John M. Mulvey & Mehmet Bilgili & Taha M. Vural, 2011. "A Dynamic Portfolio of Investment Strategies: Applying Capital Growth with Drawdown Penalties," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 50, pages 735-751, World Scientific Publishing Co. Pte. Ltd..
• Markus Rudolf & William T. Ziemba, 2011. "Intertemporal surplus management," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 51, pages 753-768, World Scientific Publishing Co. Pte. Ltd..
• William T. Ziemba, 2011. "The Symmetric Downside-Risk Sharpe Ratio," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 52, pages 769-784, World Scientific Publishing Co. Pte. Ltd..
• R. E. S. Ziemba & William T. Ziemba, 2011. "Postscript: The Renaissance Medallion Fund," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 53, pages 785-788, World Scientific Publishing Co. Pte. Ltd..
• Edward O. Thorp, 2011. "The Kelly Criterion in Blackjack Sports Betting, and the Stock Market," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 54, pages 789-832, World Scientific Publishing Co. Pte. Ltd..
• Chow, Gregory C. & Liu, Changjiang & Niu, Linlin, 2011. "Co-movements of Shanghai and New York stock prices by time-varying regressions," Journal of Comparative Economics, Elsevier, vol. 39(4), pages 577-583.
  • Chow, Gregory C. & Liu, Changjiang & Niu, Linlin, 2011. "Co-movements of Shanghai and New York Stock prices by time-varying regressions," BOFIT Discussion Papers 16/2011, Bank of Finland Institute for Emerging Economies (BOFIT).
  • Gregory C Chow & Changjiang Liu & Linlin Niu, 2013. "Co-movements of Shanghai and New York Stock Prices by Time-varying Regressions," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
• Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter, 2011. "The merit of high-frequency data in portfolio allocation," SFB 649 Discussion Papers 2011-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  • Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter, 2011. "The merit of high-frequency data in portfolio allocation," CFS Working Paper Series 2011/24, Center for Financial Studies (CFS).
• Herrera, Rodrigo & Schipp, Bernhard, 2011. "Extreme value models in a conditional duration intensity framework," SFB 649 Discussion Papers 2011-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Reiß, Markus, 2011. "Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise," SFB 649 Discussion Papers 2011-028, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Bibinger, Markus, 2011. "Asymptotics of asynchronicity," SFB 649 Discussion Papers 2011-033, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Bibinger, Markus, 2011. "An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory," SFB 649 Discussion Papers 2011-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Chen, Ray-Bing & Chen, Ying & Härdle, Wolfgang Karl, 2011. "TVICA - time varying independent component analysis and its application to financial data," SFB 649 Discussion Papers 2011-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter, 2011. "The merit of high-frequency data in portfolio allocation," CFS Working Paper Series 2011/24, Center for Financial Studies (CFS).
  • Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter, 2011. "The merit of high-frequency data in portfolio allocation," SFB 649 Discussion Papers 2011-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Luc Bauwens & Christian M. Hafner & Diane Pierret, 2013. "Multivariate Volatility Modeling Of Electricity Futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 743-761, August.
  • BAUWENS, Luc & HAFNER, Christian & pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers CORE 2011011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • BAUWENS, Luc & HAFNER, Christian M. & PIERRET, Diane, 2013. "Multivariate volatility modeling of electricity futures," LIDAM Reprints CORE 2526, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Bauwens, Luc & Hafner, Christian M. & Pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," SFB 649 Discussion Papers 2011-063, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  • Bauwens, L. & Hafner, C. & Pierret, D., 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers ISBA 2011013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Milstein, Grigori N. & Spokoiny, Vladimir, 2011. "Martingale approach in pricing and hedging European options under regime-switching," SFB 649 Discussion Papers 2011-079, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Bibinger, Markus & Reiß, Markus, 2011. "Spectral estimation of covolatility from noisy observations using local weights," SFB 649 Discussion Papers 2011-086, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Frahm, Gabriel & Wiechers, Christof, 2011. "On the diversification of portfolios of risky assets," Discussion Papers in Econometrics and Statistics 2/11, University of Cologne, Institute of Econometrics and Statistics.
• Orth, Walter, 2011. "Multi-period credit default prediction with time-varying covariates," Discussion Papers in Econometrics and Statistics 3/11, University of Cologne, Institute of Econometrics and Statistics.
• Joseph P. Romano & Michael Wolf, 2011. "Testing for monotonicity in expected asset returns," ECON - Working Papers 017, Department of Economics - University of Zurich, revised Jan 2013.
• Rasmus Tangsgaard Varneskov, 2011. "Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise," CREATES Research Papers 2011-31, Department of Economics and Business Economics, Aarhus University.
• Rasmus Tangsgaard Varneskov, 2011. "Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices," CREATES Research Papers 2011-35, Department of Economics and Business Economics, Aarhus University.
• Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2013. "Financial Risk Measurement for Financial Risk Management," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1127-1220, Elsevier.
  • Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," PIER Working Paper Archive 11-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  • Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, Department of Economics and Business Economics, Aarhus University.
  • Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2012. "Financial Risk Measurement for Financial Risk Management," NBER Working Papers 18084, National Bureau of Economic Research, Inc.
• Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K., 2014. "Marginal likelihood for Markov-switching and change-point GARCH models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 508-522.
  • BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V.K., 2011. "Marginal likelihood for Markov-switching and change-point GARCH models," LIDAM Discussion Papers CORE 2011013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V.K., 2014. "Marginal likelihood for Markov-switching and change-point GARCH models," LIDAM Reprints CORE 2533, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Luc Luc & Arnaud Dufays & Jeroen V.K. Rombouts, 2011. "Marginal Likelihood for Markov-switching and Change-point Garch Models," CREATES Research Papers 2011-41, Department of Economics and Business Economics, Aarhus University.
  • Luc Bauwens & Arnaud Dufays & Jeroen Rombouts, 2011. "Marginal Likelihood for Markov-Switching and Change-Point Garch Models," CIRANO Working Papers 2011s-72, CIRANO.
  • Luc Bauwens & Arnaud Dufays & Jeroen V.K. Rombouts, 2011. "Marginal Likelihood for Markov-Switching and Change-Point GARCH Models," Cahiers de recherche 1138, CIRPEE.
• Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez, 2011. "Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX," CREATES Research Papers 2011-49, Department of Economics and Business Economics, Aarhus University.
• Andersen, Torben G. & Bondarenko, Oleg, 2014. "VPIN and the flash crash," Journal of Financial Markets, Elsevier, vol. 17(C), pages 1-46.
  • Torben G. Andersen & Oleg Bondarenko, 2011. "VPIN and the Flash Crash," CREATES Research Papers 2011-50, Department of Economics and Business Economics, Aarhus University.
• Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2011. "US International Equity Investment and Past and Prospective Returns," American Economic Review, American Economic Association, vol. 101(7), pages 3440-3455, December.
  • Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2011. "U.S. International Equity Investment and Past and Prospective Returns," NBER Working Papers 16677, National Bureau of Economic Research, Inc.
• Stephen Gilmore & Fumio Hayashi, 2011. "Emerging Market Currency Excess Returns," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(4), pages 85-111, October.
  • Stephen Gilmore & Fumio Hayashi, 2008. "Emerging Market Currency Excess Returns," NBER Working Papers 14528, National Bureau of Economic Research, Inc.
• Andrada-Félix, Julián & Fernández-Rodríguez, Fernando & Sosvilla-Rivero, Simón, 2012. "Historical financial analogies of the current crisis," Economics Letters, Elsevier, vol. 116(2), pages 190-192.
  • Julián Andrada-Félix & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2011. "Historical financial analogies of the current crisis," Working Papers del Instituto Complutense de Estudios Internacionales 1110, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
  • Julián Andrada-Félix & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2011. "Historical financial analogies of the current crisis," Working Papers 11-08, Asociación Española de Economía y Finanzas Internacionales.
• Serra, Teresa, 2011. "Volatility spillovers between food and energy markets: A semiparametric approach," Energy Economics, Elsevier, vol. 33(6), pages 1155-1164.
  • Serra, Teresa, 2011. "Volatility Spillovers between Food and Energy Markets, A Semiparametric Approach," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 115997, European Association of Agricultural Economists.
• Luc Bauwens & Christian M. Hafner & Diane Pierret, 2013. "Multivariate Volatility Modeling Of Electricity Futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 743-761, August.
  • BAUWENS, Luc & HAFNER, Christian & pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers CORE 2011011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • BAUWENS, Luc & HAFNER, Christian M. & PIERRET, Diane, 2013. "Multivariate volatility modeling of electricity futures," LIDAM Reprints CORE 2526, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Bauwens, L. & Hafner, C. & Pierret, D., 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers ISBA 2011013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • Bauwens, Luc & Hafner, Christian M. & Pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," SFB 649 Discussion Papers 2011-063, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," LIDAM Discussion Papers CORE 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Bauwens, L. & Hafner C. & Laurent, S., 2011. "Volatility Models," LIDAM Discussion Papers ISBA 2011044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • Bauwens, L. & Hafner, C. & Laurent, S., 2012. "Volatility Models," LIDAM Reprints ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Luca RICCETTI, 2011. "A Copula-GARCH Model for Macro Asset Allocation of a Portfolio with Commodities: an Out-of-Sample Analysis," Working Papers 355, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
• Toni Gravelle & Fuchun Li, 2011. "Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach," Staff Working Papers 11-19, Bank of Canada.
• Vladimir Simovic & Vojkan Vaskovic & Marko Rankovic & Slobodan Malinic, 2011. "The impact of the functional characteristics of a credit bureau on the level of indebtedness per capita: Evidence from East European countries," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 11(2), pages 101-130, December.
• Chow, Gregory C. & Liu, Changjiang & Niu, Linlin, 2011. "Co-movements of Shanghai and New York stock prices by time-varying regressions," Journal of Comparative Economics, Elsevier, vol. 39(4), pages 577-583.
  • Chow, Gregory C. & Liu, Changjiang & Niu, Linlin, 2011. "Co-movements of Shanghai and New York Stock prices by time-varying regressions," BOFIT Discussion Papers 16/2011, Bank of Finland, Institute for Economies in Transition.
  • Gregory C Chow & Changjiang Liu & Linlin Niu, 2013. "Co-movements of Shanghai and New York Stock Prices by Time-varying Regressions," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
• Ippei Fujiwara & Koji Takahashi, 2012. "Asian Financial Linkage: Macro‐Finance Dissonance," Pacific Economic Review, Wiley Blackwell, vol. 17(1), pages 136-159, February.
  • Ippei Fujiwara & Koji Takahashi, 2011. "Asian financial linkage: macro-finance dissonance," Globalization Institute Working Papers 92, Federal Reserve Bank of Dallas.
  • Ippei Fujiwara & Koji Takahashi, 2011. "Asian Financial Linkage: Macro-Finance Dissonance," Bank of Japan Working Paper Series 11-E-6, Bank of Japan.
• Perron, Pierre & Chun, Sungju & Vodounou, Cosme, 2013. "Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 42-62.
  • PERRON, Pierre & VODOUNOU, Cosme, 1998. "Sampling Interval and estimated Betas : Implications for the Presence of Transitory Components in Stock Prices," Cahiers de recherche 9816, Universite de Montreal, Departement de sciences economiques.
  • Pierre Perron & Sungju Chun & Cosme Vodounou, 2011. "Sampling Interval and Estimated Betas: Implications for the Presence of Transitory Components in Stock Prices," Boston University - Department of Economics - Working Papers Series WP2011-055, Boston University - Department of Economics.
• Jouvet, Pierre-André & Solier, Boris, 2013. "An overview of CO2 cost pass-through to electricity prices in Europe," Energy Policy, Elsevier, vol. 61(C), pages 1370-1376.
  • Boris Solier & Pierre-André Jouvet, 2011. "An overview of CO2 cost pass-through to electricity prices in Europe," Working Papers 1108, Chaire Economie du climat.
  • Pierre-André Jouvet & Boris Solier, 2013. "An overview of CO2 cost pass-through to electricity prices in Europe," Post-Print hal-01385884, HAL.
• Hanousek Jan & Kočenda Evžen & Novotný Jan, 2012. "The identification of price jumps," Monte Carlo Methods and Applications, De Gruyter, vol. 18(1), pages 53-77, January.
  • Jan Hanousek & Evzen Kocenda & Jan Novotny, 2011. "The Identification of Price Jumps," CERGE-EI Working Papers wp434, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2011. "How Prediction Markets can Save Event Studies," CAMA Working Papers 2011-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2011. "How Prediction Markets can Save Event Studies," CESifo Working Paper Series 3434, CESifo.
  • Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric, 2011. "How Prediction Markets Can Save Event Studies," IZA Discussion Papers 5640, Institute of Labor Economics (IZA).
  • Wolfers, Justin & Zitzewitz, Eric & Snowberg, Erik, 2011. "How Prediction Markets Can Save Event Studies," CEPR Discussion Papers 8351, C.E.P.R. Discussion Papers.
  • Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2011. "How Prediction Markets Can Save Event Studies," NBER Working Papers 16949, National Bureau of Economic Research, Inc.
• Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K., 2014. "Marginal likelihood for Markov-switching and change-point GARCH models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 508-522.
  • Luc Luc & Arnaud Dufays & Jeroen V.K. Rombouts, 2011. "Marginal Likelihood for Markov-switching and Change-point Garch Models," CREATES Research Papers 2011-41, Department of Economics and Business Economics, Aarhus University.
  • BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V.K., 2014. "Marginal likelihood for Markov-switching and change-point GARCH models," LIDAM Reprints CORE 2533, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Luc Bauwens & Arnaud Dufays & Jeroen Rombouts, 2011. "Marginal Likelihood for Markov-Switching and Change-Point Garch Models," CIRANO Working Papers 2011s-72, CIRANO.
  • BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V.K., 2011. "Marginal likelihood for Markov-switching and change-point GARCH models," LIDAM Discussion Papers CORE 2011013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Luc Bauwens & Arnaud Dufays & Jeroen V.K. Rombouts, 2011. "Marginal Likelihood for Markov-Switching and Change-Point GARCH Models," Cahiers de recherche 1138, CIRPEE.
• Luis García-Álvarez & Richard Luger, 2011. "Dynamic Correlations, Estimation Risk, and Porfolio Management During the Financial Crisis," Working Papers wp2011_1103, CEMFI, revised Sep 2011.
• Castro, Carlos & Ferrari, Stijn, 2014. "Measuring and testing for the systemically important financial institutions," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 1-14.
  • Carlos Castro & Stijn Ferrari, 2011. "Measuring and testing for the systemically important financial institutions," Documentos de Trabajo 8779, Universidad del Rosario.
  • Carlos Castro & Stijn Ferrari, 2012. "Measuring and testing for the systemically important financial institutions," Working Paper Research 228, National Bank of Belgium.
• Jorge Mario Uribe Gil & Inés María Ulloa Villegas, 2011. "Revisando la hipótesis de los mercados eficientes: nuevos datos, nuevas crisis y nuevas estimaciones," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Bouezmarni, Taoufik & Van Bellegem, Sébastien, 2009. "Nonparametric Beta Kernel Estimator for Long Memory Time Series," TSE Working Papers 09-082, Toulouse School of Economics (TSE).
  • BOUEZMARNI, Taoufik & VAN BELLEGEM, Sébastien, 2011. "Nonparametric Beta kernel estimator for long memory time series," LIDAM Discussion Papers CORE 2011004, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Bouezmarni, Taoufik & Van Bellegem, Sébastien, 2009. "Nonparametric Beta Kernel Estimator for Long Memory Time Series," IDEI Working Papers 633, Institut d'Économie Industrielle (IDEI), Toulouse.
• Luc Bauwens & Christian M. Hafner & Diane Pierret, 2013. "Multivariate Volatility Modeling Of Electricity Futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 743-761, August.
  • Bauwens, L. & Hafner, C. & Pierret, D., 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers ISBA 2011013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • BAUWENS, Luc & HAFNER, Christian M. & PIERRET, Diane, 2013. "Multivariate volatility modeling of electricity futures," LIDAM Reprints CORE 2526, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • BAUWENS, Luc & HAFNER, Christian & pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers CORE 2011011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Bauwens, Luc & Hafner, Christian M. & Pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," SFB 649 Discussion Papers 2011-063, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K., 2014. "Marginal likelihood for Markov-switching and change-point GARCH models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 508-522.
  • Luc Luc & Arnaud Dufays & Jeroen V.K. Rombouts, 2011. "Marginal Likelihood for Markov-switching and Change-point Garch Models," CREATES Research Papers 2011-41, Department of Economics and Business Economics, Aarhus University.
  • BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V.K., 2014. "Marginal likelihood for Markov-switching and change-point GARCH models," LIDAM Reprints CORE 2533, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V.K., 2011. "Marginal likelihood for Markov-switching and change-point GARCH models," LIDAM Discussion Papers CORE 2011013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Luc Bauwens & Arnaud Dufays & Jeroen Rombouts, 2011. "Marginal Likelihood for Markov-Switching and Change-Point Garch Models," CIRANO Working Papers 2011s-72, CIRANO.
  • Luc Bauwens & Arnaud Dufays & Jeroen V.K. Rombouts, 2011. "Marginal Likelihood for Markov-Switching and Change-Point GARCH Models," Cahiers de recherche 1138, CIRPEE.
• VAN BELLEGEM, Sébastien, 2011. "Locally stationary volatility modelling," LIDAM Discussion Papers CORE 2011041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• BAUWENS, Luc & DUFAYS, Arnaud & DE BACKER, Bruno, 2011. "Estimating and forecasting structural breaks in financial time series," LIDAM Discussion Papers CORE 2011055, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Bauwens, L. & Hafner C. & Laurent, S., 2011. "Volatility Models," LIDAM Discussion Papers ISBA 2011044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," LIDAM Discussion Papers CORE 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Bauwens, L. & Hafner, C. & Laurent, S., 2012. "Volatility Models," LIDAM Reprints ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
• Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2011. "How Prediction Markets can Save Event Studies," CAMA Working Papers 2011-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Wolfers, Justin & Zitzewitz, Eric & Snowberg, Erik, 2011. "How Prediction Markets Can Save Event Studies," CEPR Discussion Papers 8351, C.E.P.R. Discussion Papers.
  • Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2011. "How Prediction Markets can Save Event Studies," CESifo Working Paper Series 3434, CESifo.
  • Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric, 2011. "How Prediction Markets Can Save Event Studies," IZA Discussion Papers 5640, Institute of Labor Economics (IZA).
  • Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2011. "How Prediction Markets Can Save Event Studies," NBER Working Papers 16949, National Bureau of Economic Research, Inc.
• Alain Monfort & Olivier Féron, 2012. "Joint econometric modeling of spot electricity prices, forwards and options," Review of Derivatives Research, Springer, vol. 15(3), pages 217-256, October.
  • Alain Monfort & Olivier Féron, 2011. "Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options," Working Papers 2011-12, Center for Research in Economics and Statistics.
• Gonzalo, Jesús & Taamouti, Abderrahim, 2011. "The reaction of stock market returns to anticipated unemployment," UC3M Working papers. Economics we1145, Universidad Carlos III de Madrid. Departamento de Economía.
  • Gonzalo, Jesús & Taamouti, Abderrahim, 2012. "The reaction of stock market returns to anticipated unemployment," UC3M Working papers. Economics we1237, Universidad Carlos III de Madrid. Departamento de Economía.
• Kanaya, Shin & Otsu, Taisuke, 2012. "Large deviations of realized volatility," Stochastic Processes and their Applications, Elsevier, vol. 122(2), pages 546-581.
  • Shin Kanaya & Taisuke Otsu, 2011. "Large Deviations of Realized Volatility," Cowles Foundation Discussion Papers 1798, Cowles Foundation for Research in Economics, Yale University.
• Riana Iren RADU, 2011. "Econometric Model – A Tool in Financial Management," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 49-54.
• van Oordt, Maarten R.C. & Zhou, Chen, 2012. "The simple econometrics of tail dependence," Economics Letters, Elsevier, vol. 116(3), pages 371-373.
  • Maarten R.C. van Oordt & Chen Zhou, 2011. "The simple econometrics of tail dependence," DNB Working Papers 296, Netherlands Central Bank, Research Department.
• Malik, Sheheryar & Pitt, Michael K., 2011. "Particle filters for continuous likelihood evaluation and maximisation," Journal of Econometrics, Elsevier, vol. 165(2), pages 190-209.
• van der Laan, Gerard & Talman, Dolf & Yang, Zaifu, 2011. "Solving discrete systems of nonlinear equations," European Journal of Operational Research, Elsevier, vol. 214(3), pages 493-500, November.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2008. "Solving Discrete Systems of Nonlinear Equations," Discussion Paper 2008-105, Tilburg University, Center for Economic Research.
  • Gerard van der Laan & Dolf Talman & Zaifu Yang, 2009. "Solving Discrete Systems of Nonlinear Equations," Tinbergen Institute Discussion Papers 09-062/1, Tinbergen Institute.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2008. "Solving Discrete Systems of Nonlinear Equations," Other publications TiSEM 38ca20ed-7652-4b71-acd6-2, Tilburg University, School of Economics and Management.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2011. "Solving discrete systems of nonlinear equations," Other publications TiSEM 81f0a46c-3c9d-4757-bfa1-0, Tilburg University, School of Economics and Management.
• Serra, Teresa, 2011. "Volatility spillovers between food and energy markets: A semiparametric approach," Energy Economics, Elsevier, vol. 33(6), pages 1155-1164.
  • Serra, Teresa, 2011. "Volatility Spillovers between Food and Energy Markets, A Semiparametric Approach," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 115997, European Association of Agricultural Economists.
• Sabbaghi, Omid, 2011. "Asymmetric volatility and trading volume: The G5 evidence," Global Finance Journal, Elsevier, vol. 22(2), pages 169-181.
• Huse, Cristian, 2011. "Term structure modelling with observable state variables," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3240-3252.
• Chow, Gregory C. & Liu, Changjiang & Niu, Linlin, 2011. "Co-movements of Shanghai and New York stock prices by time-varying regressions," Journal of Comparative Economics, Elsevier, vol. 39(4), pages 577-583.
  • Chow, Gregory C. & Liu, Changjiang & Niu, Linlin, 2011. "Co-movements of Shanghai and New York Stock prices by time-varying regressions," BOFIT Discussion Papers 16/2011, Bank of Finland Institute for Emerging Economies (BOFIT).
  • Gregory C Chow & Changjiang Liu & Linlin Niu, 2013. "Co-movements of Shanghai and New York Stock Prices by Time-varying Regressions," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
• Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2011. "How Prediction Markets Can Save Event Studies," NBER Working Papers 16949, National Bureau of Economic Research, Inc.
  • Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2011. "How Prediction Markets can Save Event Studies," CAMA Working Papers 2011-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2011. "How Prediction Markets can Save Event Studies," CESifo Working Paper Series 3434, CESifo.
  • Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric, 2011. "How Prediction Markets Can Save Event Studies," IZA Discussion Papers 5640, Institute of Labor Economics (IZA).
  • Wolfers, Justin & Zitzewitz, Eric & Snowberg, Erik, 2011. "How Prediction Markets Can Save Event Studies," CEPR Discussion Papers 8351, C.E.P.R. Discussion Papers.
• Fernández-Macho, Javier, 2012. "Wavelet multiple correlation and cross-correlation: A multiscale analysis of Eurozone stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1097-1104.
  • Fernández Macho, Francisco Javier, 2011. "Wavelet multiple correlation and cross-correlation: A multiscale analysis of euro zone stock markets," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
• Milan Rippel & Ivo Jánský, 2011. "Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility," Working Papers IES 2011/27, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2011.
• Ippei Fujiwara & Koji Takahashi, 2012. "Asian Financial Linkage: Macro‐Finance Dissonance," Pacific Economic Review, Wiley Blackwell, vol. 17(1), pages 136-159, February.
  • Ippei Fujiwara & Koji Takahashi, 2011. "Asian Financial Linkage: Macro-Finance Dissonance," Bank of Japan Working Paper Series 11-E-6, Bank of Japan.
  • Ippei Fujiwara & Koji Takahashi, 2011. "Asian financial linkage: macro-finance dissonance," Globalization Institute Working Papers 92, Federal Reserve Bank of Dallas.
• Aramonte, Sirio & Giudice Rodriguez, Marius del & Wu, Jason, 2013. "Dynamic factor Value-at-Risk for large heteroskedastic portfolios," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4299-4309.
  • Sirio Aramonte & Marius del Giudice Rodriguez & Jason J. Wu, 2011. "Dynamic factor value-at-risk for large, heteroskedastic portfolios," Finance and Economics Discussion Series 2011-19, Board of Governors of the Federal Reserve System (U.S.).
• Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2015. "Regression-based estimation of dynamic asset pricing models," Journal of Financial Economics, Elsevier, vol. 118(2), pages 211-244.
  • Tobias Adrian & Richard K. Crump & Emanuel Moench, 2011. "Regression-based estimation of dynamic asset pricing models," Staff Reports 493, Federal Reserve Bank of New York.
  • Moench, Emanuel & Adrian, Tobias & Crump, Richard K., 2015. "Regression Based Estimation of Dynamic Asset Pricing Models," CEPR Discussion Papers 10449, C.E.P.R. Discussion Papers.
• Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo, 2011. "Multiplicative Error Models," Econometrics Working Papers Archive 2011_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Apr 2011.
• Deschamps, Philippe J., 2012. "Bayesian estimation of generalized hyperbolic skewed student GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3035-3054.
  • Deschamps, Philippe J., 2011. "Bayesian Estimation of Generalized Hyperbolic Skewed Student GARCH Models," DQE Working Papers 16, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland, revised 09 Jun 2012.
• Rebiasz, B., 2011. "Arithmetic Operations On Interactive Fuzzy Numbers In Financial Analysis," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(1), pages 39-65, May.
• Peter Martey Addo & Monica Billio & Dominique Guegan, 2011. "A test for a new modelling : The Univariate MT-STAR Model," Post-Print halshs-00659158, HAL.
  • Peter Martey Addo & Monica Billio & Dominique Guegan, 2011. "A test for a new modelling : The Univariate MT-STAR Model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00659158, HAL.
  • Peter Martey Addo & Monica Billio & Dominique Guegan, 2011. "A test for a new modelling: The Univariate MT-STAR Model," Documents de travail du Centre d'Economie de la Sorbonne 11083, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Peter Martey Addo & Monica Billio & Dominique Guegan, 2011. "A test for a new modelling : The Univariate MT-STAR Model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00659158, HAL.
  • Peter Martey Addo & Monica Billio & Dominique Guegan, 2011. "A test for a new modelling : The Univariate MT-STAR Model," Post-Print halshs-00659158, HAL.
  • Peter Martey Addo & Monica Billio & Dominique Guegan, 2011. "A test for a new modelling: The Univariate MT-STAR Model," Documents de travail du Centre d'Economie de la Sorbonne 11083, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Kurozumi, Eiji & Aono, Kohei, 2013. "Estimation And Inference In Predictive Regressions," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 54(2), pages 231-250, December.
  • Eiji Kurozumi & Kohei Aono, 2011. "Estimation and Inference in Predictive Regressions," Global COE Hi-Stat Discussion Paper Series gd11-192, Institute of Economic Research, Hitotsubashi University.
• Rodrigo Herrera & Bernhard Schipp, 2011. "Extreme value models in a conditional duration intensity framework," SFB 649 Discussion Papers SFB649DP2011-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Markus Reiß, 2011. "Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise," SFB 649 Discussion Papers SFB649DP2011-028, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Markus Bibinger, 2011. "Asymptotics of Asynchronicity," SFB 649 Discussion Papers SFB649DP2011-033, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Markus Bibinger, 2011. "An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory," SFB 649 Discussion Papers SFB649DP2011-034, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Ray-Bing Chen & Ying Chen & Wolfgang Härdle, 2011. "TVICA - Time Varying Independent Component Analysis and Its Application to Financial Data," SFB 649 Discussion Papers SFB649DP2011-054, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter, 2011. "The merit of high-frequency data in portfolio allocation," CFS Working Paper Series 2011/24, Center for Financial Studies (CFS).
  • Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2011. "The Merit of High-Frequency Data in Portfolio Allocation," SFB 649 Discussion Papers SFB649DP2011-059, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Luc Bauwens & Christian M. Hafner & Diane Pierret, 2013. "Multivariate Volatility Modeling Of Electricity Futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 743-761, August.
  • Bauwens, L. & Hafner, C. & Pierret, D., 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers ISBA 2011013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  • BAUWENS, Luc & HAFNER, Christian M. & PIERRET, Diane, 2013. "Multivariate volatility modeling of electricity futures," LIDAM Reprints CORE 2526, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Luc Bauwens & Christian M. Hafner & Diane Pierret, 2011. "Multivariate Volatility Modeling of Electricity Futures," SFB 649 Discussion Papers SFB649DP2011-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  • BAUWENS, Luc & HAFNER, Christian & pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers CORE 2011011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Grigori N. Milstein & Vladimir Spokoiny, 2011. "Martingale approach in pricing and hedging European options under regime-switching," SFB 649 Discussion Papers SFB649DP2011-079, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Markus Bibinger & Markus Reiß, 2011. "Spectral estimation of covolatility from noisy observations using local weights," SFB 649 Discussion Papers SFB649DP2011-086, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

2010

• Almut Veraart, 2011. "How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 95(3), pages 253-291, September.
  • Almut E. D. Veraart, 2010. "How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?," CREATES Research Papers 2010-65, Department of Economics and Business Economics, Aarhus University.
• Kanaya, Shin & Kristensen, Dennis, 2016. "Estimation Of Stochastic Volatility Models By Nonparametric Filtering," Econometric Theory, Cambridge University Press, vol. 32(4), pages 861-916, August.
  • Shin Kanaya & Dennis Kristensen, 2010. "Estimation of Stochastic Volatility Models by Nonparametric Filtering," CREATES Research Papers 2010-67, Department of Economics and Business Economics, Aarhus University.
  • Shin Kanaya & Dennis Kristensen, 2015. "Estimation of stochastic volatility models by nonparametric filtering," CeMMAP working papers 09/15, Institute for Fiscal Studies.
  • Shin Kanaya & Dennis Kristensen, 2015. "Estimation of stochastic volatility models by nonparametric filtering," CeMMAP working papers CWP09/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Nektarios Aslanidis & Isabel Casas, 2010. "Modelling asset correlations during the recent FInancial crisis: A semiparametric approach," CREATES Research Papers 2010-71, Department of Economics and Business Economics, Aarhus University.
• Peter R. Hansen & Asger Lunde & Valeri Voev, 2010. "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," CREATES Research Papers 2010-74, Department of Economics and Business Economics, Aarhus University.
  • Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012. "Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," Economics Working Papers ECO2012/28, European University Institute.
  • Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012. "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility," Global COE Hi-Stat Discussion Paper Series gd12-269, Institute of Economic Research, Hitotsubashi University.
• Luca RICCETTI, 2010. "From Moments, Co-Moments and Mean-Variance weights to Copula Portfolio Allocation," Working Papers 351, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
• Jirô Akahori & Andrea Macrina, 2022. "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," World Scientific Book Chapters, in: Dorje Brody & Lane Hughston & Andrea Macrina (ed.), Financial Informatics An Information-Based Approach to Asset Pricing, chapter 9, pages 179-193, World Scientific Publishing Co. Pte. Ltd..
  • Jirô Akahori & Andrea Macrina, 2012. "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 1, pages 1-15, World Scientific Publishing Co. Pte. Ltd..
  • Jirô Akahori & Andrea Macrina, 2012. "Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(01), pages 1-15.
  • Jiro Akahori & Andrea Macrina, 2010. "Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes," Papers 1012.1878, arXiv.org.
• Geir E. Alstad, 2010. "The long-run exchange rate for NOK: a BEER approach," Working Paper 2010/19, Norges Bank.
• David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CIRJE F-Series CIRJE-F-693, CIRJE, Faculty of Economics, University of Tokyo.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2013. "Realized Volatility Risk," Tinbergen Institute Discussion Papers 13-092/III, Tinbergen Institute.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2013. "Realized volatility risk," Documentos de Trabajo del ICAE 2013-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," Working Papers in Economics 10/26, University of Canterbury, Department of Economics and Finance.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CARF F-Series CARF-F-197, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2010.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," KIER Working Papers 753, Kyoto University, Institute of Economic Research.
• Massimiliano Caporin & Michael McAleer, 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," KIER Working Papers 724, Kyoto University, Institute of Economic Research.
  • Massimiliano Caporin & Michael McAleer, 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," Working Papers in Economics 10/58, University of Canterbury, Department of Economics and Finance.
  • Caporin, M. & McAleer, M.J., 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," Econometric Institute Research Papers EI 2010-57, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Marta Felis-Rota, 2010. "Social Capital and Climate A First Statistical Approach," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 33(93), pages 19-34, Octubre-D.
• Natàlia Valls Ruiz & Helena Chuliá Soler, 2010. "Análisis de volatilidad y correlación entre Estados Unidos y Asia," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 33(93), pages 35-56, Octubre-D.
• Massimiliano Caporin & Michael McAleer, 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," Working Papers in Economics 10/58, University of Canterbury, Department of Economics and Finance.
  • Caporin, M. & McAleer, M.J., 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," Econometric Institute Research Papers EI 2010-57, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," KIER Working Papers 724, Kyoto University, Institute of Economic Research.
• Amir Safari & Detlef Seese, 2010. "Behavior of realized volatility and correlation in exchange markets," International Econometric Review (IER), Econometric Research Association, vol. 2(2), pages 73-96, September.
• Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2014. "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Management Science, INFORMS, vol. 60(7), pages 1772-1791, July.
  • Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2010. "Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules," Working Papers 2010-008, Federal Reserve Bank of St. Louis.
  • Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2011. "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Working Papers CoFie-02-2011, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
• Iordanis Kalaitzoglou & Boulis Maher Ibrahim, 2010. "Does Order Flow in the European Carbon Allowances Market Reveal Information?," CFI Discussion Papers 1003, Centre for Finance and Investment, Heriot Watt University.
• Marco Cipriani & Antonio Guarino, 2014. "Estimating a Structural Model of Herd Behavior in Financial Markets," American Economic Review, American Economic Association, vol. 104(1), pages 224-251, January.
  • Antonio Guarino & Marco Cipriani, 2010. "Estimating a Structural Model of Herd Behavior in Financial Markets," IMF Working Papers 10/288, International Monetary Fund.
  • Marco Cipriani & Antonio Guarino, 2012. "Estimating a structural model of herd behavior in financial markets," Staff Reports 561, Federal Reserve Bank of New York.
• Marco Cipriani & Antonio Guarino, 2014. "Estimating a Structural Model of Herd Behavior in Financial Markets," American Economic Review, American Economic Association, vol. 104(1), pages 224-251, January.
  • Antonio Guarino & Marco Cipriani, 2010. "Estimating a Structural Model of Herd Behavior in Financial Markets," IMF Working Papers 2010/288, International Monetary Fund.
  • Marco Cipriani & Antonio Guarino, 2012. "Estimating a structural model of herd behavior in financial markets," Staff Reports 561, Federal Reserve Bank of New York.
• Caporin, M. & McAleer, M.J., 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," Econometric Institute Research Papers EI 2010-57, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Massimiliano Caporin & Michael McAleer, 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," KIER Working Papers 724, Kyoto University, Institute of Economic Research.
  • Massimiliano Caporin & Michael McAleer, 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," Working Papers in Economics 10/58, University of Canterbury, Department of Economics and Finance.
• David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CIRJE F-Series CIRJE-F-693, CIRJE, Faculty of Economics, University of Tokyo.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," KIER Working Papers 753, Kyoto University, Institute of Economic Research.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2013. "Realized volatility risk," Documentos de Trabajo del ICAE 2013-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," Working Papers in Economics 10/26, University of Canterbury, Department of Economics and Finance.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CARF F-Series CARF-F-197, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2010.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2013. "Realized Volatility Risk," Tinbergen Institute Discussion Papers 13-092/III, Tinbergen Institute.
• Ralf Becker & Adam Clements & Robert O'Neill, 2010. "A Kernel Technique for Forecasting the Variance-Covariance Matrix," NCER Working Paper Series 66, National Centre for Econometric Research.
  • Ralf Becker & Adam Clements & Robert O'Neill, 2010. "A Kernel Technique for Forecasting the Variance-Covariance Matrix," Centre for Growth and Business Cycle Research Discussion Paper Series 151, Economics, The University of Manchester.
• Maneesoonthorn, Worapree & Martin, Gael M. & Forbes, Catherine S. & Grose, Simone D., 2012. "Probabilistic forecasts of volatility and its risk premia," Journal of Econometrics, Elsevier, vol. 171(2), pages 217-236.
  • Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes & Simone Grose, 2010. "Probabilistic Forecasts of Volatility and its Risk Premia," Monash Econometrics and Business Statistics Working Papers 22/10, Monash University, Department of Econometrics and Business Statistics.
• Leo Krippner, 2010. "A theoretical foundation for the Nelson and Siegel class of yield curve models, and an empirical application to U.S. yield curve dynamics," Reserve Bank of New Zealand Discussion Paper Series DP2010/11, Reserve Bank of New Zealand.
• Hiremath, Gourishankar S & Bandi, Kamaiah, 2010. "Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test," MPRA Paper 46502, University Library of Munich, Germany.
• Aviral Kumar TIWARI & Raveesh KRISHNANKUTTY, 2014. "Determinants of capital structure: comparison of empirical evidence for the use of different estimators," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(12(601)), pages 63-82, December.
  • tiwari, aviral kumar & krishnankutty, Raveesh, 2010. "Determinants of capital Structure: comparison of empirical evidence for the use of different estimators," MPRA Paper 48612, University Library of Munich, Germany.
• Головань С.В. & Назин В.В. & Пересецкий А.А., 2010. "Непараметрические Оценки Эффективности Российских Банков," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 46(3), июль.
  • Golovan, Sergei & Nazin, Vladimir & Peresetsky, Anatoly, 2010. "Непараметрические Оценки Эффективности Российских Банков [Nonparametric estimates of Russian banks efficiency]," MPRA Paper 56037, University Library of Munich, Germany, revised 2010.
• Chadwick, Meltem, 2010. "Performance of Bayesian Latent Factor Models in Measuring Pricing Errors," MPRA Paper 79060, University Library of Munich, Germany.
• Iveta Řepková, 2010. "Structural Determinants of the Total Loans Volume in the Czech Republic," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2010(3), pages 75-83.
• Ralf Becker & Adam Clements & Robert O'Neill, 2010. "A Kernel Technique for Forecasting the Variance-Covariance Matrix," Centre for Growth and Business Cycle Research Discussion Paper Series 151, Economics, The University of Manchester.
  • Ralf Becker & Adam Clements & Robert O'Neill, 2010. "A Kernel Technique for Forecasting the Variance-Covariance Matrix," NCER Working Paper Series 66, National Centre for Econometric Research.
• Головань С.В. & Назин В.В. & Пересецкий А.А., 2010. "Непараметрические Оценки Эффективности Российских Банков," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 46(3), июль.
  • Golovan, Sergei & Nazin, Vladimir & Peresetsky, Anatoly, 2010. "Непараметрические Оценки Эффективности Российских Банков [Nonparametric estimates of Russian banks efficiency]," MPRA Paper 56037, University Library of Munich, Germany, revised 2010.
• Indika Karunanayake & Valadkhani, Abbas & O'Brien, Martin, 2010. "An Empirical Analysis of International Stock Market Volatility Transmission," Economics Working Papers wp10-09, School of Economics, University of Wollongong, NSW, Australia.
• Qian Chen & David E. Giles & Hui Feng, 2012. "The extreme-value dependence between the Chinese and other international stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 22(14), pages 1147-1160, July.
  • David E. Giles, 2010. "The Extreme-Value Dependence Between the Chinese and Other International Stock Markets," Econometrics Working Papers 1003, Department of Economics, University of Victoria.
• Dorota Kurowicka & Harry Joe (ed.), 2010. "Dependence Modeling:Vine Copula Handbook," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7699.
• Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2012. "The conditional autoregressive Wishart model for multivariate stock market volatility," Journal of Econometrics, Elsevier, vol. 167(1), pages 211-223.
  • Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2010. "The conditional autoregressive wishart model for multivariate stock market volatility," Economics Working Papers 2010-07, Christian-Albrechts-University of Kiel, Department of Economics.

2009

• Bouezmarni, Taoufik & Van Bellegem, Sébastien, 2009. "Nonparametric Beta Kernel Estimator for Long Memory Time Series," TSE Working Papers 09-082, Toulouse School of Economics (TSE).
  • Bouezmarni, Taoufik & Van Bellegem, Sébastien, 2009. "Nonparametric Beta Kernel Estimator for Long Memory Time Series," IDEI Working Papers 633, Institut d'Économie Industrielle (IDEI), Toulouse.
  • BOUEZMARNI, Taoufik & VAN BELLEGEM, Sébastien, 2011. "Nonparametric Beta kernel estimator for long memory time series," LIDAM Discussion Papers CORE 2011004, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Hiremath, Gourishankar S & Bandi, Kamaiah, 2009. "On the random walk characteristics of stock returns in India," MPRA Paper 46499, University Library of Munich, Germany.
• Lal, Amant, 2009. "An Empirical Time Series Model of Economic Growth and Environment," MPRA Paper 66475, University Library of Munich, Germany.
• Korkmaz, Turhan & Cevik, Emrah Ismail & Özataç, Nesrin, 2009. "Testing for long memory in ISE using Arfima-Figarch model and structural break test," MPRA Paper 71302, University Library of Munich, Germany.
• Jaramba, Toddy & Fadiran, Gideon, 2009. "Analysis of Volatility transmission across South African Financial Markets," MPRA Paper 77592, University Library of Munich, Germany, revised 16 Mar 2017.
• CHIKHI, Mohamed, 2009. "Identification non paramétrique d’un processus non linéaire hétéroscédastique [Nonparametric identification of heteroscedastic nonlinear process]," MPRA Paper 82108, University Library of Munich, Germany, revised 2009.
• Ghassan, Hassan & Abdullah, Abdelgader, 2009. "Does the entry of foreign investors influence the volatility of Doha Securities Market?," MPRA Paper 95620, University Library of Munich, Germany, revised 2010.
• Bikbov, Ruslan & Chernov, Mikhail, 2013. "Monetary policy regimes and the term structure of interest rates," Journal of Econometrics, Elsevier, vol. 174(1), pages 27-43.
  • Chernov, Mikhail & Bikbov, Ruslan, 2008. "Monetary Policy Regimes and the Term Structure of Interest Rates," CEPR Discussion Papers 7096, C.E.P.R. Discussion Papers.
  • Mikhail Chernov & Ruslan Bikbov, 2009. "Monetary Policy Regimes and the Term Structure of Interest Rates," 2009 Meeting Papers 334, Society for Economic Dynamics.
• Fantazzini , Dean, 2009. "Credit Risk Management (Cont.)," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 13(1), pages 105-138.
• Fantazzini , Dean, 2009. "Econometric Analysis of Financial Data in Risk Management," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 14(2), pages 100-127.
  • Fantazzini, Dean, 2008. "An Econometric Analysis of Financial Data in Risk Management," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 10(2), pages 91-137.
• Sorjamaa, Antti & Merlin, Paul & Maillet, Bertrand & Lendasse, Amaury, 2009. "A Non-Linear Approach for Completing Missing Values in Temporal Databases," European Journal of Economic and Social Systems, Lavoisier, vol. 22(1), pages 99-117.
• van der Laan, Gerard & Talman, Dolf & Yang, Zaifu, 2011. "Solving discrete systems of nonlinear equations," European Journal of Operational Research, Elsevier, vol. 214(3), pages 493-500, November.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2008. "Solving Discrete Systems of Nonlinear Equations," Discussion Paper 2008-105, Tilburg University, Center for Economic Research.
  • Gerard van der Laan & Dolf Talman & Zaifu Yang, 2009. "Solving Discrete Systems of Nonlinear Equations," Tinbergen Institute Discussion Papers 09-062/1, Tinbergen Institute.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2008. "Solving Discrete Systems of Nonlinear Equations," Other publications TiSEM 38ca20ed-7652-4b71-acd6-2, Tilburg University, School of Economics and Management.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2011. "Solving discrete systems of nonlinear equations," Other publications TiSEM 81f0a46c-3c9d-4757-bfa1-0, Tilburg University, School of Economics and Management.
• Talman, Dolf & Yang, Zaifu, 2009. "A discrete multivariate mean value theorem with applications," European Journal of Operational Research, Elsevier, vol. 192(2), pages 374-381, January.
  • Talman, A.J.J. & Yang, Z.F., 2006. "A Discrete Multivariate Mean Value Theorem with Applications," Other publications TiSEM 84f991df-1e9b-42d9-9637-3, Tilburg University, School of Economics and Management.
  • Talman, A.J.J. & Yang, Z.F., 2009. "A discrete multivariate mean value theorem with applications," Other publications TiSEM d48f2a19-dcc2-40e4-9085-5, Tilburg University, School of Economics and Management.
  • Talman, A.J.J. & Yang, Z.F., 2006. "A Discrete Multivariate Mean Value Theorem with Applications," Discussion Paper 2006-106, Tilburg University, Center for Economic Research.
• David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CARF F-Series CARF-F-197, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2010.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," Working Papers in Economics 10/26, University of Canterbury, Department of Economics and Finance.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," KIER Working Papers 753, Kyoto University, Institute of Economic Research.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2013. "Realized volatility risk," Documentos de Trabajo del ICAE 2013-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CIRJE F-Series CIRJE-F-693, CIRJE, Faculty of Economics, University of Tokyo.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2013. "Realized Volatility Risk," Tinbergen Institute Discussion Papers 13-092/III, Tinbergen Institute.
• Bouezmarni, Taoufik & Van Bellegem, Sébastien, 2009. "Nonparametric Beta Kernel Estimator for Long Memory Time Series," IDEI Working Papers 633, Institut d'Économie Industrielle (IDEI), Toulouse.
  • Bouezmarni, Taoufik & Van Bellegem, Sébastien, 2009. "Nonparametric Beta Kernel Estimator for Long Memory Time Series," TSE Working Papers 09-082, Toulouse School of Economics (TSE).
  • BOUEZMARNI, Taoufik & VAN BELLEGEM, Sébastien, 2011. "Nonparametric Beta kernel estimator for long memory time series," LIDAM Discussion Papers CORE 2011004, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Dipak Basu (ed.), 2009. "Economic Models:Methods, Theory and Applications," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7085.
• Olav Bjerkholt, 2009. "Some Unresolved Problems of Mathematical Programming," World Scientific Book Chapters, in: Dipak Basu (ed.), Economic Models Methods, Theory and Applications, chapter 1, pages 3-19, World Scientific Publishing Co. Pte. Ltd..
• Alexis Lazaridis, 2009. "A Novel Method of Estimation Under Co-Integration," World Scientific Book Chapters, in: Dipak Basu (ed.), Economic Models Methods, Theory and Applications, chapter 2, pages 23-42, World Scientific Publishing Co. Pte. Ltd..
• Dipak R. Basu & Alexis Lazaridis, 2009. "Time Varying Responses of Output to Monetary and Fiscal Policy," World Scientific Book Chapters, in: Dipak Basu (ed.), Economic Models Methods, Theory and Applications, chapter 3, pages 43-66, World Scientific Publishing Co. Pte. Ltd..
• Andrew Hughes Hallet, 2009. "The Advantages of Fiscal Leadership in an Economy with Independent Monetary Policies," World Scientific Book Chapters, in: Dipak Basu (ed.), Economic Models Methods, Theory and Applications, chapter 4, pages 69-100, World Scientific Publishing Co. Pte. Ltd..
• Chirstophe Deissenberg & Pavel Ševčík, 2009. "Cheap-Talk Multiple Equilibria and Pareto — Improvement in an Environmental Taxation Games," World Scientific Book Chapters, in: Dipak Basu (ed.), Economic Models Methods, Theory and Applications, chapter 5, pages 101-118, World Scientific Publishing Co. Pte. Ltd..
• Nikitas Spiros Koutsoukis & Athanassios Mihiotis & Nikos Konidaris, 2009. "Enterprise Modeling and Integration: Review and New Directions," World Scientific Book Chapters, in: Dipak Basu (ed.), Economic Models Methods, Theory and Applications, chapter 6, pages 121-135, World Scientific Publishing Co. Pte. Ltd..
• Victoria Miroshnik, 2009. "Toward a Theory of Japanese Organizational Culture and Corporate Performance," World Scientific Book Chapters, in: Dipak Basu (ed.), Economic Models Methods, Theory and Applications, chapter 7, pages 137-149, World Scientific Publishing Co. Pte. Ltd..
• Anna-Maria Mouza, 2009. "Health Service Management Using Goal Programming," World Scientific Book Chapters, in: Dipak Basu (ed.), Economic Models Methods, Theory and Applications, chapter 8, pages 151-169, World Scientific Publishing Co. Pte. Ltd..
• Fabrizio Iacone & Renzo Orsi, 2009. "Inflation Control in Central and Eastern European Countries," World Scientific Book Chapters, in: Dipak Basu (ed.), Economic Models Methods, Theory and Applications, chapter 9, pages 173-200, World Scientific Publishing Co. Pte. Ltd..
• Athanasios Athanasenas, 2009. "Credit and Income: Co-Integration Dynamics of the US Economy," World Scientific Book Chapters, in: Dipak Basu (ed.), Economic Models Methods, Theory and Applications, chapter 10, pages 201-222, World Scientific Publishing Co. Pte. Ltd..
• David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CIRJE F-Series CIRJE-F-693, CIRJE, Faculty of Economics, University of Tokyo.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," Working Papers in Economics 10/26, University of Canterbury, Department of Economics and Finance.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," KIER Working Papers 753, Kyoto University, Institute of Economic Research.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2013. "Realized volatility risk," Documentos de Trabajo del ICAE 2013-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CARF F-Series CARF-F-197, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2010.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2013. "Realized Volatility Risk," Tinbergen Institute Discussion Papers 13-092/III, Tinbergen Institute.
• Talman, Dolf & Yang, Zaifu, 2009. "A discrete multivariate mean value theorem with applications," European Journal of Operational Research, Elsevier, vol. 192(2), pages 374-381, January.
  • Talman, A.J.J. & Yang, Z.F., 2006. "A Discrete Multivariate Mean Value Theorem with Applications," Other publications TiSEM 84f991df-1e9b-42d9-9637-3, Tilburg University, School of Economics and Management.
  • Talman, A.J.J. & Yang, Z.F., 2006. "A Discrete Multivariate Mean Value Theorem with Applications," Discussion Paper 2006-106, Tilburg University, Center for Economic Research.
  • Talman, A.J.J. & Yang, Z.F., 2009. "A discrete multivariate mean value theorem with applications," Other publications TiSEM d48f2a19-dcc2-40e4-9085-5, Tilburg University, School of Economics and Management.

2008

• Chernov, Mikhail & Mueller, Philippe, 2012. "The term structure of inflation expectations," Journal of Financial Economics, Elsevier, vol. 106(2), pages 367-394.
  • Chernov, Mikhail & Mueller, Philippe, 2008. "The Term Structure of Inflation Expectations," CEPR Discussion Papers 6809, C.E.P.R. Discussion Papers.
  • Philippe Mueller & Mikhail Chernov, 2008. "The Term Structure of Inflation Expectations," 2008 Meeting Papers 346, Society for Economic Dynamics.
• Fantazzini , Dean, 2009. "Econometric Analysis of Financial Data in Risk Management," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 14(2), pages 100-127.
  • Fantazzini, Dean, 2008. "An Econometric Analysis of Financial Data in Risk Management," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 10(2), pages 91-137.
• Penikas, Henry, 2008. "Forecasting for the Bank's Asset-Liability Management," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 12(4), pages 3-26.
• Fantazzini, Dean, 2008. "Credit Risk Management," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 12(4), pages 84-137.
• van der Laan, Gerard & Talman, Dolf & Yang, Zaifu, 2011. "Solving discrete systems of nonlinear equations," European Journal of Operational Research, Elsevier, vol. 214(3), pages 493-500, November.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2008. "Solving Discrete Systems of Nonlinear Equations," Other publications TiSEM 38ca20ed-7652-4b71-acd6-2, Tilburg University, School of Economics and Management.
  • Gerard van der Laan & Dolf Talman & Zaifu Yang, 2009. "Solving Discrete Systems of Nonlinear Equations," Tinbergen Institute Discussion Papers 09-062/1, Tinbergen Institute.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2008. "Solving Discrete Systems of Nonlinear Equations," Discussion Paper 2008-105, Tilburg University, Center for Economic Research.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2011. "Solving discrete systems of nonlinear equations," Other publications TiSEM 81f0a46c-3c9d-4757-bfa1-0, Tilburg University, School of Economics and Management.
• van der Laan, Gerard & Talman, Dolf & Yang, Zaifu, 2011. "Solving discrete systems of nonlinear equations," European Journal of Operational Research, Elsevier, vol. 214(3), pages 493-500, November.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2008. "Solving Discrete Systems of Nonlinear Equations," Discussion Paper 2008-105, Tilburg University, Center for Economic Research.
  • Gerard van der Laan & Dolf Talman & Zaifu Yang, 2009. "Solving Discrete Systems of Nonlinear Equations," Tinbergen Institute Discussion Papers 09-062/1, Tinbergen Institute.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2008. "Solving Discrete Systems of Nonlinear Equations," Other publications TiSEM 38ca20ed-7652-4b71-acd6-2, Tilburg University, School of Economics and Management.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2011. "Solving discrete systems of nonlinear equations," Other publications TiSEM 81f0a46c-3c9d-4757-bfa1-0, Tilburg University, School of Economics and Management.

2007

• Cevik, Emrah Ismail & Pekkaya, Mehmet, 2007. "Spot Ve Vadeli̇ İşlem Fi̇yatlarinin Varyanslari Arasindaki̇ Nedenselli̇k Testi̇ [Causality in variance test between spot and futures prices]," MPRA Paper 71301, University Library of Munich, Germany.
• van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2007. "Combinatorial Integer Labeling Thorems on Finite Sets with an Application to Discrete Systems of Nonlinear Equations," Discussion Paper 2007-88, Tilburg University, Center for Economic Research.
  • Gerard van der Laan & Dolf Talman & Zaifu Yang, 2007. "Combinatorial Integer Labeling Theorems on Finite Sets with an Application to Discrete Systems of Nonlinear Equations," Tinbergen Institute Discussion Papers 07-084/1, Tinbergen Institute.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2007. "Combinatorial Integer Labeling Thorems on Finite Sets with an Application to Discrete Systems of Nonlinear Equations," Other publications TiSEM 264c28a5-10b6-44e1-9694-4, Tilburg University, School of Economics and Management.
• van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2007. "Combinatorial Integer Labeling Thorems on Finite Sets with an Application to Discrete Systems of Nonlinear Equations," Other publications TiSEM 264c28a5-10b6-44e1-9694-4, Tilburg University, School of Economics and Management.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2007. "Combinatorial Integer Labeling Thorems on Finite Sets with an Application to Discrete Systems of Nonlinear Equations," Discussion Paper 2007-88, Tilburg University, Center for Economic Research.
  • Gerard van der Laan & Dolf Talman & Zaifu Yang, 2007. "Combinatorial Integer Labeling Theorems on Finite Sets with an Application to Discrete Systems of Nonlinear Equations," Tinbergen Institute Discussion Papers 07-084/1, Tinbergen Institute.
• van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2007. "Combinatorial Integer Labeling Thorems on Finite Sets with an Application to Discrete Systems of Nonlinear Equations," Discussion Paper 2007-88, Tilburg University, Center for Economic Research.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2007. "Combinatorial Integer Labeling Thorems on Finite Sets with an Application to Discrete Systems of Nonlinear Equations," Other publications TiSEM 264c28a5-10b6-44e1-9694-4, Tilburg University, School of Economics and Management.
  • Gerard van der Laan & Dolf Talman & Zaifu Yang, 2007. "Combinatorial Integer Labeling Theorems on Finite Sets with an Application to Discrete Systems of Nonlinear Equations," Tinbergen Institute Discussion Papers 07-084/1, Tinbergen Institute.
• van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2005. "Computing Integral Solutions of Complementarity Problems," Other publications TiSEM b8e0c74e-2219-4ab0-99a2-0, Tilburg University, School of Economics and Management.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2007. "Computing integral solutions of complementarity problems," Other publications TiSEM 6f3abdc6-b961-4466-8e60-2, Tilburg University, School of Economics and Management.
  • Gerard van der Laan & Dolf Talman & Zaifu Yang, 2005. "Computing Integral Solutions of Complementarity Problems," Tinbergen Institute Discussion Papers 05-006/1, Tinbergen Institute.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2005. "Computing Integral Solutions of Complementarity Problems," Discussion Paper 2005-5, Tilburg University, Center for Economic Research.
• Peñaranda, Francisco & Sentana, Enrique, 2016. "Duality in mean-variance frontiers with conditioning information," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 762-785.
  • Sentana, Enrique & Peñaranda, Francisco, 2007. "Duality in Mean-Variance Frontiers with Conditioning Information," CEPR Discussion Papers 6566, C.E.P.R. Discussion Papers.
  • Francisco Peñaranda & Enrique Sentana, 2007. "Duality in Mean-Variance Frontiers with Conditioning Information," Working Papers wp2007_0715, CEMFI.
  • Francisco Peñaranda & Enrique Sentana, 2007. "Duality in mean-variance frontiers with conditioning information," Economics Working Papers 1058, Department of Economics and Business, Universitat Pompeu Fabra.

2006

• Smolyak, Sergey, 2006. "Econometric Analysis in the investment projects efficiency evaluation and property valuation theories," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 1(1), pages 55-62.
• Talman, Dolf & Yang, Zaifu, 2009. "A discrete multivariate mean value theorem with applications," European Journal of Operational Research, Elsevier, vol. 192(2), pages 374-381, January.
  • Talman, A.J.J. & Yang, Z.F., 2006. "A Discrete Multivariate Mean Value Theorem with Applications," Other publications TiSEM 84f991df-1e9b-42d9-9637-3, Tilburg University, School of Economics and Management.
  • Talman, A.J.J. & Yang, Z.F., 2006. "A Discrete Multivariate Mean Value Theorem with Applications," Discussion Paper 2006-106, Tilburg University, Center for Economic Research.
  • Talman, A.J.J. & Yang, Z.F., 2009. "A discrete multivariate mean value theorem with applications," Other publications TiSEM d48f2a19-dcc2-40e4-9085-5, Tilburg University, School of Economics and Management.
• Talman, Dolf & Yang, Zaifu, 2009. "A discrete multivariate mean value theorem with applications," European Journal of Operational Research, Elsevier, vol. 192(2), pages 374-381, January.
  • Talman, A.J.J. & Yang, Z.F., 2006. "A Discrete Multivariate Mean Value Theorem with Applications," Discussion Paper 2006-106, Tilburg University, Center for Economic Research.
  • Talman, A.J.J. & Yang, Z.F., 2006. "A Discrete Multivariate Mean Value Theorem with Applications," Other publications TiSEM 84f991df-1e9b-42d9-9637-3, Tilburg University, School of Economics and Management.
  • Talman, A.J.J. & Yang, Z.F., 2009. "A discrete multivariate mean value theorem with applications," Other publications TiSEM d48f2a19-dcc2-40e4-9085-5, Tilburg University, School of Economics and Management.

2005

• Cakir, Murat, 2005. "Firma Başarısızlığının Dinamiklerinin Belirlenmesinde Makina Öğrenmesi Teknikleri: Ampirik Uygulamalar ve Karşılaştırmalı Analiz [Machine Learning Techniques in Determining the Dynamics of Corporat," MPRA Paper 55975, University Library of Munich, Germany.
• van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2005. "Computing Integral Solutions of Complementarity Problems," Other publications TiSEM b8e0c74e-2219-4ab0-99a2-0, Tilburg University, School of Economics and Management.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2007. "Computing integral solutions of complementarity problems," Other publications TiSEM 6f3abdc6-b961-4466-8e60-2, Tilburg University, School of Economics and Management.
  • Gerard van der Laan & Dolf Talman & Zaifu Yang, 2005. "Computing Integral Solutions of Complementarity Problems," Tinbergen Institute Discussion Papers 05-006/1, Tinbergen Institute.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2005. "Computing Integral Solutions of Complementarity Problems," Discussion Paper 2005-5, Tilburg University, Center for Economic Research.
• van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2005. "Solving Discrete Zero Point Problems with Vector Labeling," Other publications TiSEM 9bd940ee-3fe6-4201-aede-7, Tilburg University, School of Economics and Management.
  • Gerard van der Laan & Dolf Talman & Zaifu Yang, 2005. "Solving Discrete Zero Point Problems with Vector Labeling," Tinbergen Institute Discussion Papers 05-106/1, Tinbergen Institute.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2005. "Solving Discrete Zero Point Problems with Vector Labeling," Discussion Paper 2005-122, Tilburg University, Center for Economic Research.
• van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2005. "Solving Discrete Zero Point Problems with Vector Labeling," Other publications TiSEM 9bd940ee-3fe6-4201-aede-7, Tilburg University, School of Economics and Management.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2005. "Solving Discrete Zero Point Problems with Vector Labeling," Discussion Paper 2005-122, Tilburg University, Center for Economic Research.
  • Gerard van der Laan & Dolf Talman & Zaifu Yang, 2005. "Solving Discrete Zero Point Problems with Vector Labeling," Tinbergen Institute Discussion Papers 05-106/1, Tinbergen Institute.
• van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2005. "Computing Integral Solutions of Complementarity Problems," Other publications TiSEM b8e0c74e-2219-4ab0-99a2-0, Tilburg University, School of Economics and Management.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2005. "Computing Integral Solutions of Complementarity Problems," Discussion Paper 2005-5, Tilburg University, Center for Economic Research.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2007. "Computing integral solutions of complementarity problems," Other publications TiSEM 6f3abdc6-b961-4466-8e60-2, Tilburg University, School of Economics and Management.
  • Gerard van der Laan & Dolf Talman & Zaifu Yang, 2005. "Computing Integral Solutions of Complementarity Problems," Tinbergen Institute Discussion Papers 05-006/1, Tinbergen Institute.
• Gerard van der Laan & Dolf Talman & Zaifu Yang, 2005. "Solving Discrete Zero Point Problems with Vector Labeling," Tinbergen Institute Discussion Papers 05-106/1, Tinbergen Institute.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2005. "Solving Discrete Zero Point Problems with Vector Labeling," Other publications TiSEM 9bd940ee-3fe6-4201-aede-7, Tilburg University, School of Economics and Management.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2005. "Solving Discrete Zero Point Problems with Vector Labeling," Discussion Paper 2005-122, Tilburg University, Center for Economic Research.
• van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2005. "Computing Integral Solutions of Complementarity Problems," Discussion Paper 2005-5, Tilburg University, Center for Economic Research.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2005. "Computing Integral Solutions of Complementarity Problems," Other publications TiSEM b8e0c74e-2219-4ab0-99a2-0, Tilburg University, School of Economics and Management.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2007. "Computing integral solutions of complementarity problems," Other publications TiSEM 6f3abdc6-b961-4466-8e60-2, Tilburg University, School of Economics and Management.
  • Gerard van der Laan & Dolf Talman & Zaifu Yang, 2005. "Computing Integral Solutions of Complementarity Problems," Tinbergen Institute Discussion Papers 05-006/1, Tinbergen Institute.
• A G Malliaris, 2005. "Economic Uncertainty, Instabilities and Asset Bubbles:Selected Essays," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 5864.
• Fwu-Ranq Chang & A. G. Malliaris, 2005. "Asymptotic Growth under Uncertainty: Existence and Uniqueness," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 1, pages 3-8, World Scientific Publishing Co. Pte. Ltd..
  • Fwu-Ranq Chang & A. G. Malliaris, 1987. "Asymptotic Growth under Uncertainty: Existence and Uniqueness," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 54(1), pages 169-174.
• A. G. Malliaris & Jorge L. Urrutia, 2005. "How big is the random walk in macroeconomic time series: Variance ratio tests," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 2, pages 9-12, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G. & Urrutia, Jorge L., 1990. "How big is the random walks in macroeconomic time series : Variance ratio tests," Economics Letters, Elsevier, vol. 34(2), pages 113-116, October.
• A. G. Malliaris & Jorge L. Urrutia, 2005. "An empirical investigation among real, monetary and financial variables," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 3, pages 13-20, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G. & Urrutia, Jorge L., 1991. "An empirical investigation among real, monetary and financial variables," Economics Letters, Elsevier, vol. 37(2), pages 151-158, October.
• A. G. Malliaris & Walter F. Mullady & M. E. Malliaris, 2005. "Interest rates and inflation: A continuous time stochastic approach," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 4, pages 23-28, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G. & Mullady, Walter Sr. & Malliaris, M. E., 1991. "Interest rates and inflation : A continuous time stochastic approach," Economics Letters, Elsevier, vol. 37(4), pages 351-356, December.
• A. G. Malliaris & Mary E. Malliaris, 2005. "Decomposition of Inflation and its Volatility: A Stochastic Approach," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 5, pages 29-39, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A G & Malliaris, Mary E, 1995. "Decomposition of Inflation and Its Volatility: A Stochastic Approach," Review of Quantitative Finance and Accounting, Springer, vol. 5(1), pages 93-103, March.
• A. G. Malliaris, 2005. "Several Illustrations of the Quantity Theory of Money: 1947–1987 and 1867–1975," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 6, pages 41-57, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G., 1992. "Several illustrations of the quantity theory of money: 1947-1987 and 1867-1975," International Review of Financial Analysis, Elsevier, vol. 1(1), pages 77-93.
• A. G. Malliaris & Silvana Stefani, 2005. "Money, inflation and interest rates: Illustrations from twelve European economies," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 7, pages 59-82, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G. & Stefani, Silvana, 1991. "Money, inflation and interest rates: Illustrations from twelve European economies," European Journal of Political Economy, Elsevier, vol. 7(3), pages 275-298, October.
• A. G. Malliaris & Jerome L. Stein, 2005. "Methodological issues in asset pricing: Random walk or chaotic dynamics," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 8, pages 85-115, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G. & Stein, Jerome L., 1999. "Methodological issues in asset pricing: Random walk or chaotic dynamics," Journal of Banking & Finance, Elsevier, vol. 23(11), pages 1605-1635, November.
• George C. Philippatos & Efi Pilarinu & A. G. Malliaris, 2005. "Chaotic Behavior in Prices of European Equity Markets: A Comparative Analysis of Major Economic Regions," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 9, pages 117-136, World Scientific Publishing Co. Pte. Ltd..
• A. G. Malliaris & Jorge L. Urrutia, 2005. "European Stock Market Fluctuations: Short And Long Term Links," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 10, pages 137-149, World Scientific Publishing Co. Pte. Ltd..
• Marco Corazza & A. G. Malliaris, 2005. "Multi-Fractality in Foreign Currency Markets," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 11, pages 151-184, World Scientific Publishing Co. Pte. Ltd..
  • Marco Corazza & A. G. Malliaris, 2002. "Multi-Fractality in Foreign Currency Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 6(2), pages 65-98, June.
• Ramaprasad Bhar & A. G. Malliaris, 2005. "Are There Rational Bubbles In The U.S Stock Market? Overview And A New Test," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 12, pages 187-206, World Scientific Publishing Co. Pte. Ltd..
• Marc D. Hayford & A. G. Malliaris, 2005. "Is The Federal Reserve Stock Market Bubble-Neutral?," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 13, pages 207-221, World Scientific Publishing Co. Pte. Ltd..
• Hayford, M. D. & Malliaris, A. G., 2005. "How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule," European Journal of Operational Research, Elsevier, vol. 163(1), pages 20-29, May.
  • M. D. Hayford & A. G. Malliaris, 2005. "How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 14, pages 223-232, World Scientific Publishing Co. Pte. Ltd..
• Marc D. Hayford & A. G. Malliaris, 2005. "Monetary Policy And The U.S. Stock Market," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 15, pages 233-247, World Scientific Publishing Co. Pte. Ltd..
  • Marc D. Hayford & A. G. Malliaris, 2004. "Monetary Policy and the U.S. Stock Market," Economic Inquiry, Western Economic Association International, vol. 42(3), pages 387-401, July.
• A. G. Malliaris & Jorge L. Urrutia, 2005. "The International Crash of October 1987: Causality Tests," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 16, pages 251-262, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G. & Urrutia, Jorge L., 1992. "The International Crash of October 1987: Causality Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(3), pages 353-364, September.
• A. G. Malliaris & Jorge L. Urrutia, 2005. "The Impact Of The Persian Gulf Crisis On National Equity Markets," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 17, pages 263-285, World Scientific Publishing Co. Pte. Ltd..
• A. G. Malliaris & Jorge L. Urrutia, 2005. "Oil And World Stock Markets' Reaction To The Gulf Crisis," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 18, pages 287-307, World Scientific Publishing Co. Pte. Ltd..
• Jorge Urrutia & A. G. Malliaris, 2005. "Equity And Oil Markets Under External Shocks," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 19, pages 309-322, World Scientific Publishing Co. Pte. Ltd..
• A. G. Malliaris, 2005. "Global monetary instability: The role of the IMF, the EU and NAFTA," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 20, pages 323-343, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G., 2002. "Global monetary instability: The role of the IMF, the EU and NAFTA," The North American Journal of Economics and Finance, Elsevier, vol. 13(1), pages 72-92, May.
• M. D. Hayford & A. G. Malliaris, 2005. "How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 14, pages 223-232, World Scientific Publishing Co. Pte. Ltd..
  • Hayford, M. D. & Malliaris, A. G., 2005. "How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule," European Journal of Operational Research, Elsevier, vol. 163(1), pages 20-29, May.

2004

• Shelburne, Robert C., 2004. "Wage Differentials, Monopsony Labor Markets, and the Trade-Labor Standards Debate," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 19(1), pages 131-161.
• van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2004. "Solving discrete zero point problems," Other publications TiSEM 7199ad17-969b-4bd5-b82a-f, Tilburg University, School of Economics and Management.
  • Gerard van der Laan & Dolf Talman & Zaifu Yang, 2004. "Solving Discrete Zero Point Problems," Tinbergen Institute Discussion Papers 04-112/1, Tinbergen Institute.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2004. "Solving discrete zero point problems," Discussion Paper 2004-113, Tilburg University, Center for Economic Research.
• Gerard van der Laan & Dolf Talman & Zaifu Yang, 2004. "Solving Discrete Zero Point Problems," Tinbergen Institute Discussion Papers 04-112/1, Tinbergen Institute.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2004. "Solving discrete zero point problems," Discussion Paper 2004-113, Tilburg University, Center for Economic Research.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2004. "Solving discrete zero point problems," Other publications TiSEM 7199ad17-969b-4bd5-b82a-f, Tilburg University, School of Economics and Management.
• Gerard van der Laan & Dolf Talman & Zaifu Yang, 2004. "Solving Discrete Zero Point Problems," Tinbergen Institute Discussion Papers 04-112/1, Tinbergen Institute.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2004. "Solving discrete zero point problems," Other publications TiSEM 7199ad17-969b-4bd5-b82a-f, Tilburg University, School of Economics and Management.
  • van der Laan, G. & Talman, A.J.J. & Yang, Z.F., 2004. "Solving discrete zero point problems," Discussion Paper 2004-113, Tilburg University, Center for Economic Research.
• Ewa Broszkiewicz-Suwaj & Agnieszka Wylomanska, 2004. "Periodic correlation vs. integration and cointegration (Okresowa korelacja a integracja i kointegracja)," HSC Research Reports HSC/04/04, Hugo Steinhaus Center, Wroclaw University of Science and Technology.

2003

• Andriansyah, Andriansyah, 2003. "Model Vector Autoregressive (VAR) Hubungan Dinamis Antara Harga Saham dan Nilai Tukar Rupiah: Penerapan pada IHSG dan Indeks Sektoral di Bursa Efek Jakarta Tahun 1990-2001 [Vector Autoregressive (V," MPRA Paper 111641, University Library of Munich, Germany.
• Michael Stutzer, 2011. "Portfolio choice with endogenous utility: a large deviations approach," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 43, pages 619-640, World Scientific Publishing Co. Pte. Ltd..
  • Stutzer, Michael, 2003. "Portfolio choice with endogenous utility: a large deviations approach," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 365-386.

2002

• A. G. Malliaris, 2005. "Global monetary instability: The role of the IMF, the EU and NAFTA," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 20, pages 323-343, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G., 2002. "Global monetary instability: The role of the IMF, the EU and NAFTA," The North American Journal of Economics and Finance, Elsevier, vol. 13(1), pages 72-92, May.
• Marco Corazza & A. G. Malliaris, 2005. "Multi-Fractality in Foreign Currency Markets," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 11, pages 151-184, World Scientific Publishing Co. Pte. Ltd..
  • Marco Corazza & A. G. Malliaris, 2002. "Multi-Fractality in Foreign Currency Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 6(2), pages 65-98, June.
• Chikhi, Mohamed & Terraza, Michel, 2002. "Un essai de prévision non paramétrique de l'action France Télécom [A nonparametric prediction test of the France Telecom stock proces]," MPRA Paper 77268, University Library of Munich, Germany, revised Dec 2003.

2001

• Moloche, Guillermo, 2001. "Local Nonparametric Estimation of Scalar Diffusions," MPRA Paper 46154, University Library of Munich, Germany.

1999

• A. G. Malliaris & Jerome L. Stein, 2005. "Methodological issues in asset pricing: Random walk or chaotic dynamics," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 8, pages 85-115, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G. & Stein, Jerome L., 1999. "Methodological issues in asset pricing: Random walk or chaotic dynamics," Journal of Banking & Finance, Elsevier, vol. 23(11), pages 1605-1635, November.
• Weron, Aleksander & Mercik, Szymon & Weron, Rafal, 1999. "Origins of the scaling behaviour in the dynamics of financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 264(3), pages 562-569.
  • Aleksander Weron & Szymon Mercik & Rafal Weron, 1998. "Origins of the scaling behaviour in the dynamics of financial data," HSC Research Reports HSC/98/01, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
• Mercik, Szymon & Weron, Rafal, 1999. "Scaling in currency exchange: a conditionally exponential decay approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 267(1), pages 239-250.
  • Szymon Mercik & Rafal Weron, 1998. "Scaling in currency exchange: A Conditionally Exponential Decay approach," HSC Research Reports HSC/98/02, Hugo Steinhaus Center, Wroclaw University of Science and Technology.

1998

• Okay, Nesrin, 1998. "Asymmetric Volatility Dynamics: Evidence From the Istanbul Stock Exchange," MPRA Paper 52812, University Library of Munich, Germany.
• Weron, Aleksander & Mercik, Szymon & Weron, Rafal, 1999. "Origins of the scaling behaviour in the dynamics of financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 264(3), pages 562-569.
  • Aleksander Weron & Szymon Mercik & Rafal Weron, 1998. "Origins of the scaling behaviour in the dynamics of financial data," HSC Research Reports HSC/98/01, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
• Mercik, Szymon & Weron, Rafal, 1999. "Scaling in currency exchange: a conditionally exponential decay approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 267(1), pages 239-250.
  • Szymon Mercik & Rafal Weron, 1998. "Scaling in currency exchange: A Conditionally Exponential Decay approach," HSC Research Reports HSC/98/02, Hugo Steinhaus Center, Wroclaw University of Science and Technology.

1995

• A. G. Malliaris & Mary E. Malliaris, 2005. "Decomposition of Inflation and its Volatility: A Stochastic Approach," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 5, pages 29-39, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A G & Malliaris, Mary E, 1995. "Decomposition of Inflation and Its Volatility: A Stochastic Approach," Review of Quantitative Finance and Accounting, Springer, vol. 5(1), pages 93-103, March.

1992

• A. G. Malliaris & Jorge L. Urrutia, 2005. "The International Crash of October 1987: Causality Tests," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 16, pages 251-262, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G. & Urrutia, Jorge L., 1992. "The International Crash of October 1987: Causality Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(3), pages 353-364, September.
• A. G. Malliaris, 2005. "Several Illustrations of the Quantity Theory of Money: 1947–1987 and 1867–1975," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 6, pages 41-57, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G., 1992. "Several illustrations of the quantity theory of money: 1947-1987 and 1867-1975," International Review of Financial Analysis, Elsevier, vol. 1(1), pages 77-93.

1991

• A. G. Malliaris & Jorge L. Urrutia, 2005. "An empirical investigation among real, monetary and financial variables," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 3, pages 13-20, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G. & Urrutia, Jorge L., 1991. "An empirical investigation among real, monetary and financial variables," Economics Letters, Elsevier, vol. 37(2), pages 151-158, October.
• A. G. Malliaris & Walter F. Mullady & M. E. Malliaris, 2005. "Interest rates and inflation: A continuous time stochastic approach," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 4, pages 23-28, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G. & Mullady, Walter Sr. & Malliaris, M. E., 1991. "Interest rates and inflation : A continuous time stochastic approach," Economics Letters, Elsevier, vol. 37(4), pages 351-356, December.
• A. G. Malliaris & Silvana Stefani, 2005. "Money, inflation and interest rates: Illustrations from twelve European economies," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 7, pages 59-82, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G. & Stefani, Silvana, 1991. "Money, inflation and interest rates: Illustrations from twelve European economies," European Journal of Political Economy, Elsevier, vol. 7(3), pages 275-298, October.

1990

• A. G. Malliaris & Jorge L. Urrutia, 2005. "How big is the random walk in macroeconomic time series: Variance ratio tests," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 2, pages 9-12, World Scientific Publishing Co. Pte. Ltd..
  • Malliaris, A. G. & Urrutia, Jorge L., 1990. "How big is the random walks in macroeconomic time series : Variance ratio tests," Economics Letters, Elsevier, vol. 34(2), pages 113-116, October.

1987

• Fwu-Ranq Chang & A. G. Malliaris, 2005. "Asymptotic Growth under Uncertainty: Existence and Uniqueness," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 1, pages 3-8, World Scientific Publishing Co. Pte. Ltd..
  • Fwu-Ranq Chang & A. G. Malliaris, 1987. "Asymptotic Growth under Uncertainty: Existence and Uniqueness," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 54(1), pages 169-174.

1986

• Amelung, Torsten & Mehltretter, Thorsten, 1986. "Early-Warning Warning Systems in Light of the International Debt Crisis," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 32(5), pages 257-281.

1979

• Paul A. Samuelson, 2011. "Why We Should Not Make Mean Log of Wealth Big Though Years to Act Are Long," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 34, pages 491-493, World Scientific Publishing Co. Pte. Ltd..
  • Samuelson, Paul A., 1979. "Why we should not make mean log of wealth big though years to act are long," Journal of Banking & Finance, Elsevier, vol. 3(4), pages 305-307, December.

1976

• Harry M. Markowitz, 2011. "Investment for the Long Run: New Evidence for an Old Rule," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 35, pages 495-508, World Scientific Publishing Co. Pte. Ltd..
  • Markowitz, Harry M, 1976. "Investment for the Long Run: New Evidence for an Old Rule," Journal of Finance, American Finance Association, vol. 31(5), pages 1273-1286, December.

1969

• Paul A. Samuelson, 2011. "Lifetime Portfolio Selection by Dynamic Stochastic Programming," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 31, pages 465-472, World Scientific Publishing Co. Pte. Ltd..
  • Samuelson, Paul A, 1969. "Lifetime Portfolio Selection by Dynamic Stochastic Programming," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 239-246, August.

0

• Mawuli Segnon & Stelios Bekiros, 0. "Forecasting volatility in bitcoin market," Annals of Finance, Springer, vol. 0, pages 1-28.
• Isabel Casas & Helena Veiga, 0. "Exploring Option Pricing and Hedging via Volatility Asymmetry," Computational Economics, Springer;Society for Computational Economics, vol. 0, pages 1-25.
  • Casas, Isabel & Lopes Moreira Da Veiga, María Helena, 2019. "Exploring option pricing and hedging via volatility asymmetry," DES - Working Papers. Statistics and Econometrics. WS 28234, Universidad Carlos III de Madrid. Departamento de Estadística.
• Muneer Shaik & S. Maheswaran, 0. "A new unbiased additive robust volatility estimation using extreme values of asset prices," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 0, pages 1-35.
• Bu, Ruijun & Hizmeri, Rodrigo & Izzeldin, Marwan & Murphy, Anthony & Tsionas, Mike, 2023. "The contribution of jump signs and activity to forecasting stock price volatility," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 144-164.
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  • Ruijun Bu & Rodrigo Hizmeri & Marwan Izzeldin & Anthony Murphy & Mike G. Tsionas, 2021. "The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility," Working Papers 202109, University of Liverpool, Department of Economics.
• Weidong Lin & Abderrahim Taamouti, 2023. "Machine Learning Based Portfolio Selection Under Systemic Risk," Working Papers 202311, University of Liverpool, Department of Economics.
• Rose Mary K. Abraham, "undated". "Financialisation of Commodity Markets: Evidence from India," Margin-The Journal of Applied Economic Research v:16:y:2022:i:2022-1:p:10, National Council of Applied Economic Research.
• Federico Carlini & Paolo Santucci de Magistris, 2019. "Resuscitating the co-fractional model of Granger (1986)," Discussion Papers 19/01, University of Nottingham, Granger Centre for Time Series Econometrics.
• Amane Saito, 2022. "Volatility Analysis of ESG-integrated Japanese Equity Indices," Discussion Papers in Economics and Business 21-27, Osaka University, Graduate School of Economics.
• Amane Saito & Hisashi Tanizaki, 2022. "Volatility Analysis of Sustainability-Themed Japanese Equity Indices," Discussion Papers in Economics and Business 22-01, Osaka University, Graduate School of Economics.
• Andrea Bucci, 2020. "Realized Volatility Forecasting with Neural Networks," Journal of Financial Econometrics, Oxford University Press, vol. 18(3), pages 502-531.
  • Andrea Bucci, 0. "Realized Volatility Forecasting with Neural Networks," Journal of Financial Econometrics, Oxford University Press, vol. 18(3), pages 502-531.
  • Bucci, Andrea, 2019. "Realized Volatility Forecasting with Neural Networks," MPRA Paper 95443, University Library of Munich, Germany.
• Fabrizio Cipollini & Giampiero M Gallo & Alessandro Palandri, 2020. "Realized Variance Modeling: Decoupling Forecasting from Estimation," Journal of Financial Econometrics, Oxford University Press, vol. 18(3), pages 532-555.
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• Axel Bücher & Peter N Posch & Philipp Schmidtke, 0. "Using the Extremal Index for Value-at-Risk Backtesting," Journal of Financial Econometrics, Oxford University Press, vol. 18(3), pages 556-584.
• Philipp Adämmer & Rainer A Schüssler, 0. "Forecasting the Equity Premium: Mind the News!," Review of Finance, European Finance Association, vol. 24(6), pages 1313-1355.
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• Andrés Berenguer & Luis Gandarias & Álvaro Arévalo, 0. "Singular spectrum analysis for modelling the hard-to-model risk factors," Risk Management, Palgrave Macmillan, vol. 0, pages 1-14.
• Goodness C. Aye & Christina Christou & Rangan Gupta & Christis Hassapis, 2024. "High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests," The Journal of Real Estate Finance and Economics, Springer, vol. 69(2), pages 253-276, August.
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• Capasso Salvatore & D’Uva Marcella, & Fiorelli Cristiana & Napolitano Oreste, 2022. "Assessing the Impact of Country-Specific Sovereign Risk on Financial and Banking System in EMU: the Role of Italy," CSEF Working Papers 654, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
• Laura Garcia-Jorcano & Alfonso Novales, 0. "A dominance approach for comparing the performance of VaR forecasting models," Computational Statistics, Springer, vol. 0, pages 1-38.
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• Arianna Agosto & Paolo Giudici, 0. "COVID-19 contagion and digital finance," Digital Finance, Springer, vol. 0, pages 1-9.
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• Mathias Mandla Manguzvane & John Weirstrass Muteba Mwamba, 0. "GAS Copula models on who’s systemically important in South Africa: Banks or Insurers?," Empirical Economics, Springer, vol. 0, pages 1-32.
• Jiro Hodoshima, 0. "Evaluation of performance of stock and real estate investment trust markets in Japan," Empirical Economics, Springer, vol. 0, pages 1-20.
• Kanishka Gupta & T. V. Raman, 0. "The nexus of intellectual capital and operational efficiency: the case of Indian financial system," Journal of Business Economics, Springer, vol. 0, pages 1-20.
• Nils Bertschinger & Iurii Mozzhorin, 0. "Bayesian estimation and likelihood-based comparison of agent-based volatility models," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 0, pages 1-38.
• Giada Adelfio & Arianna Agosto & Marcello Chiodi & Paolo Giudici, 0. "Financial contagion through space-time point processes," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 0, pages 1-24.
• Daan Opschoor & Michel van der Wel, "undated". "A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound," Tinbergen Institute Discussion Papers 22-011/III, Tinbergen Institute.
• Andries C. van Vlodrop & Andre (A.) Lucas, "undated". "Estimation Risk and Shrinkage in Vast-Dimensional Fundamental Factor Models," Tinbergen Institute Discussion Papers 2018-12-22, Tinbergen Institute.
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• Manabu Asai & Rangan Gupta & Michael McAleer, 2019. "The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures," Energies, MDPI, vol. 12(17), pages 1-17, September.
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  • Asai, M. & Gupta, R. & McAleer, M.J., 2019. "The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures," Econometric Institute Research Papers EI2019-16, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Michael McAleer, 2019. "What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity, and (Non-) Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model," JRFM, MDPI, vol. 12(2), pages 1-9, April.
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  • Michael McAleer, 2019. "What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model," Documentos de Trabajo del ICAE 2019-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Michael McAleer, 2019. "What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity and (Non-) Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model," JRFM, MDPI, vol. 12(2), pages 1-7, April.
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• Tzu-Yi Yang & Eddy Lie & Chien-Chung Lu, 0. "The Influences of the US Stock Market on Virtual Currency Price under US Monetary Policy Threshold," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 0(0), pages 1-19.
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• Mohammad Enamul Hoque & Mohd Azlan Shah Zaidi, . "Impacts of Global-Economic-Policy Uncertainty on Emerging Stock Market: Evidence from Linear and Non-Linear Models," Prague Economic Papers, University of Economics, Prague, vol. 0, pages 1-12.
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