Research classified by
Journal of
Economic Literature (JEL) codes
Top JEL
/
C: Mathematical and Quantitative Methods
/ /
C5: Econometric Modeling
/ / /
C58: Financial Econometrics
This topic is covered by the following reading lists:- SOEP based publications
- Socio-Economics of Innovation
Most recent items first, undated at the end.
2016 An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors
by Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang
2016 Estimación de la volatilidad del tipo de cambio en México y Brasil. Un enfoque con modelos Markov Switching Garch
by Caballero Martínez, Rolando & Caballero Claure, Benigno
2016 Credit Risk Decomposition for Asset Allocation
by Chamizo Cana, Álvaro & Novales Cinca, Alfonso
2016 Joint distribution of stock indices: Methodological aspects of construction and selection of copula models
by Knyazev, Alexander & Lepekhin, Oleg & Shemyakin, Arkady
2016 Large dynamic covariance matrices
by Robert F. Engle & Olivier Ledoit & Michael Wolf
2016 Beyond dimension two: A test for higher-order tail risk
by Bormann, Carsten & Schaumburg, Julia & Schienle, Melanie
2016 Die Bewertung von Aktienanleihen mit Barriere: Eine Fallstudie für die Easy-Aktienanleihe der Deutschen Bank
by Hofmann, Maurice & Rottmann, Horst
2016 Measuring the frequency dynamics of financial and macroeconomic connectedness
by Barunik, Jozef & Krehlik, Tomas
2016 Asymmetric Exchange Rate Exposure of Stock Returns: Empirical Evidence from Chinese Industries
by Cuestas, Juan Carlos & Tang, Bo
2016 One-Day Prediction of State of Turbulence for Portfolio. Models for Binary Dependent Variable
by Marcin Chlebus
2016 Networks in risk spillovers: a multivariate GARCH perspective
by Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon
2016 Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
by Manabu Asai & Chia-Lin Chang & Michael McAleer
2016 Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes
by Manabu Asai & Michael McAleer
2016 An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors
by Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang
2016 Volatility spillovers for spot, futures, and ETF prices in energy and agriculture
by Chia-Lin Chang & Michael McAleer & Chia-Ping Liu
2016 Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances
by Chia-Lin Chang & Michael McAleer & Yanghuiting Wang
2016 Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China
by Chia-Lin Chang & Michael McAleer & Jiarong Tian
2016 Estimating and forecasting generalized fractional Long memory stochastic volatility models
by Shelton Peiris & Manabu Asai & Michael McAleer
2016 Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models
by Jinghui Chen & Masahito Kobayashi & Michael McAleer
2016 Modelling volatility spillovers for bio-ethanol, sugarcane and corn
by Chia-Lin Chang & Michael McAleer & Yu-Ann Wang
2016 How are VIX and Stock Index ETF Related?
by Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer
2016 Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?
by Massimiliano Caporin & Chia-Lin Chang & Michael McAleer
2016 Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
by Manabu Asai & Chia-Lin Chang & Michael McAleer
2016 Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes
by Manabu Asai & Michael McAleer
2016 Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns
by Andre Lucas & Anne Opschoor
2016 A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics
by Manabu Asai & Michael McAleer
2016 Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model
by Peter Reinhard Hansen & Pawel Janus & Siem Jan Koopman
2016 Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China
by Chia-Lin Chang & Michael McAleer & Jiarong Tian
2016 Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances
by Chia-Lin Chang & Michael McAleer & Yanghuiting Wang
2016 Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture
by Chia-Lin Chang & Chia-Ping Liu & Michael McAleer
2016 Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
by Shelton Peiris & Manabu Asai & Michael McAleer
2016 Bayesian Dynamic Modeling of High-Frequency Integer Price Changes
by Istvan Barra & Siem Jan Koopman
2016 Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models
by Jinghui Chen & Masahito Kobayashi & Michael McAleer
2016 Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn
by Chia-Lin Chang & Michael McAleer & Yu-Ann Wang
2016 How are VIX and Stock Index ETF related?
by Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer
2016 Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?
by Massimiliano Caporin & Chia-Lin Chang & Michael McAleer
2016 Does the Yuan's Overseas Expansion Increase the Currency Exposure of Chinese Financial Firms?
by Juan Carlos Cuestas & Ying Sophie Huang & Bo Tang
2016 Impact Of The Global Financial Crises On The Major Asian Countries And Usa Stock Markets And Inter-Linkages Among Them
by Cenk Gokce ADAS & Bibigul Tussupova
2016 Stylized Facts And Weak-Form Efficiency In Turkish Stock Market
by Hasan AÄŸan Karaduman
2016 How Do Exchange Rate Movements Affect Stock Prices? The Case of Turkey
by Fela Özbey & Erhan İşcan & Mehmet Fatih Traş
2016 Measuring Agency Costs and the Value of Investment Opportunities of U.S. Bank Holding Companies with Stochastic Frontier Estimation
by Joseph P. Hughes & Loretta J. Mester & Choon-Geol Moon
2016 Estimation Of Star-Garch Models With Iteratively Weighted Least Squares
by Murat Midilic
2016 Forecast Combinations For Realized Volatility In Presence Of Structural Breaks
by Davide De Gaetano
2016 The Linear Regression Of Weighted Segments
by Mateescu, Dan
2016 Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets
by Chris Bardgett & Elise Gourier & Markus Leippold
2016 Nonparametric Dynamic Conditional Beta
by Maheu, John M & Shamsi, Azam
2016 Ispitivanje kalendarskih sezonaliteta na hrvatskom tržištu kapitala
by Tomić, Bojan
2016 Risk adjustment of the credit-card augmented Divisia monetary aggregates
by Barnett, William & Su, Liting
2016 Nowcasting nominal gdp with the credit-card augmented Divisia monetary aggregates
by Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting
2016 The credit-card-services augmented Divisia monetary aggregates
by Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting
2016 Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility
by Escribano, Alvaro & Sucarrat, Genaro
2016 Evidence of cross-country portfolio diversification benefits: The case of Saudi Arabia
by Ali, Hakim & Masih, Mansur
2016 Do changes in shariah screening methodology make islamic indices substitutes or complements? an application of MGARCH-DCC and markov switching analysis
by Mantai, Mohammed Mahmoud & Masih, Mansur
2016 Fast profits in a fasting month? A markov regime switching approach in search of ramadan effect on stock markets
by Hasbullah, Faruq & Masih, Mansur
2016 Does microfinance affect economic growth? Evidence from Bangladesh based on ARDL approach
by Sultan, Yousuf & Masih, Mansur
2016 Is financial sector development an engine of economic growth? evidence from India
by Ziaurrahman, Muhammad & Masih, Mansur
2016 What drives banks’ willingness to lend to SMEs? An ARDL approach
by Lokman, Azarahiah & Masih, Mansur
2016 The impact of real estate, inequality and current account imbalances on excessive credit: A cross country analysis
by Halim, Asyraf Abdul & Ariff, Muhammad & Masih, A. Mansur M.
2016 Role of instability in affecting capital flight magnitude: An ARDL bounds testing approach
by Hasnul, Al Gifari & Masih, Mansur
2016 Socioeconomic Development and Its Effect on Performance of Islamic Banks: Dynamic Panel Approaches
by Chowdhury, M. Ashraful Ferdous & Haque, M. Mahmudul & Alhabshi, Syed Othman & Masih, Abul Mansur M.
2016 A New Factor to Explain Implied Volatility Smirk
by fajardo, José
2016 How is the European debt crisis affecting islamic equity? challenges in portfolio diversification within the eurozone: A markov switching and continuous wavelet transform analysis
by Shakir, Zeeniya & Masih, Mansur
2016 Shariah stocks as an inflation hedge in Malaysia
by Haniff, Norazza Mohd & Masih, Mansur
2016 Risk-sharing deposits in islamic banks: do interest rates have any influence on them?
by Tariq, Anam & Masih, Mansur
2016 War and peace: why is political stability pivotal for economic growth of OIC countries?
by Uddin, Md Akther & Masih, Mansur
2016 Bayesian Nonparametric Estimation of Ex-post Variance
by Griffin, Jim & Liu, Jia & Maheu, John M
2016 Does the Yuan’s Overseas Expansion Increase the Currency Exposure of Chinese Financial Firms?
by Cuestas, Juan Carlos & Huang, Ying & Tang, Bo
2016 On the reactions of sectoral equity returns to oil price in France: Implications for portfolio allocation
by Bouoiyour, Jamal & Selmi, Refk & Miftah, Amal
2016 The infernal couple China-Oil Price and the Responses of G7 Equities: A QQ Approach
by Bouoiyour, Jamal & Selmi, Refk
2016 Do spot and future palm oil prices influence the stock market prices of a major palm oil producer? the Malaysian experience
by Mohammad Nor, Karina & Masih, Mansur
2016 Impact of Oil Price and Its Volatility on CPI of Pakistan: Bivariate EGARCH Model
by Naurin, Abida & Qayyum, Abdul
2016 Home financing loans and their relationship to real estate bubble: An analysis of the U.S. mortgage market
by Asadov, Alam & Masih, Mansur
2016 Exploring the nexus between income inequality and financial indicators: endemic to the Indian economy?
by Ahsan, Zainab Fida & Masih, Mansur
2016 Does consumer sentiment predict consumer spending in Malaysia? an autoregressive distributed lag (ARDL) approach
by Mohd Haniff, NorAzza & Masih, Mansur
2016 An empirical investigation of causal linkages between domestic terrorism and macroeconomic variables: a case for Pakistan
by Bukhari, Naseem & Masih, Mansur
2016 Dutch disease or Nigerian disease: a prima facie? New evidence from ARDL bound test analysis
by Mustapha, Ishaq Muhammad & Masih, Mansur
2016 Is energy a stimulus for economic growth? A focused study on Malaysia using the auto regressive distributed lag technique
by Abarahan, Amnisuhailah Binti & Masih, Mansur
2016 Models of Financial Return With Time-Varying Zero Probability
by Sucarrat, Genaro & Grønneberg, Steffen
2016 Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan
by Naqi Shah, Sadia & Qayyum, Abdul
2016 Application of DCC-GARCH Model for Analysis of Interrelations Among Capital Markets of Poland, Czech Republic and Germany
by Marek Zinecker & Adam P. Balcerzak & Marcin Faldzinski & Michal Bernad Pietrzak & Tomáš Meluzín
2016 Interdependence among Capital Markets of Germany, Poland and Baltic States
by Tomas Meluzin & Marek Zinecker & Michal Bernard Pietrzak & Marcin Faldzinski & Adam P. Balcerzak
2016 Value-at-Risk with Application of DCC-GARCH Model
by Tomas Meluzin & Marek Zinecker & Michal Bernard Pietrzak & Marcin Faldzinski & Adam P. Balcerzak
2016 Cointegration of Interdependencies Among Capital Markets of Chosen Visegrad Countries and Germany
by Marcin Faldzinski & Adam P. Balcerzak & Tomas Meluzin & Michal Bernard Pietrzak & Marek Zinecker
2016 Do WTO Rulings Really Matter? Evidence from the Rare Earth Elements Market
by Juliane Proelss & Denis Schweizer & Volker Seiler
2016 Do WTO Rulings Really Matter? Evidence from the Rare Earth Elements Market
by Juliane Proelss & Denis Schweizer & Volker Seiler
2016 The multivariate nature of systemic risk: direct and common exposures
by Paolo Giudici & Peter Sarlin & Alessandro Spelta
2016 European lending channel: differences in transmission mechanisms due to the global financial crisis
by Tomáš Heryán & Panayiotis G. Tzeremes & Roman Matousek
2016 Term Structure of Uncertainty in the Macroeconomy
by Jaroslav Borovička & Lars Peter Hansen
2016 A critical appraisal of studies analyzing co-movement of international stock markets with a focus on East-Asian indices
by Jan F. Kiviet & Zhenxi Chen
2016 Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
by Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin
2016 Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models
by Gael M. Martin & Brendan P.M. McCabe & David T. Frazier & Worapree Maneesoonthorn & Christian P. Robert
2016 A note on normalization schemes:The case of generalized forecast error variance decompositions
by Francesco Giuseppe Caloia & Andrea Cipollini & Silvia Muzzioli
2016 The impact of credit supply shocks and a new FCI based on a FAVAR approach
by Zsuzsanna Hosszú
2016 Convergence rates of sums of α-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes
by Shin Kanaya
2016 Networks of volatility spillovers among stock markets
by Eduard Baumohl & Evzen Kocenda & Stefan Lyocsa & Tomas Vyrost
2016 Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates
by William Barnett & Liting Su
2016 Nowcasting Nominal GDP with the Credit-Card Augmented Divisia Monetary Aggregates
by William Barnett & Marcelle Chauvet & Danilo Leiva-Leon & Liting Su
2016 The Credit-Card-Services Augmented Divisia Monetary Aggregates
by William Barnett & Marcelle Chauvet & Danilo Leiva-Leon & Liting Su
2016 Risk and Return Spillovers among the G10 Currencies
by Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Barry Rafferty
2016 Leveraged ETF options implied volatility paradox: a statistical study
by Wolfgang Karl Härdle & Sergey Nasekin & Zhiwu Hong &
2016 Convergence rates of sums of α-mixing triangular arrays : with an application to non-parametric drift function estimation of continuous-time processes
by Kanaya, Shin
2016 Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations
by Liu, Yuna
2016 Stock exchange integration and price jump risks - The case of the OMX Nordic exchange mergers
by Liu, Yuna
2016 Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets
by Green, Rikard & Larsson, Karl & Lunina, Veronika & Nilsson, Birger
2016 A Dynamic Analysis of the Determinants of the Greek Credit Default Swaps
by Maria do Rosario Correia & Christian Gokus & Andrew Hughes Hallett & Christian Richter
2016 Copula--based Specification of vector MEMs
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo
2016 Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears
by Francesco Calvori & Matteo Dentella & Giampiero M. Gallo
2016 Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM
by Giampiero M. Gallo & Edoardo Otranto
2016 Median Response to Shocks: A Model for VaR Spillovers in East Asia
by Fabrizio Cipollini & Giampiero Gallo & Andrea Ugolini
2016 Global variance term premia and intermediary risk appetite
by Van Tassel, Peter & Vogt, Erik
2016 Time-varying Volatility and the Power Law Distribution of Stock Returns
by Missaka Warusawitharana
2016 An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors
by Chang, C-L. & McAleer, M.J. & Wang, C-H.
2016 Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China
by Chang, C-L. & McAleer, M.J. & Tian, J.
2016 Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances
by Chang, C-L. & McAleer, M.J. & Wang, Y.
2016 Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture
by Chang, C-L. & Liu, C-P. & McAleer, M.J.
2016 Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
by Peiris, S. & Asai, M. & McAleer, M.J.
2016 Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models
by Chen, J. & Kobayashi, M. & McAleer, M.J.
2016 Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn
by Chang, C-L. & McAleer, M.J. & Wang, Y-A.
2016 How are VIX and Stock Index ETF Related?
by Chang, C-L. & Hsieh, T-L. & McAleer, M.J.
2016 Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?
by Caporin, M. & Chang, C-L. & McAleer, M.J.
2016 Causalidad en Segundos Momentos: Una aplicación a la volatilidad bursátil en México, Estados Unidos y Australia
by Omar Alejandro González Rivas
2016 Relaciones entre los mercados bursátiles de México y Estados Unidos: Evidencia de cointegración y Causalidad de Granger
by Juan Carlos Bonifacio Ramírez
2016 Analysing the Determinants of Credit Risk for General Insurance Firms in the UK
by Guglielmo Maria Caporale & Mario Cerrato & Xuan Zhang
2016 Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility
by Sucarrat, Genaro & Escribano, Álvaro
2016 Modelling the Impacts of a Cut to Company Tax in Australia
by J.M. Dixon & J. Nassios
2016 Pronóstico del volumen de negociación del mercado secundario de renta fija en Colombia: a través de la modelación no lineal star
by Miller Ariza
2016 Network externalities across financial institutions
by Carlos Castro & Juan S. Ordoñez & Sergio Preciado
2016 Analysing the Determinants of Credit Risk for General Insurance Firms in the UK
by Guglielmo Maria Caporale & Mario Cerrato & Xuan Zhang
2016 Stylized Facts and Simulating Long Range Financial Data
by Laurie Davies & Walter Kraemer
2016 A Semiparametric Intraday GARCH Model
by Peter Malec
2016 Asymptotic Theory for Beta-t-GARCH
by Ryoko Ito
2016 Spline-DCS for Forecasting Trade Volume in High-Frequency Finance
by Ryoko Ito
2016 The re-pricing of sovereign risks following the global financial crisis
by Dimitris Malliaropulos & Petros M. Migiakis
2016 Contagion, spillover and interdependence
by Rigobon, Roberto
2016 Exchange Rate Risk Premium: An Analysis of its Determinants for the Mexican Peso-USD
by Benavides Guillermo
2016 Measuring Systemic Risk Across Financial Market Infrastructures
by Fuchun Li & Héctor Pérez Saiz
2016 Credit Risk and Collateral Demand in a Retail Payment System
by Héctor Pérez Saiz & Gabriel Xerri
2016 Long and short-run components in explanatory variables and different panel-data estimates
by Alfonso Ugarte
2016 Convergence rates of sums of a-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes
by Shin Kanaya
2016 Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach
by Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante
2016 Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions
by Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg
2016 Dynamic Global Currency Hedging
by Bent Jesper Christensen & Rasmus T. Varneskov
2016 Application of DCC-GARCH model for analysis of Interrelations among Capital Markets of Poland, Czech Republic and Germany
by Marek Zinecker & Adam P. Balcerzak & Marcin Faldzinski & Tomas Meluzin & Michal Bernard Pietrzak
2016 Agrarrohstoffpreise und Lebensmittelpreise in armen Ländern
by Holtemöller, Oliver
2016 On the relationship between healthcare expenditure and longevity: evidence from the continuous wavelet analyses
by Wen-Yi Chen & Miin-Jye Wen & Yu-Hui Lin & Yia-Wun Liang
2016 Modeling Jumps and Volatility of the Indian Stock Market Using High-Frequency Data
by Rituparna Sen & Pulkit Mehrotra
2016 A learning-augmented approach to pricing risk in South Africa
by Jacques Peeperkorn & Yudhvir Seetharam
2016 Asymmetry with respect to the memory in stock market volatilities
by Carl Lönnbark
2016 The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets
by Mehmet Fatih Öztek & Nadir Öcal
2016 Ripple effect and contagious effect in the US regional housing markets
by Ming-Chu Chiang & I-Chun Tsai
2016 Impact Of The Global Financial Crises On The Major Asian Countries And Usa Stock Markets And Inter-Linkages Among Them
by Cenk Gokce ADAS
2016 Statistical Assessment of the Value Relevance of Financial Information Reported by Romanian Listed Companies
by Elisabeta Jaba & Ioan-Bogdan Robu & Costel Istrate & Christiana Brigitte Balan & Mihai Roman
2016 Long-Memory in Volatilities of CDS Spreads: Evidences from the Emerging Markets
by Samet Günay & Yanlin Shi
2016 Determining the Firm Specific Factors Affecting the Capital Increase
by Tuna, İsmail & Karaca, Süleyman Serdar
2016 Investigating a Fund Return Distribution when the Value of the Fund under Management is Irregularly Observed
by KiHoon Jimmy Hong & Stephen Satchell
2016 The UHF-GARCH-Type Model in the Analysis of Intraday Volatility and Price Durations – the Bayesian Approach
by Roman Huptas
2016 Shluková analýza skoků na kapitálových trzích
by Jan Hanousek & Evžen Kočenda & Jan Novotný
2016 Exchange Rate Volatility and Uncovered Interest Rate Parity in the European Emerging Economies
by Dejan Živkov & Jovan Njegić & Mirela Momčilović & Ivan Milenković
2016 Volatility Of Yields Of Government Bonds Among Giips Countries During The Sovereign Debt Crisis In The Euro Area
by Tomas Heryan & Jan Ziegelbauer
2016 A Dynamic Analysis of the Determinants of the Greek Credit Default Swaps
by Maria do Rosario CORREIA & Christian GOKUS & Andrew Hughes HALLETT & Christian R. RICHTER
2016 A befektetői túlreagálás empirikus vizsgálata a Budapesti Értéktőzsdén
by Lakatos, Máté
2016 A nonparametric approach to measuring the sensitivity of an asset’s return to the market
by Thomas A. Severini
2016 A Quantile Regression Approach to the Multiple Period Value at Risk Estimation
by Chi Ming Wong & Lei Lam Olivia Ting
2016 Dependence between stock market and foreign exchange market in South Asia: A Copula-Garch approach
by Javed Bin Kamal & A.K. Enamul Haque
2016 Predicted Possibility of Implementing Financial Potential at Agricultural Micro-Level
by Nataliya Trusova
2016 Volatilidad cambiaria estocástica: un enfoque Switching Garch para Bolivia
by Benigno Caballero Claure & Rolando Caballero Martínez
2016 Online Monitoring of Russia's Economic Outlook
by Arseny Mamedov & Evgenia Fomina & Mikhail Khromov & Natalia Shagaida & Natalia Zubarevich & Pavel Pavlov & Vasily Uzun
2016 Online Monitoring of Russia's Economic Outlook
by Arseny Mamedov & Evgenia Fomina & Alexandra Bozhechkova & Sergey Tsukhlo & Pavel Trunin & Victor Lyashok
2016 Online Monitoring of Russia's Economic Outlook
by Arseny Mamedov & Evgenia Fomina & Mikhail Khromov & Andrei Kaukin & Natalia Shagaida & Natalia Zubarevich & Pavel Pavlov & Vasily Uzun
2016 Online Monitoring of Russia's Economic Outlook
by Arseny Mamedov & Evgenia Fomina & Alexandra Bozhechkova & Sergey Tsukhlo & Pavel Trunin & Victor Lyashok
2016 Dinámicas del tipo de cambio nominal y del IPC, 1991-2014: una especificación que combina los modelos ARFIMA y GARCH
by Héctor F. Salazar-Núñez. & Francisco Venegas Martínez.
2016 Isletmelerin Finansal Basarili ve Basarisiz Olma Durumlarinin Veri Madenciligi ve Lojistik Regresyon Analizi Ile Tahmin Edilebilirligi
by Ceyda YERDELEN KAYGIN & Alper TAZEGUL & Hakan YAZARKAN
2016 Are there profit (returns) in Shariah-compliant exchange traded funds? The multiscale propensity
by Farouk, Faizal & Masih, Mansur
2016 An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries
by Yavas, Burhan F. & Dedi, Lidija
2016 Time-varying co-movements and volatility spillovers among financial sector CDS indexes in the UK
by Tamakoshi, Go & Hamori, Shigeyuki
2016 Option-implied probability distributions: How reliable? How jagged?
by Taboga, Marco
2016 Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach
by Reboredo, Juan C. & Uddin, Gazi Salah
2016 Facts or fates of investors' losses during crises? Evidence from REIT-stock volatility and tail dependence structures
by Huang, MeiChi & Wu, Chih-Chiang & Liu, Shih-Min & Wu, Chang-Che
2016 Analyzing an elder’s desire for a reverse mortgage using an economic model that considers house bequest motivation, random death time and stochastic house price
by Chiang, Shu Ling & Tsai, Ming Shann
2016 Gold, oil, and stocks: Dynamic correlations
by Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš
2016 Realized correlation analysis of contagion
by Vortelinos, Dimitrios I.
2016 Do global financial distress and uncertainties impact GCC and global sukuk return dynamics?
by Naifar, Nader & Hammoudeh, Shawkat
2016 The informative role of trading volume in an expanding spot and futures market
by Bhaumik, S. & Karanasos, M. & Kartsaklas, A.
2016 Exact and asymptotic tests on a factor model in low and large dimensions with applications
by Bodnar, Taras & Reiß, Markus
2016 Does variance risk have two prices? Evidence from the equity and option markets
by Barras, Laurent & Malkhozov, Aytek
2016 Short interest and aggregate stock returns
by Rapach, David E. & Ringgenberg, Matthew C. & Zhou, Guofu
2016 Systemic risk and the macroeconomy: An empirical evaluation
by Giglio, Stefano & Kelly, Bryan & Pruitt, Seth
2016 Price and volatility co-jumps
by Bandi, F.M. & Renò, R.
2016 When does the stock market listen to economic news? New evidence from copulas and news wires
by Medovikov, Ivan
2016 Forecasting realized volatility in a changing world: A dynamic model averaging approach
by Wang, Yudong & Ma, Feng & Wei, Yu & Wu, Chongfeng
2016 Downside and upside risk spillovers between exchange rates and stock prices
by Reboredo, Juan C. & Rivera-Castro, Miguel A. & Ugolini, Andrea
2016 Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds
by Racicot, François-Éric & Théoret, Raymond
2016 Nonparametric long term prediction of stock returns with generated bond yields
by Scholz, Michael & Sperlich, Stefan & Nielsen, Jens Perch
2016 An order of asymmetry in copulas, and implications for risk management
by Siburg, Karl Friedrich & Stehling, Katharina & Stoimenov, Pavel A. & Weiß, Gregor N.F.
2016 Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers
by Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš
2016 Analysts' forecast dispersion and stock returns: a panel threshold regression analysis based on conditional limited market participation hypothesis
by Li, Leon & Chen, Carl R.
2016 Identifying portfolio-based systematic risk factors in equity markets
by Grobys, Klaus & Haga, Jesper
2016 Tsallis entropy: Do the market size and liquidity matter?
by Gurdgiev, Constantin & Harte, Gerard
2016 Efficient estimation of unconditional capital by Monte Carlo simulation
by Ferrer, Alex & Casals, José & Sotoca, Sonia
2016 Adoption of the International Financial Reporting Standards (IFRS) on companies’ financing structure in emerging economies
by dos Santos, Marco Aurélio & Fávero, Luiz Paulo Lopes & Distadio, Luiz Fernando
2016 Risk-adjusting the returns of private equity using the CAPM and multi-factor extensions
by Buchner, Axel
2016 Are Japanese margin buyers informed?
by Lee, Bong-Soo & Ko, Kwangsoo
2016 On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes
by Berger, Theo & Uddin, Gazi Salah
2016 A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility
by Liu, Wei-han
2016 Quantile dependence of oil price movements and stock returns
by Reboredo, Juan C. & Ugolini, Andrea
2016 Evolution of the world crude oil market integration: A graph theory analysis
by Ji, Qiang & Fan, Ying
2016 Duality in mean-variance frontiers with conditioning information
by Peñaranda, Francisco & Sentana, Enrique
2016 Strict stationarity, persistence and volatility forecasting in ARCH(∞) processes
by Davidson, James & Li, Xiaoyu
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2015 Time-varying Multivariate Extension of the Linear Market Model for Developed and Emerging Markets
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2015 Financial Stock Market Co-movement and Correlation: Evidence in the European Union (EU) Area Before and After the October 2008 Financial Crisis
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2015 On The Term Structure of South African Interest Rates: Cointegration and Threshold Adjustment
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2015 Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns
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2015 Uncovering equity market contagion among BRICS countries: an application of the multivariate GARCH model
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2015 Determining the relationship between financial development and economic growth: An application of ARDL technique to Singapore
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2015 Does the conventional benchmark prop up non-performing loans in Islamic banks? A case study of Malaysia with ARDL Approach
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2015 Islamic banking: 40 years later, still interest-based? Evidence from Malaysia
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2015 Remittances and economic growth nexus: Do financial development and investment act as transmission channels? An ARDL bounds approach
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2015 Do US policy uncertainty, leveraging costs and global risk aversion impact emerging market equities? An application of bounds testing approach to the BRICS
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2015 Causality between financial development and economic growth, and the Islamic finance imperative: A case study of Indonesia
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2015 Socially responsible investment and Shariah-compliant investment compared: Can investors benefit from diversification? An ARDL approach
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2015 Analyzing the impact of financial sector growth on female empowerment: A focus on the United States of America
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2015 Finance, growth and human development: An Islamic economic development perspective
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2015 New Fractional Dickey and Fuller Test
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2015 Should investors diversify their portfolios with stocks from major trading countries? A comparative multivariate GARCH-DCC and wavelet correlation analysis
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2015 Islamic versus conventional stock market and its co-movement with crude oil: a wavelet analysis
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2015 Is Islamic stock index secured against interest rate risk? Evidence from Wavelet analysis
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2015 Religiosity and threshold effect in social and financial performance of microfinance institutions: System GMM and non-linear threshold approaches
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2015 Islamic REIT response to macroeconomic factors: a markov regime switching auto regressive approach
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2015 Stock market volatility and exchange rates: MGARCH-DCC and wavelet approaches
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2015 Impact of Arab uprising on Portfolio diversification benefits at different investment horizons for the Turkish investors in relation to the regional stock markets: Multivariate GARCH-DCC and Wavelet coherence approaches
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2015 Testing for the Presence of Asymmetric Information in the Oil Market: A VAR Approach
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2015 The Relationship between Banking Competition and Stability in Developing Countries: The Case of Libya
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2015 Influence of Macroeconomic Variable on Indian Stock Movement: Cointegration Approach
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2015 A Nonparametric Option Pricing Model Using Higher Moments
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2015 Beyond location and dispersion models: The Generalized Structural Time Series Model with Applications
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2015 An Infinite Hidden Markov Model for Short-term Interest Rates
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2015 Principal Component Analysis of High Frequency Data
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2015 The Pricing of Short-Term market Risk: Evidence from Weekly Options
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2015 Backtesting Strategies Based on Multiple Signals
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2015 Financialisation of the commodity markets. Conclusions from the VARX DCC GARCH
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2015 FloGARCH : Realizing long memory and asymmetries in returns volatility
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2015 A fully non-parametric heteroskedastic model
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2015 A Practical Approach to Financial Crisis Indicators Based on Random Matrices
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2015 The Financial Econometrics of Price Discovery and Predictability
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2015 The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries
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2015 How Does Stock Market Volatility React to Oil Shocks?
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2015 Factor structural time series models for official statistics with an application to hours worked in Germany
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2015 Measuring Connectedness of Euro Area Sovereign Risk
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2015 Time Series Modelling of Daily Metical/Rand Exchange Rate Returns, 1996-2014
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2015 Legal Risk Premia During the Euro-Crisis: The Role of Credit and Redenomination Risk
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2015 Portfolio Management With Higher Moments: The Cardinality Impact
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2015 Size Distribution of Portuguese Firms between 2006 and 2012
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2015 Truncated Realized Covariance when prices have infinite variation jumps
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2015 High-Dimensional Copula-Based Distributions with Mixed Frequency Data
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2015 Bayesian Estimation of Time-Changed Default Intensity Models
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2015 The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries
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2015 Flexibility in the Market for International Carbon Credits and Price. Dynamics Difference with European Allowances
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2015 How Does Stock Market Volatility React to Oil Shocks?
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2015 GARCH Models, Tail Indexes and Error Distributions: An Empirical Investigation
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2015 The Fundamental Equation in Tourism Finance
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2015 Multivariate Volatility Impulse Response Analysis of GFC News Events
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2015 Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice
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2015 On the Invertibility of EGARCH(p,q)
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2015 Frontiers in Time Series and Financial Econometrics
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2015 The Impact of Jumps and Leverage in Forecasting Co-Volatility
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2015 The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling
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2015 Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence
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2015 Relation entre le prix du pétrole et les cours boursiers des grandes compagnies pétrolières mondiales
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2015 Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices
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2015 Equity Prices and Fundamentals: a DDM-APT Mixed Approach
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2015 MGARCH models: tradeoff between feasibility and flexibility
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2015 Estimating rational stock-market bubbles with sequential Monte Carlo methods
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2015 Regression Based Estimation of Dynamic Asset Pricing Models
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2015 A Simple Model for Now-Casting Volatility Series
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2015 Alternative Formulation of the Leverage Effect in a Stochastic Volatility Model with Asymmetric Heavy-Tailed Errors
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2015 Autoregressive moving average infinite hidden markov-switching models
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2015 The Europe 2020 Strategy and Skill Mismatch
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2015 An Approach About Monetary Policy Risk Balance In Colombia: A Multivariate Analysis Based On Time Series
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2015 Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo
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2015 Gold, Oil, and Stocks: Dynamic Correlations
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2015 Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover
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2015 Extreme Downside Risk and Market Turbulence
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2015 Systemic Risk in Conventional vs Islamic Equity Markets
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2015 European Economic and Monetary Union Sovereign Debt Markets
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2015 Not all emerging markets are the same: A classification approach with correlation based networks
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2015 Dynamic convergence of commodity futures: Not all types of commodities are alike
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2015 Volatility contagion: new evidence from market pricing of volatility risk
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2015 Extreme downside risk and financial crises
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2015 Filtered historical simulation Value-at-Risk models and their competitors
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2015 Tail comovement in option-implied inflation expectations as an indicator of anchoring
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2015 Modelo de supervivencia empresarial a partir del índice Z de Altman
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2015 Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix)
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2015 Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach
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2015 Parametric Portfolio Policies with Common Volatility Dynamics
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2015 Nonlinear dynamic interrelationships between real activity and stock returns
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2015 Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination
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2015 Validity of Edgeworth expansions for realized volatility estimators
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2015 A Martingale Decomposition of Discrete Markov Chains
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2015 Counting Processes for Retail Default Modeling
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2015 Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets
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2015 Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting
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2015 Dynamic Factor Models for the Volatility Surface
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2015 Unbalanced Regressions and the Predictive Equation
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2015 Analyse et mesure du risque systémique
by Héam, Jean-Cyprien
2015 Do The News Affect The Eur/All Exchange Rate Volatility?
by Gentjan ÇERA & Eda Dokle & Edmond Çera
2015 Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility
by Andrew J. Patton & Kevin Sheppard
2015 Escenarios Monte Carlo para estrategias con expectativas de baja volatilidad cambiante mediante opciones europeas de compra y venta / Monte Carlo scenarios for strategies with expectations of changing low volatility using European call and put options
by Olivares Aguayo, Héctor Alonso & Ortiz-Ramírez, Ambrosio & Bucio Pacheco, Christian
2015 Generating Covariances in multifactor CIR model
by Wojciech Szatzschneider
2015 Empirical Analysis of Herd Behavior in Borsa Istanbul
by Hilal Hümeyra Özsu
2015 Selected Techniques Of Detecting Structural Breaks In Financial Volatility
by Bartosz Stawiarski
2015 SMEs’ insolvency analysis in Romania in the year 2010. A microeconomic logistic approach
by Marusa Beca & Irina Maria Dragan
2015 Impact Of Structural Shifts on Variance Persistence in Asymmetric Garch Models: Evidence From Emerging Asian and European Markets
by Altaf Muhammad & Zhang Shuguang
2015 Nonlinear A Djustment To The Long-Run Equilibrium Between The Reit And The Stock Markets In Japan And Singapore
by Tsang-Yao CHANG & Hao FANG & Yen-Hsien LEE
2015 European Stock Markets Correlations In A Markov Switching Framework
by Iulia LUPU
2015 The Impact of Trade Announcements on Financial Markets. An Event Study Analysis
by Adrian Cantemir CALIN
2015 International Interactions between Index Futures Markets: Testing Meteor Shower and Heat Wave Hypotheses on Turkey and US Markets
by Gök, İbrahim Yaşar & Kalaycı, Şeref
2015 Analysis of Forecasting Performance of Investors in Turkey Within Framework of the Random Walk Model (Türkiye’de Yatırımcıların Öngörü Performanslarının Rassal Yürüyüş Modeli Çerçevesinde Analizi)
by Tanrıöver, Banu & Çöllü, Duygu Arslantürk
2015 Extraction of market expectations from risk-neutral density
by Josip Arneric & Zdravka Aljinovic & Tea Poklepovic
2015 Modeling FDI Flows from the USA to Canada:Two Main International Financial Variables Affect the Long-Run Economic Growth
by Ghada Gomaa A. Mohamed & Morrison Handley-Schachler
2015 Financial Regulations and Procyclicality
by Stéphane Auray & Christian Gouriéroux
2015 Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes
by Maciej Kostrzewski
2015 Využití modelu BGM při řízení úrokového rizika v českém prostředí v období po finanční krizi
by Dana Cíchová Králová
2015 The Capital Structure Management in Companies of Selected Business Branches of Building in Conditions of the Czech Republic
by Růčková Petra & Heryán Tomáš
2015 Portfolio Selection with Uncertainty Measures Consistent with Additive Shifts
by Rosella Giacometti & Sergio Ortobelli & Tomáš Tichý
2015 Metal Returns, Stock Returns and Stock Market Volatility
by Mauricio Zeballos & Carlos del Carpio
2015 Analysis of Correlation between Gross Domestic Product and Value Added Tax in the European Union Countries
by Cioca Ionela Cornelia
2015 Ligações e transmissão de volatilidade intradiária entre mercados bolsistas europeus no âmbito da crise financeira global [Connections and transmission of intraday volatility among European stock markets within the global financial crisis]
by Vítor Manuel de Sousa Gabriel & José Ramos Pires Manso
2015 Log-volatility enhanced GARCH models for single asset returns
by Tomasz Skoczylas
2015 El mercado de los fondos de pensión en Méxi-co: Del reparto a la capitalización/Pension Funds Market in Mexico: From Pay-As-You-Go to a Fully Funded Plan
by MARTÍNEZ-PREECE, MARISSA R. & VENEGAS-MARTÍNEZ, FRANCISCO
2015 High-Mixed-Frequency Dynamic Latent Factor Forecasting Models for GDP in the Philippines/Modelos de factores dinámicos latentes con datos mixtos de alta frecuencia aplicados a la predicción del PIB en Filipinas
by MARIANO, ROBERTO S. & OZMUCUR, SULEYMAN
2015 Características financieras de las empresas escindidas en España: Aproximación mediante un modelo logit/Financial Characteristics of Spin-Off Companies in Spain: An Approach through Logit Model
by MÍNGUEZ CONDE, JOSÉ LUIS & RAMOS SÁNCHEZ, SOFÍA & RODRÍGUEZ FERNÁNDEZ, JOSÉ MIGUEL
2015 Unit-Linked Life Insurance Products Versus Other Alternative Investments
by Cristina Ciumas & Diana-Maria Chis
2015 The Steel European Stock Market Efficiency
by Viorica CHIRILA & Ciprian CHIRILA
2015 The equity risk premium: a review of models
by Duarte, Fernando M. & Rosa, Carlo
2015 Oil and Macroeconomic Uncertianty
by Andrea Bastianin & Matteo Manera
2015 Bidirectional Volatility Spillover Effect between the Exchange Rate and Stocks in the Presence of Structural Breaks in Selected Eastern European Economies
by Dejan Zivkov & Jovan Njegic & Ivan Milenkovic
2015 Central and Eastern European Stock Exchanges under Stress: A Range-Based Volatility Spillover Framework
by Sercan Demiralay & Selcuk Bayraci
2015 International Dependence and Contagion across Asset Classes: The Case of Poland
by Michal Adam & Piotr Banbula & Michal Markun
2015 The Capital Markets Research Based on the Financial Quantitative Models
by Antoniade Ciprian ALEXANDRU & Nicoleta CARAGEA
2015 Market-timing the business cycle
by Peláez, Rolando F.
2015 Split ratings and debt-signaling in bond markets: A note
by Ismail, Ashraf & Oh, Seunghack & Arsyad, Nuruzzaman
2015 Realized range volatility forecasting: Dynamic features and predictive variables
by Caporin, Massimiliano & Velo, Gabriel G.
2015 Determinants of the banking spread in the Brazilian economy: The role of micro and macroeconomic factors
by Almeida, Fernanda Dantas & Divino, José Angelo
2015 Managing financial risk in Chinese stock markets: Option pricing and modeling under a multivariate threshold autoregression
by Li, Johnny Siu-Hang & Ng, Andrew C.Y. & Chan, Wai-Sum
2015 Modelling a latent daily Tourism Financial Conditions Index
by Chang, Chia-Lin
2015 Advances in financial risk management and economic policy uncertainty: An overview
by Hammoudeh, Shawkat & McAleer, Michael
2015 The extreme-value dependence between the crude oil price and Chinese stock markets
by Chen, Qian & Lv, Xin
2015 The response of stock market volatility to futures-based measures of monetary policy shocks
by Gospodinov, Nikolay & Jamali, Ibrahim
2015 Islamic calendar anomalies: Evidence from Pakistani firm-level data
by Halari, Anwar & Tantisantiwong, Nongnuch & Power, David. M. & Helliar, Christine
2015 Alternative errors-in-variables models and their applications in finance research
by Chen, Hong-Yi & Lee, Alice C. & Lee, Cheng-Few
2015 Causal interrelations among market fundamentals: Evidence from the European Telecommunications sector
by Agiakloglou, Christos & Gkouvakis, Michail
2015 Why do issuers issue Sukuk or conventional bond? Evidence from Malaysian listed firms using partial adjustment models
by Mohamed, Hisham Hanifa & Masih, Mansur & Bacha, Obiyathulla I.
2015 Combining momentum, value, and quality for the Islamic equity portfolio: Multi-style rotation strategies using augmented Black Litterman factor model
by Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur. M.
2015 Dynamic factors and asset pricing: International and further U.S. evidence
by He, Zhongzhi (Lawrence) & Zhu, Jie & Zhu, Xiaoneng
2015 Cross-sectoral interactions in Islamic equity markets
by Yilmaz, Mustafa K. & Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk
2015 Dynamic relationships between spot and futures prices. The case of energy and gold commodities
by Nicolau, Mihaela & Palomba, Giulio
2015 Dynamic convergence of commodity futures: Not all types of commodities are alike
by Sensoy, Ahmet & Hacihasanoglu, Erk & Nguyen, Duc Khuong
2015 Evaluating the performance of futures hedging using multivariate realized volatility
by Ubukata, Masato & Watanabe, Toshiaki
2015 Intra-daily volatility spillovers in international stock markets
by Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman
2015 Macroannouncements, bond auctions and rating actions in the European government bond spreads
by Boffelli, Simona & Urga, Giovanni
2015 Orthogonalized regressors and spurious precision, with an application to currency exposures
by Liu, Fang & Sercu, Piet & Vandebroek, Martina
2015 Systemic risk in European sovereign debt markets: A CoVaR-copula approach
by Reboredo, Juan C. & Ugolini, Andrea
2015 How past market movements affect correlation and volatility
by Becker, Christoph & Schmidt, Wolfgang M.
2015 Regression-based estimation of dynamic asset pricing models
by Adrian, Tobias & Crump, Richard K. & Moench, Emanuel
2015 Modeling financial contagion using mutually exciting jump processes
by Aït-Sahalia, Yacine & Cacho-Diaz, Julio & Laeven, Roger J.A.
2015 Good and bad uncertainty: Macroeconomic and financial market implications
by Segal, Gill & Shaliastovich, Ivan & Yaron, Amir
2015 Why do term structures in different currencies co-move?
by Jotikasthira, Chotibhak & Le, Anh & Lundblad, Christian
2015 Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH
by Dark, Jonathan
2015 Linear programming-based estimators in nonnegative autoregression
by Preve, Daniel
2015 Multi-factor volatility and stock returns
by He, Zhongzhi (Lawrence) & Zhu, Jie & Zhu, Xiaoneng
2015 New methodology for constructing real estate price indices applied to the Singapore residential market
by Jiang, Liang & Phillips, Peter C.B. & Yu, Jun
2015 Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data
by Audrino, Francesco & Fengler, Matthias R.
2015 Modeling interest rate volatility: A Realized GARCH approach
by Tian, Shuairu & Hamori, Shigeyuki
2015 The role of the variance premium in Jump-GARCH option pricing models
by Byun, Suk Joon & Jeon, Byoung Hyun & Min, Byungsun & Yoon, Sun-Joong
2015 Trading strategies with implied forward credit default swap spreads
by Leccadito, Arturo & Tunaru, Radu S. & Urga, Giovanni
2015 The LIX: A model-independent liquidity index
by Guillaume, F.
2015 Reward-risk momentum strategies using classical tempered stable distribution
by Choi, Jaehyung & Kim, Young Shin & Mitov, Ivan
2015 Stock market volatility: Identifying major drivers and the nature of their impact
by Mittnik, Stefan & Robinzonov, Nikolay & Spindler, Martin
2015 Economic links and credit spreads
by Gençay, Ramazan & Signori, Daniele & Xue, Yi & Yu, Xiao & Zhang, Keyi
2015 Mixture pair-copula-constructions
by Weiß, Gregor N.F. & Scheffer, Marcus
2015 Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates
by Siburg, Karl Friedrich & Stoimenov, Pavel & Weiß, Gregor N.F.
2015 Capital requirements for over-the-counter derivatives central counterparties
by Lin, Li & Surti, Jay
2015 Testing the mixture of distributions hypothesis on target stocks
by Carroll, Rachael & Kearney, Colm
2015 Trends and convergence in global housing markets
by Yunus, Nafeesa
2015 Liquidity shocks and stock bubbles
by Nneji, Ogonna
2015 Nonparametric prediction of stock returns based on yearly data: The long-term view
by Scholz, Michael & Nielsen, Jens Perch & Sperlich, Stefan
2015 US stock market regimes and oil price shocks
by Angelidis, Timotheos & Degiannakis, Stavros & Filis, George
2015 Predictability of stock returns of financial companies and the role of investor sentiment: A multi-country analysis
by Kadilli, Anjeza
2015 Trading price jump clusters in foreign exchange markets
by Novotný, Jan & Petrov, Dmitri & Urga, Giovanni
2015 A simple and general approach to fitting the discount curve under no-arbitrage constraints
by Fengler, Matthias R. & Hin, Lin-Yee
2015 Capital cyclicality, conditional coverage and long-term capital assessment
by Ferrer, Alex & Casals, José & Sotoca, Sonia
2015 How integrated is the European carbon derivatives market?
by Mazza, Paolo & Petitjean, Mikael
2015 Sample dependency during unconditional credit capital estimation
by Ferrer, Alex & Casals, José & Sotoca, Sonia
2015 Measuring the impact of extreme observations on CAPM alphas: Some methodological issues
by De Moor, Lieven & Sercu, Piet
2015 The intrinsic bounds on the risk premium of Markovian pricing kernels
by Han, Jihun & Park, Hyungbin
2015 Higher order comoments of multifactor models and asset allocation
by Boudt, Kris & Lu, Wanbo & Peeters, Benedict
2015 Volatility spillovers in the European bank CDS market
by Alemany, Aida & Ballester, Laura & González-Urteaga, Ana
2015 Effects of macroeconomic uncertainty on the stock and bond markets
by Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun
2015 Testing for asymmetric causality between U.S. equity returns and commodity futures returns
by Nguyen, Duc Khuong & Sousa, Ricardo M. & Uddin, Gazi Salah
2015 A common jump factor stochastic volatility model
by Laurini, Márcio Poletti & Mauad, Roberto Baltieri
2015 The financial econometrics of price discovery and predictability
by Narayan, Seema & Smyth, Russell
2015 Political uncertainty and the 2012 US presidential election: A cointegration study of prediction markets, polls and a stand-out expert
by Goodell, John W. & McGroarty, Frank & Urquhart, Andrew
2015 Are gold and silver a hedge against inflation? A two century perspective
by Bampinas, Georgios & Panagiotidis, Theodore
2015 Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis
by Syriopoulos, Theodore & Makram, Beljid & Boubaker, Adel
2015 How performance of risk-based strategies is modified by socially responsible investment universe?
by Bertrand, Philippe & Lapointe, Vincent
2015 Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle
by Khalifa, Ahmed & Caporin, Massimiliano & Hammoudeh, Shawkat
2015 Oil prices and financial stress: A volatility spillover analysis
by Nazlioglu, Saban & Soytas, Ugur & Gupta, Rangan
2015 Pricing of forwards and other derivatives in cointegrated commodity markets
by Benth, Fred Espen & Koekebakker, Steen
2015 Value-at-Risk estimation of energy commodities: A long-memory GARCH–EVT approach
by Youssef, Manel & Belkacem, Lotfi & Mokni, Khaled
2015 Oil volatility shocks and the stock markets of oil-importing MENA economies: A tale from the financial crisis
by Bouri, Elie
2015 Extreme risk spillovers between crude oil and stock markets
by Du, Limin & He, Yanan
2015 Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets
by Ziel, Florian & Steinert, Rick & Husmann, Sven
2015 A unit root model for trending time-series energy variables
by Narayan, Paresh Kumar & Liu, Ruipeng
2015 Analyzing volatility spillovers and hedging between oil and stock markets: Evidence from wavelet analysis
by Khalfaoui, R. & Boutahar, M. & Boubaker, H.
2015 Is there dependence and systemic risk between oil and renewable energy stock prices?
by Reboredo, Juan C.
2015 Efficient modeling and forecasting of electricity spot prices
by Ziel, Florian & Steinert, Rick & Husmann, Sven
2015 A spot-forward model for electricity prices with regime shifts
by Paraschiv, Florentina & Fleten, Stein-Erik & Schürle, Michael
2015 Forecasting ability of the investor sentiment endurance index: The case of oil service stock returns and crude oil prices
by He, Ling T. & Casey, K.M.
2015 The economic value of volatility timing with realized jumps
by Nolte, Ingmar & Xu, Qi
2015 Volatility co-movements: A time-scale decomposition analysis
by Cipollini, Andrea & Cascio, Iolanda Lo & Muzzioli, Silvia
2015 Long memory in log-range series: Do structural breaks matter?
by Chatzikonstanti, Vasiliki & Venetis, Ioannis A.
2015 The frequency of regime switching in financial market volatility
by BenSaïda, Ahmed
2015 Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms
by Frijns, Bart & Indriawan, Ivan & Tourani-Rad, Alireza
2015 It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model
by Grassi, Stefano & Santucci de Magistris, Paolo
2015 Heuristic learning in intraday trading under uncertainty
by Bekiros, Stelios D.
2015 Dynamic copula models and high frequency data
by De Lira Salvatierra, Irving & Patton, Andrew J.
2015 Are Sharia stocks, gold and U.S. Treasury hedges and/or safe havens for the oil-based GCC markets?
by Mensi, Walid & Hammoudeh, Shawkat & Reboredo, Juan C. & Nguyen, Duc Khuong
2015 Testing the liquidity preference hypothesis using survey forecasts
by Ornelas, Jose Renato Haas & Silva Jr., Antonio Francisco de Almeida
2015 The dynamic relationship between stock, bond and foreign exchange markets
by Kal, Süleyman Hilmi & Arslaner, Ferhat & Arslaner, Nuran
2015 Functional index coefficient models with variable selection
by Cai, Zongwu & Juhl, Ted & Yang, Bingduo
2015 Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
by Asai, Manabu & McAleer, Michael
2015 Frontiers in Time Series and Financial Econometrics: An overview
by Ling, Shiqing & McAleer, Michael & Tong, Howell
2015 Specification and structural break tests for additive models with applications to realized variance data
by Fengler, M.R. & Mammen, E. & Vogt, M.
2015 Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
by Duong, Diep & Swanson, Norman R.
2015 Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
by Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert
2015 A non-linear dynamic model of the variance risk premium
by Eraker, Bjørn & Wang, Jiakou
2015 Option pricing with non-Gaussian scaling and infinite-state switching volatility
by Baldovin, Fulvio & Caporin, Massimiliano & Caraglio, Michele & Stella, Attilio L. & Zamparo, Marco
2015 Market-based estimation of stochastic volatility models
by Aït-Sahalia, Yacine & Amengual, Dante & Manresa, Elena
2015 Nonparametric specification tests for stochastic volatility models based on volatility density
by Zu, Yang
2015 Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
by Liu, Lily Y. & Patton, Andrew J. & Sheppard, Kevin
2015 Learning, confidence, and option prices
by Shaliastovich, Ivan
2015 Nonparametric tests for constant tail dependence with an application to energy and finance
by Bücher, Axel & Jäschke, Stefan & Wied, Dominik
2015 Risks of large portfolios
by Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng
2015 Through the looking glass: Indirect inference via simple equilibria
by Calvet, Laurent E. & Czellar, Veronika
2015 Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
by Fengler, Matthias R. & Hin, Lin-Yee
2015 Multi-scale tests for serial correlation
by Gençay, Ramazan & Signori, Daniele
2015 Risk-parameter estimation in volatility models
by Francq, Christian & Zakoïan, Jean-Michel
2015 A simple and focused backtest of value at risk
by Krämer, Walter & Wied, Dominik
2015 Bias in the estimation of mean reversion in continuous-time Lévy processes
by Bao, Yong & Ullah, Aman & Wang, Yun & Yu, Jun
2015 Copula-MGARCH with continuous covariance decomposition
by Herwartz, Helmut & Raters, Fabian H.C.
2015 A martingale decomposition of discrete Markov chains
by Hansen, Peter Reinhard
2015 The variance risk premium and fundamental uncertainty
by Conrad, Christian & Loch, Karin
2015 Predicting stock returns and volatility using consumption-aggregate wealth ratios: A nonlinear approach
by Bekiros, Stelios & Gupta, Rangan
2015 An ARCH model without intercept
by Hafner, Christian M. & Preminger, Arie
2015 Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange
by Hoang, Thi-Hong-Van & Wong, Wing-Keung & Zhu, Zhenzhen
2015 Estimation of correlations in portfolio credit risk models based on noisy security prices
by Boudreault, Mathieu & Gauthier, Geneviève & Thomassin, Tommy
2015 Unfolded GARCH models
by Liu, Xiaochun & Luger, Richard
2015 Relationships among CO2 Emissions, Economic Growth and Foreign Direct Investment and the Environmental Kuznets Curve Hypothesis in Turkey
by Mesut Balýbey
2015 Markov Regime Switching Generalized Autoregressive Conditional Heteroskedastic Model and Volatility Modeling for Oil Returns
by Samet Günay
2015 Modeling of the Dynamics Relationship between World Crude Oil Prices and the Stock Market in Indonesia
by Pasrun Adam & Usman Rianse & Edi Cahyono & Manat Rahim
2015 Crude Oil Price Shocks and Stock Returns: Evidences from Turkish Stock Market under Global Liquidity Conditions
by Berna Aydogan & Istemi Berk
2015 The Relationship between Banking Competition and Stability in Developing Countries: The Case of Libya
by Haytem Ahmed Troug & Rashid Sbia
2015 Testing for the Presence of Asymmetric Information in the Oil Market: A Vector Autoregression Approach
by Haytem Ahmed Troug & Rashid Sbia
2015 A Generalized Autoregressive Conditional Heteroskedasticity Examination of the Relationship between Trading Volume and Conditional Volatility in the Tunisian Stock Market: Evidence for the Information Flow Paradigm
by Fethi Belhaj & Ezzeddine Abaoub
2015 Effectiveness of technical analysis indicators over stock return: A Panel Data Approach
by Kutluk Kaðan SÜMER
2015 Spatio-temporal Analysis of Convergence of Development Level of Selected Stock Exchanges in the Period of 2004–2012
by Elzbieta Szulc & Dagna Wleklinska
2015 Day-of-the-Week Effects in Liquidity on the Warsaw Stock Exchange
by Sabina Nowak & Joanna Olbrys
2015 Modelling The Guarantee Liability Under Unit-Linked Contracts
by Cristina CIUMAȘ & Diana-Maria CHIȘ
2015 Title: analysis of term structure of interest rates in Latin America countries from 2006 to 2014
by Felipe Stona & Jean Amann & Maurício Delago Morais & Divanildo Triches & Igor Clemente Morais
2015 Evaluating interest rate term-structure using extensions of the Diebold and Li three factors model
by Alberto Ronchi Neto & Osvaldo Candido
2015 Numerical evaluation of likelihood inferences in Beta-t-Skew-EGARCH models
by Fernanda Maria Muller & Fábio Mariano Bayer
2015 Financial integration in emerging market economies: Effects on volatility transmission and contagion
by Aymen Ben Rejeb & Adel Boughrara
2015 Impact Of The Transition To Ifrs For The Romanian Listed Companies In Financial Distress
by Costel ISTRATE & Ioan Bogdan ROBU & Mihai CARP
2015 Time-varying Industrial Portfolio Betas under the Regime-switching Model: Evidence from the Stock Exchange of Thailand
by Suthawan Prukumpai
2015(XXV) The Impact of Solvency II Directive upon the Perspectives of the Horizon 2020 Programme
by Silvia DEDU
2014 Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?
by Goodness C. Aye & Frederick W. Deale & Rangan Gupta
2014 Volatility Spillover between Energy and Financial Markets
by Saban Nazlioglu & Ugur Soytas & Rangan Gupta
2014 Multifractional processes in finance
by Bianchi, Sergio & Pianese, Augusto
2014 The extent of price misalignment in prediction markets
by Rothschild, David & Pennock, David M.
2014 Spillover dynamics for systemic risk measurement using spatial financial time series models
by Blasques, Francisco & Koopman, Siem Jan & Lucas, Andre & Schaumburg, Julia
2014 Consumption-Based Asset Pricing with Rare Disaster Risk: A Simulated Method of Moments Approach
by Grammig, Joachim & Sönksen, Jantje
2014 Give me strong moments and time - Combining GMM and SMM to estimate long-run risk asset pricing models
by Grammig, Joachim & Schaub, Eva-Maria
2014 The portfolio structure of German households: A multinomial fractional response approach with unobserved heterogeneity
by Becker, Gideon
2014 The impact of the financial crisis on transatlantic information flows: An intraday analysis
by Dimpfl, Thomas & Peter, Franziska J.
2014 Gold, Oil, and Stocks
by Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš
2014 Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?
by Barunik, Jozef & Kočenda, Evžen & Vácha, Lukáš
2014 Consumption-based asset pricing with rare disaster risk
by Grammig, Joachim & Sönksen, Jantje
2014 Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing models
by Grammig, Joachim & Schaub, Eva-Maria
2014 Estimating the spot covariation of asset prices: Statistical theory and empirical evidence
by Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus
2014 Consumption-based asset pricing with rare disaster risk
by Grammig, Joachim & Sönksen, Jantje
2014 Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing
by Grammig, Joachim & Schaub, Eva-Maria
2014 Inflation, deflation, and uncertainty: What drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?
by Scharnagl, Michael & Stapf, Jelena
2014 Risk Analysis for Three Precious Metals: An Application of Extreme Value Theory
by David E. Giles & Qinlu Chen
2014 A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities
by Roberto Casarin & Fabrizio Leisen & German Molina & Enrique Ter Horst
2014 A note on the estimation of a Gamma-Variance process: Learning from a failure
by Gian P. Cervellera & Marco P. Tucci
2014 Precious Metals Under the Microscope: A High-Frequency Analysis
by Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G.
2014 Modeling Intraday Stochastic Volatility and Conditional Duration Contemporaneously with Regime Shifts
by Trojan, Sebastian
2014 Multivariate Stochastic Volatility with Dynamic Cross Leverage
by Trojan, Sebastian
2014 A simple and general approach to fitting the discount curve under no-arbitrage constraints
by Fengler, Matthias R. & Hin, Lin-Yee
2014 An Empirical Analysis of the Ross Recovery Theorem
by Audrino, Francesco & Huitema, Robert & Ludwig, Markus
2014 Exact Distribution of the Mean Reversion Estimator in the Ornstein-Uhlenbeck Process
by Aman Ullah & Yong Bao & Yun Wang
2014 Forecasting Realized Volatility Using Subsample Averaging
by Tae-Hwy Lee & Huiyu Huang
2014 Econometric Analysis of Financial Derivatives: An Overview
by Chia-Lin Chang & Michael McAleer
2014 A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
by Christian M. Hafner & Michael McAleer
2014 On the Invertibility of EGARCH
by Guillaume Gaetan Martinet & Michael McAleer
2014 Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
by Michael McAleer
2014 Advances in Financial Risk Management andEconomic Policy Uncertainty: An Overview
by Shawkat Hammoudeh & Michael McAleer
2014 Asymmetric Realized Volatility Risk
by David E. Allen & Michael McAleer & Marcel Scharth
2014 A One Line Derivation of EGARCH
by Michael McAleer & Christian M. Hafner
2014 Linking the problems of estimating and allocating unconditional capital
by Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López
2014 Conditional coverage and its role in determining and assessing long-term capital requirements
by Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López
2014 A new approach to the unconditional measurement of default risk
by Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López
2014 Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
by Manabu Asai & Michael McAleer
2014 Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series
by David E. Allen & Michael McAleer & Abhay K. Singh
2014 Econometric Analysis of Financial Derivatives: An Overview
by Chia-Lin Chang & Michael McAleer
2014 Asymmetry and Leverage in Conditional Volatility Models
by Michael McAleer
2014 Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models
by István Barra & Lennart Hoogerheide & Siem Jan Koopman & André Lucas
2014 Volatility Spillovers from Australia's Major Trading Partners across the GFC
by David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh
2014 On the Invertibility of EGARCH
by Guillaume Gaetan Martinet & Michael McAleer
2014 Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities
by Anne Opschoor & Dick van Dijk & Michel van der Wel
2014 A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
by Christian M. Hafner & Michael McAleer
2014 Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview
by Shawkat Hammoudeh & Michael McAleer
2014 Asymmetric Realized Volatility Risk
by David E. Allen & Michael McAleer & Marcel Scharth
2014 New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels
by Pawel Janus & André Lucas & Anne Opschoor & Dick J.C. van Dijk
2014 A One Line Derivation of EGARCH
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2014 Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
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2014 Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
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2014 The Dynamic Skellam Model with Applications
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2014 Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
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2014 Optimal Hedging with the Vector Autoregressive Model
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2014 Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series
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2014 The Responses of the Prime Rate to a Change in Policies of the Federal Reserve
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2014 A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market
by Liang Jiang & Peter C.B. Phillips & Jun Yu
2014 Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models
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2014 Should a skeptical portfolio insurer use an optimal or a risk-based multiplier?
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2014 Is Barrier version of Merton model more realistic? Evidence from Europe
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2014 The Role of Information in Stock Market
by Mahmood Mahmoodzadeh & Saleh Ghavidel & Mir Hosein Mousavi
2014 Modelling Stock Return Volatility Dynamics in Selected African Markets
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2014 Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market
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2014 The predictability of asset returns in the BRICS countries: a nonparametric approach
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2014 Testing the Effect of the Conflict in Georgia in 2008 on Energy Market
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2014 New GMM Estimators for Dynamic Panel Data Models
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2014 Enhancing Estimation for Interest Rate Diffusion Models with Bond Prices
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2014 Exchange Rate Exposure of Chinese Firms at the Industry and Firm level
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2014 Modelling the short-term interest rate with stochastic differential equation in continuous time: linear and nonlinear models
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2014 The different impact of conventional interest rates on Islamic stock market, Islamic banking and Islamic insurance: evidence from Malaysia
by Othman, Arshad Nuval & Masih, Mansur
2014 Size and Volatility: new evidence from an application of wavelet approach to the emerging Islamic mutual funds’ industry
by Alaabed, Alaa & Masih, Mansur
2014 Finance-growth nexus: insights from an application of threshold regression model to Malaysia’s dual financial system
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2014 Predicting the direction of US stock markets using industry returns
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2014 Non-Stationary Stochastic Volatility Model for Dynamic Feedback and Skewness
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2014 Which type of government revenue leads government expenditure?
by Abdi, Zeinab & Masih, Mansur
2014 What causes economic growth in Malaysia: exports or imports ?
by Hashim, Khairul & Masih, Mansur
2014 Increasing household debts and its relation to GDP, interest rate and house price: Malaysia’s perspective
by Rahman, Sharezan & Masih, Mansur
2014 Exploring portfolio diversification opportunities through venture capital financing
by Jaffar, Yusuf & Masih, Mansur
2014 Do the macroeconomic variables have any impact on the Islamic bank deposits?An application of ARDL approach to the Malaysian market
by Mobin, Mohammad Ashraful & Masih, Mansur
2014 On the fundamentals of winning virtuous strategies creation toward leveraged buyout transactions implementation during private equity investment in conditions of resonant absorption of discrete information in diffusion - type financial system with induced nonlinearities
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2014 Bank investment attractiveness and the methodology for its assessment at mergers and acquisitions
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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
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2014 Is there any causality between inflation and FDI in an ‘inflation targeting’ regime? Evidence from South Africa
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2014 On the fundamentals of winning virtuous strategies creation toward leveraged buyout transactions implementation during private equity investment in conditions of resonant absorption of discrete information in diffusion - type financial system with induced nonlinearities
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.
2014 Bayesian Semiparametric Modeling of Realized Covariance Matrices
by Jin, Xin & Maheu, John M
2014 On the fundamentals of winning virtuous strategies creation toward leveraged buyout transactions implementation during private equity investment in conditions of resonant absorption of discrete information in diffusion - type financial system with induced nonlinearities
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.
2014 Modeling and Forecasting Volatility – How Reliable are modern day approaches?
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2014 On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
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2014 What Drives Profitability of Banks: Do Interest rate, and Fee and Commissions impact the profitability of Banks? Evidence from the European Countries
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2014 How do Macroeconomic Changes Impact Islamic and Conventional Equity Prices? Evidence from Developed and Emerging Countries
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2014 Unveiling the House Price Movements and Financial Development
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2014 Rescue costs and financial risk
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2014 On the Sources of Uncertainty in Exchange Rate Predictability
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2014 Portfolio diversification strategy for Malaysia: International and sectoral perspectives
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2014 Portfolio Diversification Benefits of Islamic Stocks and Malaysia’s Major Trading Partners:MGARCH-DCC and Wavelet Correlation Approaches
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2014 Comovement of East and West Stock Market Indexes
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2014 Are There Profit (Returns) in Shariah-Compliant Exchange Traded Funds? The Multiscale Propensity
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2014 Uncertainty and Volatility in MENA Stock Markets During the Arab Spring
by Al Shugaa, Ameen & Masih, Mansur
2014 Estimating and Forecasting Conditional Volatility and Correlations of the Dow Jones Islamic Stock Market Index Using Multivariate GARCH-DCC
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2014 Effects of Political Turmoil (Arab Spring) on Portfolio Diversification Benefits: Perspectives of the Moroccan Islamic Stock investors
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2014 Does Indian Stock Market Provide Diversification Benefits Against Oil Price Shocks? A Sectoral Analysis
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2014 Is the Central and Eastern European banking systems stable? Evidence from the recent financial crisis
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2014 Integration and Comovement of Developed and Emerging Islamic Stock Markets: A Case Study of Malaysia
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2014 Estimation of Fractal Parameters of Tehran Stock Market Groups Time Series Using Discrete Wavelet Transform
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2014 Fractional Integration of the Price-Dividend Ratio in a Present-Value Model
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2014 Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India
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2014 Recent Developments in Quantitative Finance: An Overview
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2014 The Effect of Recent Financial Crisis over Global Portfolio Diversification Opportunities – Empirical Evidence A Comparative Multivariate GARCH-DCC, MODWT and Wavelet Correlation Analysis
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2014 Dynamic causal chain of money, output, interest rate, exchange rate and prices: Nigeria as a case study
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2014 Multi-jumps
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2014 Leverage, return, volatility and contagion: Evidence from the portfolio framework
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2014 Are Islamic Banks Truly Shariah Compliant? An Application of Time Series Multivariate Forecasting Techniques to Islamic Bank Financing
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2014 Causality in distribution between European stock markets and commodity prices: Using independence test based on the empirical copula
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2014 Are The Profit Rates of the Islamic Investment Deposit Accounts Truly Performance Based? A Case Study of Malaysia
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2014 Do Portfolio Diversification Opportunities exist across the Euro Zone Islamic Equity Markets? MGARCH-DCC and Wavelet Correlation Analysis
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2014 Leverage, Sensitivity to Market Risk and Contagion: A Multi-Country Analysis for Shari’ah(Islamic) Stock Screening
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2014 Leverage versus volatility: Evidence from the Capital Structure of European Firms
by el Alaoui, AbdelKader & Masih, Mansur & Bacha, Obiyathulla & Asutay, Mehmet
2014 Selected Macroeconomic Variables and Stock Market Movements: Empirical evidence from Thailand
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2014 On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.
2014 Dynamic Integration of Domestic Equity Price, Foreign Equity Price and Macroeconomic Indicators: Evidence from Malaysia
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2014 Oil price shocks and GCC capital markets: who drives whom?
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2014 The Co-movement of Selective Conventional and Islamic Stock Markets in East Asia: Is there any Impact on Shariah Compliant Equity Investment in China?
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2014 The Impact of Crude Oil Price on Islamic Stock Indices of Gulf Cooperation Council (GCC) Countries: A Comparative Analysis
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2014 Diversification in Crude Oil and Other Commodities: A Comparative Analysis
by Abdullah, Ahmad Monir & Saiti, Buerhan & Masih, Abul Mansur M.
2014 Causality between Stock Market Index and Macroeconomic Variables: A Case Study for Malaysia
by Abdullah, Ahmad Monir & Saiti, Buerhan & Masih, Abul Mansur M.
2014 The Impact of Crude Oil Price on Macroeconomic Variables: New Evidence from Malaysia
by Abdullah, Ahmad Monir & Masih, Abul Mansur M.
2014 Risk Taking Behavior and Capital Adequacy in a Mixed Banking System: New Evidence from Malaysia using Dynamic OLS and Two-step Dynamic System GMM Estimators
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2014 The Impact of Crude Oil Price on Islamic Stock Indices of South East Asian (SEA) Countries: A Comparative Analysis
by Abdullah, Ahmad Monir & Saiti, Buerhan & Masih, Abul Mansur M.
2014 Testing the Conventional and Islamic Financial Market Contagion: Evidence from Wavelet Analysis
by Saiti, Buerhan & Bacha, Obiyathulla & Masih, Mansur
2014 Stock Market Co-movement and Shock Transmission: Islamic versus Conventional Equity Indices
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2014 Dynamic State-Space Models
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2014 Dynamic modeling of commodity futures prices
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2014 Forecasting conditional volatility on the RIN market using MS GARCH model
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2014 The conditional dependence structure between precious metals: a copula-GARCH approach
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2014 Asymmetric Information and IPO Size
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2014 Sensitivity of Value at Risk estimation to NonNormality of returns and Market capitalization
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2014 Can Analysts Predict Rallies Better Than Crashes?
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2014 Bayesian Averaging of Classical Estimates in Asymmetric Vector Autoregressive (AVAR) Models
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2014 Forecasting Time-Varying Correlation using the Dynamic Conditional Correlation (DCC) Model
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2014 The Time-Varying Risk and Return Trade Off in Indian Stock Markets
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2014 Stock Market Development and Economic growth in India: An Empirical Analysis
by P., Srinivasan
2014 Modeling Covariance Breakdowns in Multivariate GARCH
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2014 Modelling a Latent Daily Tourism Financial Conditions Index
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2014 Stochastic conditonal range, a latent variable model for financial volatility
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2014 Stochastic conditonal range, a latent variable model for financial volatility
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2014 A non parametric ACD model
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2014 Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates
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2014 Strategies on initial public offering of company equity at stock exchanges in imperfect highly volatile global capital markets with induced nonlinearities
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2014 Influence of Foreign Institutional Investments (FIIs) on the Indian stock market
by Vardhan, Harsh & Sinha, Pankaj
2014 Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis
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2014 Value-at-risk Predictions of Precious Metals with Long Memory Volatility Models
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2014 A new Pearson-type QMLE for conditionally heteroskedastic models
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2014 Mergers and acquisitions transactions strategies in diffusion - type financial systems in highly volatile global capital markets with nonlinearities
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2014 Chasing Volatility. A Persistent Multiplicative Error Model With Jumps
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2014 Factor High-Frequency Based Volatility (HEAVY) Models
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2014 . . . and the Cross-Section of Expected Returns
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2014 Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
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2014 On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers
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2014 Hong Kong: A Bridge Connecting Mainland China and the International Market
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2014 Indirect Inference Estimation of Nonlinear Dynamic General Equilibrium Models : With an Application to Asset Pricing under Skewness Risk
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2014 Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
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2014 Approximate Bayesian Computation in State Space Models
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2014 Testing for Leverage Effect in Financial Returns
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2014 Volatility risk premia and financial connectedness
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2014 Volatility risk premia and financial connectedness
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2014 Water, Food, Energy: Searching for the Economic Nexus
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2014 Optimal hedging with the cointegrated vector autoregressive model
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2014 Targeting estimation of CCC-Garch models with infinite fourth moments
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2014 Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management
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2014 Can Economic Uncertainty, Financial Stress and Consumer Senti-ments Predict U.S. Equity Premium?
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2014 On the detection of extreme movements and persistent behavior in Mediterranean stock markets: a wavelet-based approach
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2014 The shift-contagion effect of global financial crisis and the European debt crisis on OECD Countries
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2014 Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence
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2014 Beyond dimension two: A test for higher-order tail risk
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2014 Localising Forward Intensities for Multiperiod Corporate Default
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2014 TEDAS - Tail Event Driven ASset Allocation
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2014 Nonparametric Test for a Constant Beta over a Fixed Time Interval
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2014 Nonparametric Estimates for Conditional Quantiles of Time Series
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2014 The Fluke Of Stochastic Volatility Versus Garch Inevitability : Which Model Creates Better Forecasts?
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2014 Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
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2014 Financial Market Contagion during the Global Financial Crisis
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2014 Credit Risk Modeling under Conditional Volatility
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2014 Portfolio Choice under Parameter Uncertainty: Bayesian Analysis and Robust Optimization Comparison
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2014 Does U.S. Monetary Policy Affect Crude Oil Future Price Volatility? An Empirical Investigation
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2014 Forecasting Realized Volatility with Changes of Regimes
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2014 Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares
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2014 Option-implied term structures
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2014 The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited
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2014 Texas Manufacturing Outlook Survey: survey methodology and performance
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2014 The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks
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2014 Range-based Volatility Estimation and Forecasting
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2014 On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model
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2014 Is Barrier version of Merton model more realistic? Evidence from Europe
by Petra Andrlíková
2014 Econometric Analysis of Financial Derivatives
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2014 Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion
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2014 Currency hedge – walking on the edge?
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2014 A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market
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2014 Outliers in multivariate Garch models
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2014 Multi-level Conditional VaR Estimation in Dynamic Models
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2014 A simple model for now-casting volatility series
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2014 Construction of value-at-risk forecasts under different distributional assumptions within a BEKK framework
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2014 Forecasting comparison of long term component dynamic models for realized covariance matrices
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2014 Specific Markov-switching behaviour for ARMA parameters
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2014 Emerging Structural Pressures in European Labour Markets
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2014 Interfacing a CGE Labour Market Model with the E3ME Multi-Sector Macroeconomic Model
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2014 Scale-free tails in Colombian financial indexes: a primer
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2014 The Economics of Bitcoins - Market Characteristics and Price Jumps
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2014 A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices
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2014 Asymptotic Properties of Imputed Hedonic Price Indices
by Olivier Schöni
2014 Econometric Analysis of Financial Derivatives: An Overview
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2014 Asymmetry and Leverage in Conditional Volatility Models
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2014 Volatility Spillovers from Australia's major trading partners across the GFC
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2014 On the Invertibility of EGARCH
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2014 Asymmetric Realized Volatility Risk
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2014 A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
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2014 Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview
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2014 A One Line Derivation of EGARCH
by Michael McAleer & Christian M. Hafner
2014 Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
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2014 Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
by Michael McAleer
2014 Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series
by David E. Allen & Michael McAleer & Abhay K. Singh
2014 Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence
by Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss
2014 A multiple testing approach to the regularisation of large sample correlation matrices
by Natalia Bailey & Vanessa Smith & M. Hashem Pesaran
2014 A Compound Multifractal Model for High-Frequency Asset Returns
by Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin
2014 Dynamic Spanning Tree Approach - The Case Of Asia-Pacific Stock Markets
by Ahmet Sensoy & Benjamin M. Tabak
2014 Expectations, risk premia and information spanning in dynamic term structure model estimation
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2014 Interventions and Expected Exchange Rates in Emerging Market Economies
by Santiago García-Verdú & Manuel Ramos Francia
2014 Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis
by Juan R. Hernández
2014 Calibrating the Italian smile with time-varying volatility and heavy-tailed models
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2014 Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure
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2014 Matrix Box-Cox Models for Multivariate Realized Volatility
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2014 Matrix Box-Cox Models for Multivariate Realized Volatility
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2014 Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections
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2014 Supervivencia de las empresas según indicadores empresariales. Modelo lineal mixto con datos de panel, período 2004 al 2008, caso de España
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2014 The Impact of Political Majorities on Firm Value: Do Electoral Promises or Friendship Connections Matter?
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2014 Indirect inference with time series observed with error
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2014 On the Selection of Common Factors for Macroeconomic Forecasting
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2014 Optimal hedging with the cointegrated vector autoregressive model
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2014 Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
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2014 Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500
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2014 Chasing volatility - A persistent multiplicative error model with jumps
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2014 Volatility jumps and their economic determinants
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2014 Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets
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2014 Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
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2014 Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity
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2014 Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange
by Asger Lunde & Kasper V. Olesen
2014 High-Frequency Trading and Probability Theory
by Zhaodong Wang & Weian Zheng
2014 Econometric Methods and Their Applications in Finance, Macro and Related Fields
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2014 Technical Analysis and Financial Asset Forecasting:From Simple Tools to Advanced Techniques
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2014 Particularities Of Transfer Channel In The Financial Network Modeling
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2014 A Tale Of Two Euro-Zones. Banks' Funding, Sovereign Risk And Unconventional Monetary Policies
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2014 Effects of the Public Sector downsizing on Social Security and public finance
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2014 Impact Of The Fii'S Indian Equity Investment Behavior On The Bric Countries' Stock Market Volatility During The Subprime Crisis. An Empirical Investigation
by AMANJOT SINGH & PARNEET KAUR
2014 Obtaining and Predicting the Bounds of Realized Correlations
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2014 Estimation Of Risk Neutral Measure For Polish Stock Market
by Pawe³ Kliber
2014 Is it possible to break the «curse of dimensionality»? Spatial specifications of multivariate volatility models
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2014 Autocorrelation in the global stochastic trend
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2014 Investment portfolio risk modelling based on hierarchical copulas
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2014 Comparing «Realized volatility» models in the VaR calculation for the Russian equity market
by Shcherba, Alexandr
2014 A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation
by Monica Billio & Lorenzon Frattarolo & Lauriana Pelizzon
2014 Higher order conditional moment dynamics and forecasting value-at-risk (in Russian)
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2014 Time varying vine copulas for multivariate returns (in Russian)
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2014 Bayesian Estimation and Prediction for ACD Models in the Analysis of Trade Durations from the Polish Stock Market
by Roman Huptas
2014 Simulating Bivariate Stationary Processes with Scale-Specific Characteristics
by Milan Bašta
2014 Análisis de la volatilidad del índice principal del mercado bursátil mexicano, del índice de riesgo país y de la mezcla mexicana de exportación mediante un modelo GARCH trivariado asimétrico || Volatility Analysis of the Core Mexican Stock Market Index, the Country Risk Index, and the Mexican Oil Basket Using an Asymmetric Trivariate GARCH Model
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2014 Mutations Driven by the Global Financial Crisis on the Hierarchy of Monetary Policy Transmission Mechanism Channels in CEE Countries
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2014 Analysis of the Banking System Performance in Romania During 2000-2012
by Cioca Ionela Cornelia
2014 Pricing And Assessing Unit-Linked Insurance Contracts With Investment Guarantees
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2014 The Empirical Analysis of Liquidity
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2014 Is illiquidity risk priced? The case of the Polish medium-size emerging stock market
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2014 “Every move you make, every step you take, I’ll be watching you” – the quest for hidden orders in the interbank FX spot market
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2014 Análisis del riesgo de mercado de los fondos de pensión en México Un enfoque con modelos autorregresivos
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2014 The Role of Information Asymmetry in Financing Methods
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2014 Financial crises and volatility spillovers among emerging European equity markets
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2014 Analysis of the Behavior of Volatility in Crude Oil Price
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2014 Financial bubbles and recent behaviour of the Latin American stock markets
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2014 A study of the relation between inflation and exchange rates in the Fiji islands: a cointegration and vector error correction approach
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2014 On the Hook for Impaired Bank Lending: Do Sovereign-Bank Interlinkages Affect the Net Cost of a Fiscal Stimulus?
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2014 Value at Risk Estimation for Heavy Tailed Distributions
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2014 Modeling Risk Convergence for European Financial Markets
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2014 The Dynamics of Sovereign Credit Default Swaps and the Evolution of the Financial Crisis in Selected Central European Economies
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2014 Uretim Isletmelerinde Firma Karliliginin Finansal Belirleyicileri ve BIST Imalat Sanayi Uygulamasi
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2014 The effects of news events on market contagion: Evidence from the 2007–2009 financial crisis
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2014 On cross-currency transmissions between US dollar and euro LIBOR-OIS spreads
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2014 Gold and exchange rates: Downside risk and hedging at different investment horizons
by Reboredo, Juan C. & Rivera-Castro, Miguel A.
2014 Determining what drives stock returns: Proper inference is crucial: Evidence from the UK
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2014 A view to the long-run dynamic relationship between crude oil and the major asset classes
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2014 Wavelet-based evidence of the impact of oil prices on stock returns
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2014 The impact of political majorities on firm value: Do electoral promises or friendship connections matter?
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2014 Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors
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2014 Currency jumps and crises: Do developed and emerging market currencies jump together?
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2014 Are Japanese short sellers information detectives?
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2014 Impacts of the financial crisis on eurozone sovereign CDS spreads
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2014 Cross-hedging strategies between CDS spreads and option volatility during crises
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2014 System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies
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2014 A new set of improved Value-at-Risk backtests
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2014 Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?
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2014 Yes, the CAPM is testable
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2014 Integration of European bond markets
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2014 The dynamics of spillover effects during the European sovereign debt turmoil
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2014 An analysis of price discovery from panel data models of CDS and equity returns
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2014 Cojumps in stock prices: Empirical evidence
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2014 Riskiness-minimizing spot-futures hedge ratio
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2014 Industry co-movement and cross-listing: Do home country factors matter?
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2014 Instabilities in the relationships and hedging strategies between crude oil and US stock markets: Do long memory and asymmetry matter?
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2014 Financial linkages between US sector credit default swaps markets
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2014 A comparative analysis of the dynamic relationship between oil prices and exchange rates
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2014 Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises
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2014 Outperformance in exchange-traded fund pricing deviations: Generalized control of data snooping bias
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2014 Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks
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2014 Constructing a financial fragility index for emerging countries
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2014 Can analysts predict rallies better than crashes?
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2014 Foreign exchange customers and dealers: Who’s driving whom?
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2014 Contagion effect on bond portfolio risk measures in a hybrid credit risk model
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2014 Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets
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2014 Financial crisis, Value-at-Risk forecasts and the puzzle of dependency modeling
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2014 Energy price dynamics in the U.S. market. Insights from a heterogeneous multi-regime framework
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2014 Jump processes in natural gas markets
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2014 Heterogeneous price dynamics in U.S. regional electricity markets
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2014 Wavelet dynamics for oil-stock world interactions
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2014 Futures pricing in electricity markets based on stable CARMA spot models
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2014 The switching relationship between natural gas and crude oil prices
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2014 Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management
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2014 An empirical Bayesian approach to stein-optimal covariance matrix estimation
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2014 Diagnosing the distribution of GARCH innovations
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2014 On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets
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2014 A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models
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2014 Modelling stock volatilities during financial crises: A time varying coefficient approach
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2014 Measuring and testing for the systemically important financial institutions
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2014 Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis
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2014 Does the information content of payout initiations and omissions influence firm risks?
by von Eije, Henk & Goyal, Abhinav & Muckley, Cal B.
2014 Improved inference in the evaluation of mutual fund performance using panel bootstrap methods
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2014 Modeling multivariate extreme events using self-exciting point processes
by Grothe, Oliver & Korniichuk, Volodymyr & Manner, Hans
2014 Estimating spot volatility with high-frequency financial data
by Zu, Yang & Peter Boswijk, H.
2014 Testing stationarity of functional time series
by Horváth, Lajos & Kokoszka, Piotr & Rice, Gregory
2014 Multivariate rotated ARCH models
by Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin
2014 On implied volatility for options—Some reasons to smile and more to correct
by Chen, Song Xi & Xu, Zheng
2014 Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
by Jensen, Mark J. & Maheu, John M.
2014 Marginal likelihood for Markov-switching and change-point GARCH models
by Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K.
2014 Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence
by Kim, Hyun Hak & Swanson, Norman R.
2014 Time-varying sparsity in dynamic regression models
by Kalli, Maria & Griffin, Jim E.
2014 Can we reject linearity in an HAR-RV model for the S&P 500? Insights from a nonparametric HAR-RV
by Lahaye, Jerome & Shaw, Philip
2014 Non-linear volatility dynamics and risk management of precious metals
by Demiralay, Sercan & Ulusoy, Veysel
2014 The conditional dependence structure of insurance sector credit default swap indices
by Tamakoshi, Go & Hamori, Shigeyuki
2014 Islamic equity market integration and volatility spillover between emerging and US stock markets
by Majdoub, Jihed & Mansour, Walid
2014 The symmetrical and positive relationship between crude oil and nominal exchange rate returns
by Chang, Kuang-Liang
2014 Detecting predictable non-linear dynamics in Dow Jones Islamic Market and Dow Jones Industrial Average indices using nonparametric regressions
by Álvarez-Díaz, Marcos & Hammoudeh, Shawkat & Gupta, Rangan
2014 Statistics of extreme events in risk management: The impact of the subprime and global financial crisis on the German stock market
by Herrera, Rodrigo & Schipp, Bernhard
2014 Spillovers among CDS indexes in the US financial sector
by Tamakoshi, Go & Hamori, Shigeyuki
2014 Covariance estimation using high-frequency data: Sensitivities of estimation methods
by Haugom, Erik & Lien, Gudbrand & Veka, Steinar & Westgaard, Sjur
2014 Dynamic relationship between Turkey and European countries during the global financial crisis
by Sensoy, Ahmet & Soytas, Ugur & Yildirim, Irem & Hacihasanoglu, Erk
2014 Can gold hedge and preserve value when the US dollar depreciates?
by Reboredo, Juan C. & Rivera-Castro, Miguel A.
2014 A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices
by Kumar, Dilip & Maheswaran, S.
2014 Volatility spillovers between the oil market and the European Union carbon emission market
by Reboredo, Juan C.
2014 Quadratic hedging schemes for non-Gaussian GARCH models
by Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo
2014 Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market
by Mesut BALLIBEY & Serpil TÜRKYILMAZ
2014 Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models
by Serpil TURKYILMAZ & Mesut BALIBEY
2014 The significance of distance between stock exchanges undergoing the process of convergence: An analysis of selected world stock exchanges during the period of 2004-2012
by Elzbieta Szulc & Dagna Wleklinska & Karolina Gorna & Joanna Gorna
2014 Burbujas financieras y comportamiento reciente de los mercados de acciones en América Latina
by Uribe, Jorge & Fernández, Julián
2014 Riesgo sistémico en el mercado de acciones colombiano: alternativas de diversificación bajo eventos extremos
by Jorge M. Uribe & Julián Fernández
2014 Relations Between Serial Correlation and Volatility: Is There a LeBaron Effect in Brazil?
by Regis Augusto Ely
2014 The diversification benefits from Islamic investment during the financial turmoil: The case for the US-based equity investors
by Buerhan Saiti & Obiyathulla I. Bacha & Mansur Masih
2014 Price jumps on European stock markets
by Jan Hanousek & Evzen Kocenda & Jan Novotny
2014 Measuring the degree of integration within a group of stock markets
by Boryana Bogdanova
2014 Volatility Linkage of Nominal and Index-linked Bond Returns: A Multivariate BEKK-GARCH Approach
by Noureddine Benlagha
2014 The Value Relevance of Financial Distress Risk in the Case of RASDAQ Companies
by Ioan-Bogdan Robu & Mihaela-Alina Robu & Marilena Mironiuc & Florentina Olivia Balu
2014 Investigating Banking Households' Deposits Using Vector Autoregressive Model Var
by Adina Elena Danuletiu & Iulia Cristina Iuga & Adela Socol
2014 Monetary Policy Transmission Mechanism And Dynamic Factor Models
by Andreea ROSOIU
2014 The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling
by Ryan Kellogg
2014 Estimating a Structural Model of Herd Behavior in Financial Markets
by Marco Cipriani & Antonio Guarino
2013 Detecting Predictable Non-linear Dynamics in Dow Jones Industrial Average and Dow Jones Islamic Market Indices using Nonparametric Regressions
by Marcos Álvarez-Díaz & Shawkat Hammoudeh & Rangan Gupta
2013 Volatility Transmission between Islamic and Conventional Equity Markets: Evidence from Causality-in-Variance Test
by Saban Nazlioglu & Shawkat Hammoudeh & Rangan Gupta
2013 Can the Sharia-Based Islamic Stock Market Returns be Forecasted Using Large Number of Predictors and Models?
by Rangan Gupta & Shawkat Hammoudeh & Beatrice D. Simo-Kengne & Soodabeh Sarafrazi
2013 Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?
by Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen
2013 Does the Source of Oil Price Shocks Matter for South African Stock Returns? A Structural VAR Approach
by Rangan Gupta & Mampho P. Modise
2013 Nonparametric Approach to Portfolio Diversification: The Case of Australian Equity Market - Un approccio non-parametrico alla diversificazione del portafoglio: il caso del mercato azionario australiano
by Trofimov, Ivan D.
2013 Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals
by Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar
2013 Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals
by Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar
2013 Identifying Volatility Signals from Time-Varying Simultaneous Stock Market Interaction
by Strohsal, Till & Weber, Enzo
2013 A latent dynamic factor approach to forecasting multivariate stock market volatility
by Gribisch, Bastian
2013 ECB monetary policy surprises: identification through cojumps in interest rates
by Winkelmann, Lars & Bibinger, Markus & Linzert, Tobias
2013 Exact solutions for the transient densities of continuous-time Markov switching models: With an application to the poisson multifractal model
by Lux, Thomas
2013 Copula-based dynamic conditional correlation multiplicative error processes
by Bodnar, Taras & Hautsch, Nikolaus
2013 Interest rate risk and the Swiss solvency test
by Eder, Armin & Keiler, Sebastian & Pichl, Hannes
2013 Sovereign default swap market efficiency and country risk in the eurozone
by Gündüz, Yalin & Kaya, Orcun
2013 The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models
by Peter Spencer
2013 Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model
by Ming Lin & Changjiang Liu & Linlin Niu
2013 Co-movements of Shanghai and New York Stock Prices by Time-varying Regressions
by Gregory C Chow & Changjiang Liu & Linlin Niu
2013 Price Jumps on European Stock Markets
by Jan Hanousek & Evžen Kočenda & Jan Novotný
2013 Price Jump Indicators: Stock Market Empirics During the Crisis
by Jan Novotný & Jan Hanousek & Evžen Kočenda
2013 Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets
by David E. Giles & Yanan Li
2013 Inflation Risk Premia, Yield Volatility and Macro Factors
by Andrea Berardi
2013 Markov Switching Models for Volatility: Filtering, Approximation and Duality
by Monica Billio & Maddalena Cavicchioli
2013 Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals
by Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G.
2013 Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously
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2013 Additive modeling of realized variance: tests for parametric specifications and structural breaks
by Fengler, Matthias R. & Mammen, Enno & Vogt, Michael
2013 Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data
by Audrino, Francesco & Fengler, Matthias
2013 It's all about volatility of volatility: evidence from a two-factor stochastic volatility model
by Stefano Grassi & Paolo Santucci de Magistris
2013 Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises
by Massimiliano Caporin & Juan Ángel Jiménez Martín & Lydia González-Serrano
2013 Risk Modelling and Management: An Overview
by Chia-Lin Chang & David E. Allen & Michael McAleer & Ju-Ting Tang & Teodosio Pérez Amaral
2013 Ten Things You Should Know About the Dynamic Conditional Correlation Representation
by Massimiliano Caporin & Michael McAleer
2013 Ten Things You Should Know About DCC
by Massimiliano Caporin & Michael McAleer
2013 Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
by Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer
2013 Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models
by Francisco Blasques & Andre Lucas & Erkki Silde
2013 Realized Volatility Risk
by David E. Allen & Michael McAleer & Marcel Scharth
2013 Risk Modelling and Management: An Overview
by Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral
2013 Ten Things you should know about the Dynamic Conditional Correlation Representation
by Massimiliano Caporin & Michael McAleer
2013 Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation
by Lukasz Gatarek & Lennart Hoogerheide & Koen Hooning & Herman K. van Dijk
2013 Ten Things you should know about DCC
by Massimiliano Caporin & Michael McAleer
2013 GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts
by David Ardia & Lennart Hoogerheide
2013 Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
by Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer
2013 Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression
by David E. Allen & Abhay K. Singh & Robert J. Powell & Michael McAleer & James Taylor & Lyn Thomas
2013 Gecelik Kur Takasi Faizleri ve BIST Gecelik Repo Faizleri
by Doruk Kucuksarac & Ozgur Ozel
2013 Systemic Risk Analysis of Turkish Financial Institutions with Systemic Expected Shortfall
by Irem Talasli
2013 Reserve Options Mechanism and FX Volatility
by Arif Oduncu & Yasin Akcelik & Ergun Ermisoglu
2013 Stock Return Comovement and Systemic Risk in the Turkish Banking System
by Mahir Binici & Bulent Koksal & Cuneyt Orman
2013 South African Sector Return Correlations: using DCC and ADCC Multivariate GARCH techniques to uncover the underlying dynamics
by Nico Katzke
2013 Systemic Risk, Sovereign Yields and Bank Exposures in the Euro Crisis
by Niccolò Battistini & Marco Pagano & Saverio Simonelli
2013 Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction
by Diep Duong & Norman Swanson
2013 Price Formation and Intertemporal Arbitrage within a Low-Liquidity Framework: Empirical Evidence from European Natural Gas Markets
by Nick, Sebastian
2013 Covariance Averaging for Improved Estimation and Portfolio Allocation
by Dimitrios D. Thomakos & Fotis Papailias
2013 Decoupling and the Spillover Effects of the US Financial Crisis: Evidence from the BRIC Markets
by Stelios D. Bekiros
2013 Liquidity Shocks and Stock Bubbles
by Ogonna Nneji
2013 Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets
by Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor
2013 Periodic autoregressive stochastic volatility
by Aknouche, Abdelhakim
2013 International diversification and dependence structure of equity portfolios during market crashes: the Archimedean copula approach
by Muteba Mwamba, John & Mokwena, Paula
2013 Relationship between macroeconomic variables and stock market index: evidence from India
by Pathan, Rubina & Masih, Mansur
2013 Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise
by Yu, Chao & Fang, Yue & Zhao, Xujie & Zhang, Bo
2013 Are investments in islamic REITs susceptible to forex uncertainty: wavelet analysis
by Mokhtar, Maznita & Masih, Mansur
2013 Housing finance and financial stability: evidence from Malaysia, Thailand and Singapore
by Hanifa, Mohamed Hisham & Masih, Mansur
2013 Determinants of cost of equity: The case of Shariah-compliant Malaysian firms
by Shafaai, Shafizal & Masih, Mansur
2013 Stock market and crude oil relationship: A wavelet analysis
by shafaai, Shafizal & Masih, Mansur
2013 An application of MGARCH-DCC analysis on selected currencies in terms of gold Price
by Mohamad, Sharifah Fairuz Syed & Masih, Mansur
2013 Gold price movements in selected currencies: wavelet approach
by Mohamad, Sharifah Fairuz Syed & Masih, Mansur
2013 Empirical study on the correlation of corporate social responsibility with the banks efficiency and stability
by T., Vasylieva & A., Lasukova
2013 Causality between Malaysian Islamic Stock Market and Macroeconomic Variables
by Naseri, Marjan & Masih, Mansur
2013 The Relationship between Exchange Rates and Islamic Indices in Malaysia FTSE Market: A Wavelet Based Approach
by Ayub, Aishaton & Masih, Mansur
2013 Qualitative variables and their reduction possibility. Application to time series models
by Ciuiu, Daniel
2013 Essays on Expectations and the Econometrics of Asset Pricing
by Lof, Matthijs
2013 The Volatility and Correlations of Stock Returns of Some Crisis-Hit Countries: US, Greece, Thailand and Malaysia: Evidence from MGARCH-DCC applications
by Masih, Mansur & Majid, Hamdan Abdul
2013 Interest Rate, Exchange Rate, and Stock Prices of Islamic Banks: A Panel Data Analysis
by Ayub, Aishahton & Masih, Mansur
2013 The Role of Gold as a Hedge and Safe Haven in Shariah-Compliant Portfolios
by Nagayev, Ruslan & Masih, Mansur
2013 Should Shariah-compliant investors include commodities in their portfolios? New evidence
by Nagayev, Ruslan & Masih, Mansur
2013 The Impact of Debt on Economic Growth: A Case Study of Indonesia
by Swastika, Purti & Dewandaru, Ginanjar & Masih, Mansur
2013 Does Restricted Short Selling Bring Benefit to Stocks Listed in Islamic Capital Market? New Evidence from Malaysia based on Dynamic Panel Heterogeneous Techniques
by Swastika, Putri & Dewandaru, Ginanjar & Masih, Mansur
2013 The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility
by Karkowska, Renata
2013 Comovement of Selected International Stock Market Indices:A Continuous Wavelet Transformation and Cross Wavelet Transformation Analysis
by Masih, Mansur & Majid, Hamdan Abdul
2013 Stock Price and Industrial Production in Developing Countries: A Dynamic Heterogeneous Panel Analysis
by Masih, Mansur & Majid, Hamdan Abdul
2013 Do Shariah (Islamic) Indices Provide a Safer Avenue in Crisis? Empirical Evidence from Dow Jones Indices using Multivariate GARCH-DCC
by Rizvi, Syed Aun & Masih, Mansur
2013 Comovement and resiliency of Islamic equity market: Evidence from GCC Islamic equity index based on wavelet analysis
by Dewandaru, Ginanjar & Alaoui, Abdelkader & Masih, A. Mansur M. & Alhabshi, Syed Othman
2013 Empirical evidence for nonlinearity and irreversibility of commodity futures prices
by Karapanagiotidis, Paul
2013 Markov-Switching Quantile Autoregression
by Liu, Xiaochun
2013 Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery
by Schröder, Anna Louise & Fryzlewicz, Piotr
2013 A new Pearson-type QMLE for conditionally heteroskedastic models
by Zhu, Ke & Li, Wai Keung
2013 An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation
by Francq, Christian & Sucarrat, Genaro
2013 Venture capital optimal investment portfolio strategies selection in diffusion - type financial systems in global capital markets with nonlinearities
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.
2013 Liquidity Issues in Indian Sovereign Bond Market
by Nath, Golaka
2013 Long Memory Processes and Structural Breaks in Stock Returns and Volatility: Evidence from the Egyptian Exchange
by Ezzat, Hassan
2013 An optimal three-way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality
by Pinelis, Iosif
2013 Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified
by El Ghourabi, Mohamed & Francq, Christian & Telmoudi, Fedya
2013 On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratanovich – Kalman – Bucy filters for Gaussian linear investment returns distribution and 2. Particle filters for non-Gaussian non-linear investment returns distribution
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.
2013 Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises
by Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia
2013 Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns
by Sucarrat, Genaro & Escribano, Alvaro
2013 On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.
2013 A Conditional Value-at-Risk Based Portfolio Selection With Dynamic Tail Dependence Clustering
by De Luca, Giovanni & Zuccolotto, Paola
2013 Cross-Hedging of Inflation Derivatives on Commodities: The Informational Content of Futures Markets
by Fulli-Lemaire, Nicolas & Palidda, Ernesto
2013 A Tale of Two Eurozones: Banks’s Funding, Sovereign Risk & Unconventional Monetary Policies
by Fulli-Lemaire, Nicolas
2013 Exchange rate volatility and exchange rate uncertainty in Nigeria: a financial econometric analysis (1970- 2012)
by nnamdi, Kelechi & ifionu, Ebele
2013 Detección de caídas en mercados financieros mediante análisis multifractal (exponentes locales y puntuales de Hölder): Índice accionario IPC y tipo de cambio USD/MXN
by Rendón, Stephanie
2013 DOW effects in returns and in volatility of stock markets during quiet and turbulent times
by Dumitriu, Ramona & Stefanescu, Razvan
2013 Bubbles, shocks and elementary technical trading strategies
by Fry, John
2013 Estimating Money Demand Function by a Smooth Transition Regression Model: An Evidence for Turkey
by Sahin, Afsin
2013 The Effects of Additional Monetary Tightening on Exchange Rates
by Ermişoğlu, Ergun & Akçelik, Yasin & Oduncu, Arif & Taşkın, Temel
2013 Does long memory matter in forecasting oil price volatility?
by Delavari, Majid & Gandali Alikhani, Nadiya & Naderi, Esmaeil
2013 Long Memory Analysis: An Empirical Investigation
by Nazarian, Rafik & Naderi, Esmaeil & Gandali Alikhani, Nadiya & Amiri, Ashkan
2013 A Hybrid Approach for Forecasting of Oil Prices Volatility
by Komijani, Akbar & Naderi, Esmaeil & Gandali Alikhani, Nadiya
2013 Risks of large portfolios
by Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng
2013 Modeling and Estimating Volatility of Options on Standard & Poor’s 500 Index
by Boleslaw Borkowski & Monika Krawiec & Yochanan Shachmurove
2013 Separating the impact of macroeconomic variables and global frailty in event data
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2013 The Determinants of Stock Market Index: VAR Approach to Turkish Stock Market
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2013 The Overnight Currency Swap Rates and ISE Overnight Repo Rates
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2013 Analysis Of The Romanian Banks‘ Performance Through Roa, Roe And Non-Performing Loans Models
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2013 Banking Efficiency and European Financial Integration
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2012 The Failure of Financial Econometrics: “Stir-Fry” Regressions as an Illustration
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2012 Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
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2012 Multivariate wishart stochastic volatility and changes in regime
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2012 Intra-daily volatility spillovers between the US and German stock markets
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2012 Identifying time variability in stock and interest rate dependence
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2012 The Meiselman forward interest rate revision regression as an Affine Term Structure Model
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2012 The Bulgarian Foreign and Domestic Debt – A No-Arbitrage Macrofinancial View
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2012 Continuous Empirical Characteristic Function Estimation of GARCH Models
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2012 GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study
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2012 Cointegration Based Trading Strategy For Soft Commodities Market
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2012 Financial press and stock markets in times of crisis
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2012 On the Predictability of Stock Prices: a Case for High and Low Prices
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2012 Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics
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2012 Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines
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2012 Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation
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2012 Modelling Australia's Retail Mortgage Rate
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2012 The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions
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2012 Bayesian semiparametric multivariate GARCH modeling
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2012 Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture
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2012 Stock Market Asymmetries: A Copula Diffusion
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2012 Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
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2012 Aggregating Credit and Market Risk: The Impact of Model Specification
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2012 Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
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2012 After Ten Years of the Russian Crisis, How Might IMF Intervention Be Evaluated?
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2012 Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns
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2012 Pricing Synthetic CDOs Using a Three Regime Random-Factor-Loading Model
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2012 Structural Change and Spurious Persistence in Stochastic Volatility
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2012 Multivariate statistical analysis for portfolio selection of italian stock market
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2012 Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model
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2012 The Nexus between Natural Gas Spot and Futures Prices at NYMEX: Do Weather Shocks and Non-Linear Causality in Low Frequencies Matter?
by Dergiades, Theologos & Madlener, Reinhard & Christofidou, Georgia
2012 Crude Oil Price Shocks and Stock Returns: Evidence from Turkish Stock Market under Global Liquidity Conditions
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2012 Bayesian Semiparametric Multivariate GARCH Modeling
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2012 Do Jumps Contribute to the Dynamics of the Equity Premium?
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2012 Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture
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2012 Market perception of fiscal sustainability: An application to the largest euro area economies
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2012 Financial Density Selection
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2012 Volatility Spillovers in Emerging Markets During the Global Financial Crisis: Diagonal BEKK Approach
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2012 أثر تحرير سوق رأس المال على التذبذب في سوق الأسهم السعودي
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2012 A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns
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2012 The Application of GARCH Methods in Modeling Volatility Using Sector Indices from the Egyptian Exchange
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2012 The Optimal Order Execution Problem within the Framework of a High-Frequency Trading - Sample Model
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2012 Multiperiod Black Litterman Asset Allocation Model
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2012 Day of the Week Effect on Turkish Foreign Exchange Market Volatility During the Global Financial Crisis
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2012 Risk Parity Portfolios with Risk Factors
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2012 Estimation of long memory in integrated variance
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2012 Robust inference on parameters via particle filters and sandwich covariance matrices
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2012 Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices
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2012 Multivariate Rotated ARCH Models
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2012 Factor Model Forecasts of Exchange Rates
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2012 Econometric Analysis of Present Value Models When the Discount Factor Is near One
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2012 Continuous-Time Linear Models
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2011 Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise
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2011 THE KELLY CAPITAL GROWTH INVESTMENT CRITERION:Theory and Practice
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2011 Volatility Shifts and Persistence in Variance: Evidence from the Sector Indices of Istanbul Stock Exchange
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2011 Estimation of the interdependence of time series of stocks prices based on copula
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2011 Copula-Based Price Risk Hedging Models
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2011 Tunisian and Indian Forex Markets: A Comparision on Forward Rate Unbiased Hypothesis
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2011 Co-movements of Shanghai and New York stock prices by time-varying regressions
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2011 Econometric Model – A Tool in Financial Management
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2010 Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility
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2010 DEPENDENCE MODELING:Vine Copula Handbook
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2009 Econometric Analysis of Financial Data in Risk Management
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by Fantazzini , Dean
2008 Solving Discrete Systems of Nonlinear Equations
by van der Laan, G. & Talman, A.J.J. & Yang, Z.F.
2008 Credit Risk Management
by Fantazzini, Dean
2008 Forecasting for the Bank's Asset-Liability Management
by Penikas, Henry
2008 An Econometric Analysis of Financial Data in Risk Management
by Fantazzini, Dean
2007 Combinatorial Integer Labeling Thorems on Finite Sets with an Application to Discrete Systems of Nonlinear Equations
by van der Laan, G. & Talman, A.J.J. & Yang, Z.F.
2007 Combinatorial Integer Labeling Theorems on Finite Sets with an Application to Discrete Systems of Nonlinear Equations
by Gerard van der Laan & Dolf Talman & Zaifu Yang
2007 Spot Ve Vadeli̇ İşlem Fi̇yatlarinin Varyanslari Arasindaki̇ Nedenselli̇k Testi̇
by Cevik, Emrah Ismail & Pekkaya, Mehmet
2006 A Discrete Multivariate Mean Value Theorem with Applications
by Talman, A.J.J. & Yang, Z.F.
2006 Econometric Analysis in the investment projects efficiency evaluation and property valuation theories
by Smolyak, Sergey
2005 Computing Integral Solutions of Complementarity Problems
by van der Laan, G. & Talman, A.J.J. & Yang, Z.F.
2005 Solving Discrete Zero Point Problems with Vector Labeling
by van der Laan, G. & Talman, A.J.J. & Yang, Z.F.
2005 Solving Discrete Zero Point Problems with Vector Labeling
by Gerard van der Laan & Dolf Talman & Zaifu Yang
2005 Computing Integral Solutions of Complementarity Problems
by Gerard van der Laan & Dolf Talman & Zaifu Yang
2005 Firma Başarısızlığının Dinamiklerinin Belirlenmesinde Makina Öğrenmesi Teknikleri: Ampirik Uygulamalar ve Karşılaştırmalı Analiz
by Cakir, Murat
2004 Wage Differentials, Monopsony Labor Markets, and the Trade-Labor Standards Debate
by C. Shelburne, Robert
2004 Periodic correlation vs. integration and cointegration (Okresowa korelacja a integracja i kointegracja)
by Ewa Broszkiewicz-Suwaj & Agnieszka Wylomanska
2004 Solving Discrete Zero Point Problems
by Gerard van der Laan & Dolf Talman & Zaifu Yang
2001 Local Nonparametric Estimation of Scalar Diffusions
by Moloche, Guillermo
1998 Scaling in currency exchange: A Conditionally Exponential Decay approach
by Szymon Mercik & Rafal Weron
1998 Origins of the scaling behaviour in the dynamics of financial data
by Aleksander Weron & Szymon Mercik & Rafal Weron
1998 Asymmetric Volatility Dynamics: Evidence From the Istanbul Stock Exchange
by Okay, Nesrin
2012-04 Ethics and Quantitative Finance
by Jason West
Restricted Likelihood Ratio Tests in Predictive Regression
by Peter C.B. Phillips & Ye Chen
Price Impact of Aggressive Liquidity Provision
by Ramazan Gencay & Soheil Mahmoodzadeh & Jakub Rojcek & Michael C Tseng
Portfolio Selection with Active Risk Monitoring
by Marc S. PAOLELLA & Pawel POLAK
A Direct and Full-Information Estimation of the Distribution of Skill in the Mutual Fund Industry
by Angie ANDRIKOGIANNOPOULOU & Filippos PAPAKONSTANTINOU
We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics
by Pierre BAJGROWICZ & Olivier SCAILLET
Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections
by Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis
Univariate and Bivariate Volatility in Central European Stock Markets
by Boţoc Claudiu
Dynamic Nexus between Exchange Rate and Stock Prices in the Major East European Economies
by Dejan Živkov & Jovan Njegić & Vera Mirović
