Research classified by Journal of Economic Literature (JEL) codes

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

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This topic is covered by the following reading lists:

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

3108

• Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model," CREATES Research Papers 2017-28, Department of Economics and Business Economics, Aarhus University.
• Cristina Amado & Annastiina Silvennoinen & Timo Terasvirta, 2017. "Modelling and Forecasting WIG20 Daily Returns," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 9(3), pages 173-200, September.
  • Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Modelling and forecasting WIG20 daily returns," NIPE Working Papers 09/2017, NIPE - Universidade do Minho.
  • Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Modelling and forecasting WIG20 daily returns," CREATES Research Papers 2017-29, Department of Economics and Business Economics, Aarhus University.

2906

• Giorgio Mirone, 2017. "Inference from the futures: ranking the noise cancelling accuracy of realized measures," CREATES Research Papers 2017-24, Department of Economics and Business Economics, Aarhus University.

2109

• Maxime Morariu-Patrichi & Mikko Pakkanen, 2018. "State-dependent Hawkes processes and their application to limit order book modelling," CREATES Research Papers 2018-26, Department of Economics and Business Economics, Aarhus University.

2019

• Federico Carlini & Paolo Santucci de Magistris, 2019. "Resuscitating the co-fractional model of Granger (1986)," CREATES Research Papers 2019-02, Department of Economics and Business Economics, Aarhus University.
• Mohamed Chikhi & Claude Diebolt, 2019. "Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors," Working Papers of BETA 2019-06, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
  • Mohamed Chikhi & Claude Diebolt, 2019. "Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors," Working Papers 03-19, Association Française de Cliométrie (AFC).
• Tobias Hartl & Roland Weigand, 2018. "Multivariate Fractional Components Analysis," Papers 1812.09149, arXiv.org, revised Jan 2019.
  • Hartl, Tobias & Weigand, Roland, 2019. "Multivariate Fractional Components Analysis," University of Regensburg Working Papers in Business, Economics and Management Information Systems 38283, University of Regensburg, Department of Economics.
• Xu, Yongdeng, 2019. "DCC-HEAVY: a multivariate GARCH model with realized measures of variance and correlation," Cardiff Economics Working Papers E2019/5, Cardiff University, Cardiff Business School, Economics Section.
• Verena Monschang & Bernd Wilfling, 2019. "Sup-ADF-style bubble-detection methods under test," CQE Working Papers 7819, Center for Quantitative Economics (CQE), University of Muenster.
• Mawuli Segnon & Stelios Bekiros, 2019. "Forecasting Volatility in Cryptocurrency Markets," CQE Working Papers 7919, Center for Quantitative Economics (CQE), University of Muenster.
• Escribano Sáez, Álvaro & Blazsek, Szabolcs Istvan & Ayala, Astrid, 2019. "Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index," UC3M Working papers. Economics 28133, Universidad Carlos III de Madrid. Departamento de Economía.
• Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir & Mark E. Wohar, 2019. "Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets," Working Papers 15-47, Eastern Mediterranean University, Department of Economics.
• Olkhov, Victor, 2019. "Econophysics of Asset Price, Return and Multiple Expectations," MPRA Paper 91587, University Library of Munich, Germany.
• Halkos, George & Tsirivis, Apostolos, 2019. "Using Value-at-Risk for effective energy portfolio risk management," MPRA Paper 91674, University Library of Munich, Germany.
• Bulut, Levent & Rizvanoghlu, Islam, 2019. "Is Gold a Safe Haven? International Evidence revisited," MPRA Paper 91957, University Library of Munich, Germany.
• Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos & Touche, Nassim, 2019. "Integer-valued stochastic volatility," MPRA Paper 91962, University Library of Munich, Germany, revised 04 Feb 2019.
• Voisin, Elisa & Hecq, Alain, 2019. "Forecasting bubbles with mixed causal-noncausal autoregressive models," MPRA Paper 92734, University Library of Munich, Germany.
• Francisco Blasques & Vladim'ir Hol'y & Petra Tomanov'a, 2018. "Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros," Papers 1812.07318, arXiv.org.
  • Francisco Blasques & Vladimir Holy & Petra Tomanova, 2019. "Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros," Tinbergen Institute Discussion Papers 19-004/III, Tinbergen Institute.
• Mohamed Chikhi & Claude Diebolt, 2019. "Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors," Working Papers of BETA 2019-06, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
• Fischer, Henning & Stolper, Oscar, 2019. "The nonlinear dynamics of corporate bond spreads: Regime-dependent effects of their determinants," Discussion Papers 08/2019, Deutsche Bundesbank.
• Dumitru, Ana-Maria & Hizmeri, Rodrigo & Izzeldin, Marwan, 2019. "Forecasting the Realized Variance in the Presence of Intraday Periodicity," EconStor Preprints 193631, ZBW - Leibniz Information Centre for Economics.
• Dumitru, Ana-Maria & Holden, Thomas, 2019. "Quantifying the transmission of European sovereign default risk," EconStor Preprints 193632, ZBW - Leibniz Information Centre for Economics.
• Pele, Daniel Traian & Mazurencu-Marinescu-Pele, Miruna, 2019. "Metcalfe's law and herding behaviour in the cryptocurrencies market," Economics Discussion Papers 2019-16, Kiel Institute for the World Economy (IfW).
• Conrad, Christian & Schienle, Melanie, 2019. "Testing for an omitted multiplicative long-term component in GARCH models," Working Paper Series in Economics 121, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
• Bormann, Carsten & Schienle, Melanie, 2019. "Detecting structural differences in tail dependence of financial time series," Working Paper Series in Economics 122, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
• Buse, Rebekka & Schienle, Melanie, 2019. "Measuring connectedness of euro area sovereign risk," Working Paper Series in Economics 123, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
• Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2019. "Taming the Factor Zoo: A Test of New Factors," NBER Working Papers 25481, National Bureau of Economic Research, Inc.

2018

• Nymoen, Ragnar & Pedersen, Kari & Sjåberg, Jon Ivar, 2018. "Estimation of effects of recent macroprudential policies in a sample of advanced open economies," Memorandum 5/2018, Oslo University, Department of Economics.
• Karatetskaya Efrosiniya & Lakshina Valeriya, 2018. "Volatility Spillovers With Spatial Effects On The Oil And Gas Market," HSE Working papers WP BRP 72/FE/2018, National Research University Higher School of Economics.
• Daniele Bianchi & Monica Billio & Roberto Casarin & Massimo Guidolin, 2018. "Modeling Systemic Risk with Markov Switching Graphical SUR Models," Working Papers 626, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
• Zongwu Cai & Ying Fang & Dingshi Tian, 2018. "Assessing Tail Risk Using Expectile Regressions with Partially Varying Coefficients," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201804, University of Kansas, Department of Economics, revised Oct 2018.
• Dingshi Tian & Zongwu Cai & Ying Fang, 2018. "Econometric Modeling of Risk Measures: A Selective Review of the Recent Literature," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201807, University of Kansas, Department of Economics, revised Oct 2018.
• Claudio, Morana, 2018. "Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices," Working Papers 382, University of Milano-Bicocca, Department of Economics, revised 04 Jun 2018.
• Mattia Bevilacqua, 2018. "Asymmetric Volatility Spillovers Between Developed And Developing European Countries," MNB Working Papers 2018/2, Magyar Nemzeti Bank (Central Bank of Hungary).
• Francesco Caloia & Andrea Cipollini & Silvia Muzzioli, 2018. "On the financial connectedness of the commodity market: a replication of the Diebold and Yilmaz (2012) study," Department of Economics 0131, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
• Worapree Maneesoonthorn & Gael M Martin & Catherine S Forbes, 2018. "Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference," Monash Econometrics and Business Statistics Working Papers 17/18, Monash University, Department of Econometrics and Business Statistics.
• David T. Frazier & Worapree Maneesoonthorn & Gael M. Martin & Brendan P.M. McCabe, 2018. "Approximate Bayesian forecasting," Monash Econometrics and Business Statistics Working Papers 2/18, Monash University, Department of Econometrics and Business Statistics.
• Martin Lettau & Markus Pelger, 2018. "Factors that Fit the Time Series and Cross-Section of Stock Returns," NBER Working Papers 24858, National Bureau of Economic Research, Inc.
• Shihao Gu & Bryan Kelly & Dacheng Xiu, 2018. "Empirical Asset Pricing via Machine Learning," NBER Working Papers 25398, National Bureau of Economic Research, Inc.
• Susana Martins & Cristina Amado, 2018. "Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach," NIPE Working Papers 08/2018, NIPE - Universidade do Minho.
• Ozili, Peterson K, 2018. "Bank Loan Loss Provisions, Investor Protection and the Macroeconomy," MPRA Paper 80281, University Library of Munich, Germany.
• Gerlach, Richard & Naimoli, Antonio & Storti, Giuseppe, 2018. "Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting," MPRA Paper 83893, University Library of Munich, Germany.
• Darolles, Serge & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Journal of Econometrics, Elsevier, vol. 204(2), pages 223-247.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," Working Papers halshs-01944656, HAL.
  • Darolles, Serges & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," MPRA Paper 83988, University Library of Munich, Germany.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," AMSE Working Papers 1845, Aix-Marseille School of Economics, Marseille, France.
• Cerovecki, Clément & Francq, Christian & Hormann, Siegfried & Zakoian, Jean-Michel, 2018. "Functional GARCH models: the quasi-likelihood approach and its applications," MPRA Paper 83990, University Library of Munich, Germany.
• He, Zhongfang, 2018. "A Class of Generalized Dynamic Correlation Models," MPRA Paper 84820, University Library of Munich, Germany.
• Tang, Bo, 2018. "Does the currency exposure affect stock returns of Chinese automobile firms?," MPRA Paper 85125, University Library of Munich, Germany.
• Cassim, Lucius, 2018. "A semi-parametric GARCH (1, 1) estimator under serially dependent innovations," MPRA Paper 86572, University Library of Munich, Germany.
• Cassim, Lucius, 2018. "Modelling asymmetric conditional heteroskedasticity in financial asset returns: an extension of Nelson’s EGARCH model," MPRA Paper 86615, University Library of Munich, Germany.
• Adebumiti, Qazeem & Masih, Mansur, 2018. "Economic growth, energy consumption and government expenditure:evidence from a nonlinear ARDL analysis," MPRA Paper 87527, University Library of Munich, Germany.
• Suwanhirunkul, Suwijak & Masih, Mansur, 2018. "Exchange rate and trade balance linkage: sectoral evidence from Thailand based on nonlinear ARDL," MPRA Paper 87541, University Library of Munich, Germany.
• Bamahriz, Omar & Masih, Mansur, 2018. "Brain drain or brain gain? investigating the diaspora’s effect on the economy and real estate bubble: new evidence from Kenya based on ARDL analysis," MPRA Paper 87556, University Library of Munich, Germany.
• Abu-Bakar, Muhammad & Masih, Mansur, 2018. "Is the oil price pass-through to domestic inflation symmetric or asymmetric? new evidence from India based on NARDL," MPRA Paper 87569, University Library of Munich, Germany.
• Haffejee, muhammad Ismail & Masih, Mansur, 2018. "Is the relationship between financial development and income inequality symmetric or asymmetric ? new evidence from South Africa based on NARDL," MPRA Paper 87574, University Library of Munich, Germany.
• Hamzah, Nurrawaida Husna & Masih, Mansur, 2018. "Revisiting effectiveness of interest rate as a tool to control inflation: evidence from Malaysia based on ARDL and NARDL," MPRA Paper 87576, University Library of Munich, Germany.
• Zahir, Faathih & Masih, Mansur, 2018. "Is the lead-lag relationship between financial development and economic growth symmetric ? new evidence from Bangladesh based on ARDL ad NARDL," MPRA Paper 87577, University Library of Munich, Germany.
• Morema, Kgotso & Bonga-Bonga, Lumengo, 2018. "The impact of oil and gold price fluctuations on the South African equity market: volatility spillovers and implications for portfolio management," MPRA Paper 87637, University Library of Munich, Germany.
• Christian Gouriéroux & Alain Monfort & Jean-Michel Zakoian, 2018. "Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations," Working Papers 2018-08, Center for Research in Economics and Statistics.
  • Gouriéroux, Christian & Monfort, Alain & Zakoian, Jean-Michel, 2018. "Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations," MPRA Paper 87834, University Library of Munich, Germany.
• Bonga-Bonga, Lumengo & Manguzvane, Mathias Mandla, 2018. "Assessing the extent of contagion of sovereign credit risk among BRICS countries," MPRA Paper 89200, University Library of Munich, Germany.
• Pincheira, Pablo & Hardy, Nicolas, 2018. "The predictive relationship between exchange rate expectations and base metal prices," MPRA Paper 89423, University Library of Munich, Germany.
• Naser, Hanan, 2018. "Financial Development and Economic Growth in Oil-Dependent Economy: The case of Bahrain," MPRA Paper 89743, University Library of Munich, Germany, revised 04 Sep 2018.
• Fedotenkov, Igor, 2018. "A review of more than one hundred Pareto-tail index estimators," MPRA Paper 90072, University Library of Munich, Germany.
• Yildirim, Ramazan & Masih, Mansur, 2018. "Investigating International Portfolio Diversification Opportunities for the Asian Islamic Stock Market Investors," MPRA Paper 90281, University Library of Munich, Germany.
• Pincheira, Pablo & Neumann, Federico, 2018. "Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile," MPRA Paper 90432, University Library of Munich, Germany.
• Shaw, Charles, 2018. "Conditional heteroskedasticity in crypto-asset returns," MPRA Paper 90437, University Library of Munich, Germany.
• Halkos, George & Tzirivis, Apostolos, 2018. "Effective energy commodities’ risk management: Econometric modeling of price volatility," MPRA Paper 90781, University Library of Munich, Germany.
• Aknouche, Abdelhakim & Francq, Christian, 2018. "Count and duration time series with equal conditional stochastic and mean orders," MPRA Paper 90838, University Library of Munich, Germany.
• Aknouche, Abdelhakim & Demmouche, Nacer & Touche, Nassim, 2018. "Bayesian MCMC analysis of periodic asymmetric power GARCH models," MPRA Paper 91136, University Library of Munich, Germany.
• Aqsha, Nur Suhairah & Masih, Mansur, 2018. "Is residential property the ultimate hedge against inflation ? new evidence from Malaysia based on ARDL and nonlinear ARDL," MPRA Paper 91508, University Library of Munich, Germany.
• Adznan, Syaima & Masih, Mansur, 2018. "Exchange rate and trade balance linkage: evidence from Malaysia based on ARDL and NARDL," MPRA Paper 91509, University Library of Munich, Germany.
• Hasan, Amiratul Nadiah & Masih, Mansur, 2018. "Determinants of food price inflation: evidence from Malaysia based on linear and nonlinear ARDL," MPRA Paper 91517, University Library of Munich, Germany.
• Affendi, Diyana Najwa & Masih, Mansur, 2018. "Is inflation targeting compatible with economic growth ? Korean experience based on ARDL and NARDL," MPRA Paper 91519, University Library of Munich, Germany.
• Adediran, Ibrahim Opeyemi & Masih, Mansur, 2018. "Oil price and the global conventional and islamic stock markets: Is the relationship symmetric or asymmetric ? evidence from nonlinear ARDL," MPRA Paper 91558, University Library of Munich, Germany.
• Bahruddin, Wan Athirah & Masih, Mansur, 2018. "Is the relation between lending interest rate and non-performing loans symmetric or asymmetric ? evidence from ARDL and NARDL," MPRA Paper 91565, University Library of Munich, Germany.
• Sabry, Saajid & Masih, Mansur, 2018. "Is gold a hedge against equity risk? Malaysian experience based on NARDL approach," MPRA Paper 91584, University Library of Munich, Germany.
• Nkoba, Malik Abdulrahman & Masih, Mansur, 2018. "Revisiting the Phillips curve trade-off: evidence from Tanzania using nonlinear ARDL approach," MPRA Paper 91631, University Library of Munich, Germany.
• Akhtar, Sharmin & Masih, Mansur, 2018. "Does asymmetry matter in the relationship between exchange rate and remittance? Evidence from a remittance recipient country based on ARDL and NARDL," MPRA Paper 91764, University Library of Munich, Germany.
• Lee, Kam Weng & Masih, Mansur, 2018. "Investigating the causal relationship between exchange rate variability and palm oil export: evidence from Malaysia based on ARDL and nonlinear ARDL approaches," MPRA Paper 91801, University Library of Munich, Germany.
• Jin, Xin & Maheu, John M & Yang, Qiao, 2017. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," MPRA Paper 81920, University Library of Munich, Germany.
  • Xin Jin & John M. Maheu & Qiao Yang, 2018. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," Working Paper series 18-02, Rimini Centre for Economic Analysis.
• Giudici, Paolo & Huang, Bihong & Spelta, Alessandro, 2018. "Trade Networks and Economic Fluctuations in Asia," ADBI Working Papers 832, Asian Development Bank Institute.
• Marco Causi & Andrea Baldini, 2018. "Determinants Of Loan And Bad Loan Dynamics: Evidence From Italy," Departmental Working Papers of Economics - University 'Roma Tre' o232, Department of Economics - University Roma Tre.
• Martin Iseringhausen, 2018. "The Time-Varying Asymmetry Of Exchange Rate Returns: A Stochastic Volatility – Stochastic Skewness Model," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 18/944, Ghent University, Faculty of Economics and Business Administration.
• Joseph Hughes & Choon-Geol Moon, 2017. "How Bad Is a Bad Loan? Distinguishing Inherent Credit Risk from Inefficient Lending (Does the Capital Market Price This Difference?)," Departmental Working Papers 201709, Rutgers University, Department of Economics.
  • Joseph Hughes & Choon-Geol Moon, 2018. "How Bad Is a Bad Loan? Distinguishing Inherent Credit Risk from Inefficient Lending (Does the Capital Market Price This Difference?)," Departmental Working Papers 201802, Rutgers University, Department of Economics.
• Joseph Hughes & Julapa Jagtiani & Choon-Geol Moon, 2018. "Consumer Lending Efficiency: Commercial Banks Versus A Fintech Lender," Departmental Working Papers 201806, Rutgers University, Department of Economics.
• Chiranjit Mukhopadhyay, 2018. "New More Powerful Likelihood Ratio Tests for Short Horizon Event Studies," Proceedings of International Academic Conferences 6408700, International Institute of Social and Economic Sciences.
• VICTORIA NIKULINA & Maxim Bouev, 2018. "Measuring herding behavior in the Russian stock market," Proceedings of International Academic Conferences 6409412, International Institute of Social and Economic Sciences.
• Ma?gorzata Just, 2018. "The Dynamics of Dependencies between the World Grain and Oilseed Markets," Proceedings of Economics and Finance Conferences 6910166, International Institute of Social and Economic Sciences.
• Tanapol Rattanasamakarn & Roengchai Tansuchat, 2018. "Realized Volatility in Agricultural Commodities Futures," Proceedings of Economics and Finance Conferences 7109342, International Institute of Social and Economic Sciences.
• Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2017. "The Janus-faced nature of debt : result from a data-driven cointegrated SVAR approach," Documents de Travail de l'OFCE 2017-02, Observatoire Francais des Conjonctures Economiques (OFCE).
  • Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2018. "The Janus face nature of debt : results from a data-driven cointegrated SVAR approach," Sciences Po publications info:hdl:2441/574jpbbn0f8, Sciences Po.
  • Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2017. "The Janus-Faced Nature of Debt: Results from a Data-Driven Cointegrated SVAR Approach," LEM Papers Series 2017/04, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
• Cronin, David & Dunne, Peter G., 2018. "How Effective are Sovereign Bond-Backed Securities as a Spillover Prevention Device," Research Technical Papers 4/RT/18, Central Bank of Ireland.
  • Cronin, David & Dunne, Peter G., 2018. "How effective are sovereign bond-backed securities as a spillover prevention device?," ESRB Working Paper Series 66, European Systemic Risk Board.
• Dunne, Peter G., 2018. "Positive liquidity spillovers from sovereign bond-backed securities," ESRB Working Paper Series 67, European Systemic Risk Board.
• Fiedor, Paweł, 2018. "Clearinghouse-Five: determinants of voluntary clearing in European derivatives markets," ESRB Working Paper Series 72, European Systemic Risk Board.
• Meltem Gulenay Chadwick, 2018. "Dependence of “Fragile Five" and “Troubled Ten" Emerging Markets' Financial System to US Monetary Policy and Monetary Policy Uncertainty," Working Papers 1817, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
• Chia-Lin Chang & Te-Ke Mai & Michael Mcaleer, 2018. "Pricing Carbon Emissions In China," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 1-37, September.
  • Chang, C-L. & Mai, T.K. & McAleer, M.J., 2018. "Pricing Carbon Emissions in China," Econometric Institute Research Papers EI 2018-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Pricing Carbon Emissions in China," Tinbergen Institute Discussion Papers 18-001/III, Tinbergen Institute.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Pricing carbon emissions in China," Documentos de Trabajo del ICAE 2018-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chang, C-L. & Hsu, S.-H. & McAleer, M.J., 2018. "An Event Study of Chinese Tourists to Taiwan," Econometric Institute Research Papers 2018-003/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "An Event Study of Chinese Tourists to Taiwan," Tinbergen Institute Discussion Papers 18-003/III, Tinbergen Institute.
  • Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "An event study of chinese tourists to Taiwan," Documentos de Trabajo del ICAE 2018-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Francisco (F.) Blasques & Paolo Gorgi & Siem Jan (S.J.) Koopman, 2018. "Missing Observations in Observation-Driven Time Series Models," Tinbergen Institute Discussion Papers 18-013/III, Tinbergen Institute.
• Garcia Mandico, Silvia & Garcia-Gomez, Pilar & Gielen, Anne C. & O'Donnell, Owen, 2018. "Earnings Responses to Disability Benefit Cuts," IZA Discussion Papers 11410, Institute for the Study of Labor (IZA).
  • Silvia Garcia Mandico & Pilar (P.) Garcia-Gomez & Anne (A.C.) Gielen & Owen (O.A.) O'Donnell, 2018. "Earnings responses to disability benefit cuts," Tinbergen Institute Discussion Papers 18-023/V, Tinbergen Institute.
• Chang, C-L. & Mai, T.K. & McAleer, M.J., 2018. "Establishing National Carbon Emission Prices for China," Econometric Institute Research Papers 18-028/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Establishing National Carbon Emission Prices for China," Tinbergen Institute Discussion Papers 18-028/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Te-Ke Mai, 2018. "Establishing National Carbon Emission Prices for China," Documentos de Trabajo del ICAE 2018-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chang, C-L. & Hsu, S.-H. & McAleer, M.J., 2018. "Risk Spillovers in Returns for Chinese and International Tourists to Taiwan," Econometric Institute Research Papers 18-031/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "Risk Spillovers in Returns for Chinese and International Tourists to Taiwan," Tinbergen Institute Discussion Papers 18-031/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Shu-Han Hsu, 2018. "Risk Spillovers in Returns for Chinese and International Tourists to Taiwan," Documentos de Trabajo del ICAE 2018-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chang, C-L. & Hsu, S.-H. & McAleer, M.J., 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Econometric Institute Research Papers EI2018-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Tinbergen Institute Discussion Papers 18-047/III, Tinbergen Institute.
  • Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Documentos de Trabajo del ICAE 2018-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Documentos de Trabajo del ICAE 2018-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Ilomäki, J. & Laurila, H. & McAleer, M.J., 2018. "Simple Market Timing with Moving Averages," Econometric Institute Research Papers EI2018-19, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Jukka Ilomaki & Hannu Laurila & Michael McAleer, 2018. "Simple Market Timing with Moving Averages," Tinbergen Institute Discussion Papers 18-048/III, Tinbergen Institute.
• Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 2018-052/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 18-052/III, Tinbergen Institute.
  • Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Econometric Institute Research Papers TI 2018-052/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Documentos de Trabajo del ICAE 2018-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Francisco (F.) Blasques & Siem Jan (S.J.) Koopman & Marc Nientker, 2018. "A Time-Varying Parameter Model for Local Explosions," Tinbergen Institute Discussion Papers 18-088/III, Tinbergen Institute.
• Andries C. van Vlodrop & Andre (A.) Lucas, 2018. "Estimation Risk and Shrinkage in Vast-Dimensional Fundamental Factor Models," Tinbergen Institute Discussion Papers 18-099/III, Tinbergen Institute.
• Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Documentos de Trabajo del ICAE 2018-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 2018-052/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 18-052/III, Tinbergen Institute.
  • Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Econometric Institute Research Papers TI 2018-052/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Audrone Virbickaite & Hedibert F. Lopes & Maria Concepción Ausín & Pedro Galeano, 2018. "Particle Learning for Bayesian Semi-Parametric Stochastic Volatility Model," DEA Working Papers 88, Universitat de les Illes Balears, Departament d'Economía Aplicada.
• Audrone Virbickaite & Hedibert F. Lopes, 2018. "Bayesian Semi-Parametric Markov Switching Stochastic Volatility Model," DEA Working Papers 89, Universitat de les Illes Balears, Departament d'Economía Aplicada.
• Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "An Event Study of Chinese Tourists to Taiwan," Tinbergen Institute Discussion Papers 18-003/III, Tinbergen Institute.
  • Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "An event study of chinese tourists to Taiwan," Documentos de Trabajo del ICAE 2018-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & Hsu, S.-H. & McAleer, M.J., 2018. "An Event Study of Chinese Tourists to Taiwan," Econometric Institute Research Papers 2018-003/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chia-Lin Chang & Te-Ke Mai & Michael Mcaleer, 2018. "Pricing Carbon Emissions In China," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 1-37, September.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Pricing Carbon Emissions in China," Tinbergen Institute Discussion Papers 18-001/III, Tinbergen Institute.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Pricing carbon emissions in China," Documentos de Trabajo del ICAE 2018-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & Mai, T.K. & McAleer, M.J., 2018. "Pricing Carbon Emissions in China," Econometric Institute Research Papers EI 2018-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chia-Lin Chang & Michael McAleer, 2018. "The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions," Tinbergen Institute Discussion Papers 17-015/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer, 2018. "The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions," Documentos de Trabajo del ICAE 2018-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & McAleer, M.J., 2018. "The fiction of full BEKK: Pricing fossil fuels and carbon emissions," Econometric Institute Research Papers EI2018-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chang, C-L. & Mai, T.K. & McAleer, M.J., 2018. "Establishing National Carbon Emission Prices for China," Econometric Institute Research Papers 18-028/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Te-Ke Mai, 2018. "Establishing National Carbon Emission Prices for China," Documentos de Trabajo del ICAE 2018-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Establishing National Carbon Emission Prices for China," Tinbergen Institute Discussion Papers 18-028/III, Tinbergen Institute.
• Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "Risk Spillovers in Returns for Chinese and International Tourists to Taiwan," Tinbergen Institute Discussion Papers 18-031/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Shu-Han Hsu, 2018. "Risk Spillovers in Returns for Chinese and International Tourists to Taiwan," Documentos de Trabajo del ICAE 2018-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & Hsu, S.-H. & McAleer, M.J., 2018. "Risk Spillovers in Returns for Chinese and International Tourists to Taiwan," Econometric Institute Research Papers 18-031/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chang, C-L. & Hsu, S.-H. & McAleer, M.J., 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Econometric Institute Research Papers EI2018-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Documentos de Trabajo del ICAE 2018-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Tinbergen Institute Discussion Papers 18-047/III, Tinbergen Institute.
  • Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Documentos de Trabajo del ICAE 2018-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chang, C-L. & Hsu, S.-H. & McAleer, M.J., 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Econometric Institute Research Papers EI2018-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Documentos de Trabajo del ICAE 2018-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Documentos de Trabajo del ICAE 2018-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Tinbergen Institute Discussion Papers 18-047/III, Tinbergen Institute.
• Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 2018-052/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Documentos de Trabajo del ICAE 2018-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 18-052/III, Tinbergen Institute.
  • Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Econometric Institute Research Papers TI 2018-052/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Allen, D.E. & McAleer, M.J. & Singh, A.K., 2018. "A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies," Econometric Institute Research Papers EI2018-26, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2018. "A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies," Documentos de Trabajo del ICAE 2018-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chia-Lin Chang & Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018. "Long Run Returns Predictability and Volatility with Moving Averages," Risks, MDPI, Open Access Journal, vol. 6(4), pages 1-18, September.
  • Chang, C-L. & Ilomäki, J. & Laurila, H. & McAleer, M.J., 2018. "Long Run Returns Predictability and Volatility with Moving Averages," Econometric Institute Research Papers EI2018-39, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018. "Long Run Returns Predictability and Volatility with Moving Averages," Documentos de Trabajo del ICAE 2018-25, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 11(4), pages 1-25, September.
  • Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Econometric Institute Research Papers EI2018-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Documentos de Trabajo del ICAE 2018-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Nektarios Aslanidis & Charlotte Christiansen, 2017. "Flight to Safety from European Stock Markets," CREATES Research Papers 2017-38, Department of Economics and Business Economics, Aarhus University.
  • Aslanidis, Nektarios, & Christiansen, Charlotte, 2018. "Flight to Safety from European Stock Markets," Working Papers 2072/306547, Universitat Rovira i Virgili, Department of Economics.
• Yi-Hsuan Chen, Cathy & Fengler, Matthias & Härdle, Wolfgang Karl & Liu, Yanchu, 2018. "Textual Sentiment, Option Characteristics, and Stock Return Predictability," Economics Working Paper Series 1808, University of St. Gallen, School of Economics and Political Science.
• Klein, Tony & Pham Thu, Hien & Walther, Thomas, 2018. "Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 105-116.
  • Thomas Walther & Tony Klein & Hien Pham Thu, 2018. "Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance," Working Papers on Finance 1812, University of St. Gallen, School of Finance.
• Thomas Walther & Tony Klein, 2018. "Exogenous Drivers of Cryptocurrency Volatility - A Mixed Data Sampling Approach To Forecasting," Working Papers on Finance 1815, University of St. Gallen, School of Finance.
• Nguyen, Duc Khuong & Walther, Thomas, 2017. "Modeling and forecasting commodity market volatility with long-term economic and financial variables," MPRA Paper 84464, University Library of Munich, Germany, revised Jan 2018.
  • Thomas Walther & Duc Khuong Nguyen, 2018. "Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Variables," Working Papers on Finance 1824, University of St. Gallen, School of Finance.
• Darolles, Serge & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Journal of Econometrics, Elsevier, vol. 204(2), pages 223-247.
  • Darolles, Serges & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," MPRA Paper 83988, University Library of Munich, Germany.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," AMSE Working Papers 1845, Aix-Marseille School of Economics, Marseille, France.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," Working Papers halshs-01944656, HAL.
• Bouoiyour, Jamal & Selmi, Refk & Wohar, Mark E., 2018. "Measuring the response of gold prices to uncertainty: An analysis beyond the mean," Economic Modelling, Elsevier, vol. 75(C), pages 105-116.
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• Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou, 2018. "Spanning Tests for Markowitz Stochastic Dominance," Swiss Finance Institute Research Paper Series 18-08, Swiss Finance Institute.
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• Bastianin, Andrea & Manera, Matteo, 2018. "How Does Stock Market Volatility React To Oil Price Shocks?," Macroeconomic Dynamics, Cambridge University Press, vol. 22(03), pages 666-682, April.
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• Francisco Blasques & Vladim'ir Hol'y & Petra Tomanov'a, 2018. "Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros," Papers 1812.07318, arXiv.org.
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• Tobias Hartl & Roland Weigand, 2018. "Multivariate Fractional Components Analysis," Papers 1812.09149, arXiv.org, revised Jan 2019.
  • Hartl, Tobias & Weigand, Roland, 2019. "Multivariate Fractional Components Analysis," University of Regensburg Working Papers in Business, Economics and Management Information Systems 38283, University of Regensburg, Department of Economics.
• Hong Thai Le & Marta Disegna, 2018. "Responses of macroeconomy and stock markets to structural oil price shocks: New evidence from Asian oil refinery," BAFES Working Papers BAFES25, Department of Accounting, Finance & Economic, Bournemouth University.
• Héctor Pérez Saiz & Blair Williams & Gabriel Xerri, 2018. "Tail Risk in a Retail Payment System: An Extreme-Value Approach," Discussion Papers 18-2, Bank of Canada.
• Héctor Pérez Saiz & Siddharth Untawala & Gabriel Xerri, 2018. "A Calibrated Model of Intraday Settlement," Discussion Papers 18-3, Bank of Canada.
• Jon Danielsson & Lerby Ergun & Casper G. de Vries, 2018. "Challenges in Implementing Worst-Case Analysis," Staff Working Papers 18-47, Bank of Canada.
• Sara Ferreira Filipe, 2018. "Housing prices and mortgage credit in Luxembourg," BCL working papers 117, Central Bank of Luxembourg.
• Alexey Vasilenko, 2018. "Systemic Risk and Financial Fragility in the Chinese Economy: A Dynamic Factor Model Approach," Bank of Russia Working Paper Series wps30, Bank of Russia.
• Christopher F Baum & Paola Zerilli & Liyuan Chen, 2018. "Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data," Boston College Working Papers in Economics 952, Boston College Department of Economics, revised 14 Sep 2018.
• Liyuan Chen & Paola Zerilli & Christopher F Baum, 2018. "Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications," Boston College Working Papers in Economics 953, Boston College Department of Economics.
• Lloyd, S. P., 2017. "Estimating Nominal Interest Rate Expectations: Overnight Indexed Swaps and the Term Structure," Cambridge Working Papers in Economics 1734, Faculty of Economics, University of Cambridge.
  • Lloyd, Simon, 2018. "Estimating nominal interest rate expectations: overnight indexed swaps and the term structure," Bank of England working papers 763, Bank of England.
• Faria, Gonçalo & Verona, Fabio, 2018. "The equity risk premium and the low frequency of the term spread," Research Discussion Papers 7/2018, Bank of Finland.
• Anna Gloria Billé & Leopoldo Catania, 2018. "Dynamic Spatial Autoregressive Models with Time-varying Spatial Weighting Matrices," BEMPS - Bozen Economics & Management Paper Series BEMPS55, Faculty of Economics and Management at the Free University of Bozen.
• Hong, S-Y. & Linton, O., 2018. "Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff," Cambridge Working Papers in Economics 1877, Faculty of Economics, University of Cambridge.
• Hafner, C. & Linton, O. & Tang, H., 2018. "Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case," Cambridge Working Papers in Economics 1878, Faculty of Economics, University of Cambridge.
• Cronin, David & Dunne, Peter G., 2018. "How effective are sovereign bond-backed securities as a spillover prevention device?," ESRB Working Paper Series 66, European Systemic Risk Board.
  • Cronin, David & Dunne, Peter G., 2018. "How Effective are Sovereign Bond-Backed Securities as a Spillover Prevention Device," Research Technical Papers 4/RT/18, Central Bank of Ireland.
• Dunne, Peter G., 2018. "Positive Liquidity Spillovers from Sovereign Bond-Backed Securities," Research Technical Papers 5/RT/18, Central Bank of Ireland.
• Stanislav Anatolyev & Sergei Seleznev & Veronika Selezneva, 2018. "Formation of Market Beliefs in the Oil Market," CERGE-EI Working Papers wp619, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Metin Ilbasmis & Marc Gronwald & Yuan Zhao, 2018. "Diversification Power of Real Estate Market Securities: The Role of Financial Crisis and Dividend Policy," CESifo Working Paper Series 7015, CESifo Group Munich.
• Cristina Sattarhoff & Marc Gronwald, 2018. "How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market," CESifo Working Paper Series 7102, CESifo Group Munich.
• Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," NBER Working Papers 23227, National Bureau of Economic Research, Inc.
  • Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2018. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 7187, CESifo Group Munich.
  • Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 6391, CESifo Group Munich.
• Scott M. R. Mahadeo & Reinhold Heinlein & Gabriella Deborah Legrenzi, 2018. "Energy Contagion Analysis: A New Perspective with Application to a Small Petroleum Economy," CESifo Working Paper Series 7279, CESifo Group Munich.
• Stelios Arvanitis & Olivier Scaillet & Nikolas Topaloglou, 2018. "Spanning Tests for Markowitz Stochastic Dominance," Papers 1810.10800, arXiv.org.
  • Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou, 2018. "Spanning Tests for Markowitz Stochastic Dominance," Swiss Finance Institute Research Paper Series 18-08, Swiss Finance Institute.
• Andrea Berardi & Alberto Plazzi, 2018. "Inflation Risk Premia, Yield Volatility and Macro Factors," Swiss Finance Institute Research Paper Series 18-13, Swiss Finance Institute, revised Mar 2018.
• Sentana, Enrique, 2018. "Volatility, diversification and contagion," CEPR Discussion Papers 12824, C.E.P.R. Discussion Papers.
  • Enrique Sentana, 2018. "Volatility, Diversification and Contagion," Working Papers wp2018_1803, CEMFI.
• BAUWENS Luc, & OTRANTO Edoardo,, 2018. "Nonlinearities and regimes in conditional correlations with different dynamics," CORE Discussion Papers 2018009, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • L. Bauwens & E. Otrando, 2018. "Nonlinearities and Regimes in Conditional Correlations with Different Dynamics," Working Paper CRENoS 201803, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
• Diego A. Agudelo & Sergio Preciado & Carlos Castro, 2018. "Measuring the effectiveness of volatility auctions," Documentos de Trabajo CIEF 016943, Universidad EAFIT.
• L. Bauwens & E. Otrando, 2018. "Nonlinearities and Regimes in Conditional Correlations with Different Dynamics," Working Paper CRENoS 201803, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  • BAUWENS Luc, & OTRANTO Edoardo,, 2018. "Nonlinearities and regimes in conditional correlations with different dynamics," CORE Discussion Papers 2018009, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Bollerslev, Tim & Hood, Benjamin & Huss, John & Pedersen, Lasse Heje, 2018. "Risk Everywhere: Modeling and Managing Volatility," CEPR Discussion Papers 12687, C.E.P.R. Discussion Papers.
• Enrique Sentana, 2018. "Volatility, Diversification and Contagion," Working Papers wp2018_1803, CEMFI.
  • Sentana, Enrique, 2018. "Volatility, diversification and contagion," CEPR Discussion Papers 12824, C.E.P.R. Discussion Papers.
• Lettau, Martin & Pelger, Markus, 2018. "Estimating Latent Asset-Pricing Factors," CEPR Discussion Papers 12926, C.E.P.R. Discussion Papers.
• Lettau, Martin & Pelger, Markus, 2018. "Factors that Fit the Time Series and Cross-Section of Stock Returns," CEPR Discussion Papers 13049, C.E.P.R. Discussion Papers.
• Gouriéroux, Christian & Monfort, Alain & Zakoian, Jean-Michel, 2018. "Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations," MPRA Paper 87834, University Library of Munich, Germany.
  • Christian Gouriéroux & Alain Monfort & Jean-Michel Zakoian, 2018. "Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations," Working Papers 2018-08, Center for Research in Economics and Statistics.
• Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "An Event Study of Chinese Tourists to Taiwan," Tinbergen Institute Discussion Papers 18-003/III, Tinbergen Institute.
  • Chang, C-L. & Hsu, S.-H. & McAleer, M.J., 2018. "An Event Study of Chinese Tourists to Taiwan," Econometric Institute Research Papers 2018-003/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "An event study of chinese tourists to Taiwan," Documentos de Trabajo del ICAE 2018-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chia-Lin Chang & Te-Ke Mai & Michael Mcaleer, 2018. "Pricing Carbon Emissions In China," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 1-37, September.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Pricing Carbon Emissions in China," Tinbergen Institute Discussion Papers 18-001/III, Tinbergen Institute.
  • Chang, C-L. & Mai, T.K. & McAleer, M.J., 2018. "Pricing Carbon Emissions in China," Econometric Institute Research Papers EI 2018-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Pricing carbon emissions in China," Documentos de Trabajo del ICAE 2018-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chia-Lin Chang & Michael McAleer, 2018. "The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions," Documentos de Trabajo del ICAE 2018-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & McAleer, M.J., 2018. "The fiction of full BEKK: Pricing fossil fuels and carbon emissions," Econometric Institute Research Papers EI2018-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer, 2018. "The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions," Tinbergen Institute Discussion Papers 17-015/III, Tinbergen Institute.
• Chia-Lin Chang & Michael McAleer & Te-Ke Mai, 2018. "Establishing National Carbon Emission Prices for China," Documentos de Trabajo del ICAE 2018-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & Mai, T.K. & McAleer, M.J., 2018. "Establishing National Carbon Emission Prices for China," Econometric Institute Research Papers 18-028/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Establishing National Carbon Emission Prices for China," Tinbergen Institute Discussion Papers 18-028/III, Tinbergen Institute.
• Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "Risk Spillovers in Returns for Chinese and International Tourists to Taiwan," Tinbergen Institute Discussion Papers 18-031/III, Tinbergen Institute.
  • Chang, C-L. & Hsu, S.-H. & McAleer, M.J., 2018. "Risk Spillovers in Returns for Chinese and International Tourists to Taiwan," Econometric Institute Research Papers 18-031/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Shu-Han Hsu, 2018. "Risk Spillovers in Returns for Chinese and International Tourists to Taiwan," Documentos de Trabajo del ICAE 2018-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Jukka Ilomaki & Hannu Laurila & Michael McAleer, 2018. "Simple Market Timing with Moving Averages," Tinbergen Institute Discussion Papers 18-048/III, Tinbergen Institute.
  • Ilomäki, J. & Laurila, H. & McAleer, M.J., 2018. "Simple Market Timing with Moving Averages," Econometric Institute Research Papers EI2018-19, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 2018-052/III, Tinbergen Institute.
  • Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Econometric Institute Research Papers TI 2018-052/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 18-052/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Documentos de Trabajo del ICAE 2018-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Documentos de Trabajo del ICAE 2018-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & Hsu, S.-H. & McAleer, M.J., 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Econometric Institute Research Papers EI2018-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Documentos de Trabajo del ICAE 2018-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Tinbergen Institute Discussion Papers 18-047/III, Tinbergen Institute.
• David E. Allen & Michael McAleer & Abhay K. Singh, 2018. "A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies," Documentos de Trabajo del ICAE 2018-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Allen, D.E. & McAleer, M.J. & Singh, A.K., 2018. "A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies," Econometric Institute Research Papers EI2018-26, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018. "Market Timing with Moving Averages," Sustainability, MDPI, Open Access Journal, vol. 10(7), pages 1-25, June.
  • Ilomäki, J. & Laurila, H. & McAleer, M.J., 2018. "Market Timing with Moving Averages," Econometric Institute Research Papers EI 2018-28, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 11(4), pages 1-25, September.
  • Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Documentos de Trabajo del ICAE 2018-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Econometric Institute Research Papers EI2018-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chia-Lin Chang & Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018. "Long Run Returns Predictability and Volatility with Moving Averages," Risks, MDPI, Open Access Journal, vol. 6(4), pages 1-18, September.
  • Chia-Lin Chang & Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018. "Long Run Returns Predictability and Volatility with Moving Averages," Documentos de Trabajo del ICAE 2018-25, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & Ilomäki, J. & Laurila, H. & McAleer, M.J., 2018. "Long Run Returns Predictability and Volatility with Moving Averages," Econometric Institute Research Papers EI2018-39, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Mehmet Balcilar & Usman Ojonugwa, 2018. "Exchange rate and oil price pass-through to inflation in BRICS countries: Evidence from the spillover index and rolling-sample analysis," Working Papers 15-45, Eastern Mediterranean University, Department of Economics.
• Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir, 2018. "Dynamic return and volatility spillovers among S&P 500, crude oil and gold," Working Papers 15-46, Eastern Mediterranean University, Department of Economics.
• Georgiev, Iliyan & Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2018. "Testing for parameter instability in predictive regression models," Journal of Econometrics, Elsevier, vol. 204(1), pages 101-118.
  • Georgiev, I & Harvey, DI & Leybourne, SJ & Taylor, AM, 2018. "Testing for Parameter Instability in Predictive Regression Models," Essex Finance Centre Working Papers 21162, University of Essex, Essex Business School.
• Tereza Palanska, 2018. "Measurement of Volatility Spillovers and Asymmetric Connectedness on Commodity and Equity Markets," Working Papers IES 2018/27, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2018.
• Karel Janda & Jakub Kourilek, 2018. "Residual Shape Risk on Czech Natural Gas Market," Working Papers IES 2018/33, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2018.
• Van Tassel, Peter, 2018. "Relative pricing and risk premia in equity volatility markets," Staff Reports 867, Federal Reserve Bank of New York.
• Lewis, Daniel J., 2018. "Identifying shocks via time-varying volatility," Staff Reports 871, Federal Reserve Bank of New York.
• Ioannis Kyriakou & Parastoo Mousavi & Jens Perch Nielsen & Michael Scholz, 2018. "Choice of Benchmark When Forecasting Long-term Stock Returns," Graz Economics Papers 2018-08, University of Graz, Department of Economics.
• Mestel, Roland & Murg, Michael & Theissen, Erik, 2018. "Algorithmic trading and liquidity: Long term evidence from Austria," Finance Research Letters, Elsevier, vol. 26(C), pages 198-203.
  • Roland Mestel & Michael Murg & Erik Theissen, 2018. "Algorithmic Trading and Liquidity: Long Term Evidence from Austria," Working Paper Series, Social and Economic Sciences 2018-03, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
• Bouoiyour, Jamal & Selmi, Refk & Wohar, Mark E., 2018. "Measuring the response of gold prices to uncertainty: An analysis beyond the mean," Economic Modelling, Elsevier, vol. 75(C), pages 105-116.
  • Jamal Bouoiyour & Refk Selmi & Mark Wohar, 2018. "Measuring the response of gold prices to uncertainty: An analysis beyond the mean," Papers 1806.07623, arXiv.org.
  • Jamal Bouoiyour & Refk Selmi & Mark Wohar, 2018. "Measuring the response of gold prices to uncertainty: An analysis beyond the mean," Post-Print hal-01817067, HAL.
• Selmi, Refk & Mensi, Walid & Hammoudeh, Shawkat & Bouoiyour, Jamal, 2018. "Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold," Energy Economics, Elsevier, vol. 74(C), pages 787-801.
  • Jamal Bouoiyour & W. Mensi & Refk Selmi & . Shewkat, 2018. "Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold," Post-Print hal-01879667, HAL.
• Shahzad, Syed Jawad Hussain & Arreola-Hernandez, Jose & Bekiros, Stelios & Shahbaz, Muhammad & Kayani, Ghulam Mujtaba, 2018. "A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 104-127.
  • Syed Jawad Hussain Shahzad & Jose Arreola Hernandez & Stelios Bekiros & Muhammad Shahbaz & Ghulam Mujtaba Kayani, 2018. "A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling," Post-Print hal-01989649, HAL.
• Uddin, Gazi Salah & Hernandez, Jose Areola & Shahzad, Syed Jawad Hussain & Hedström, Axel, 2018. "Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets," Energy Economics, Elsevier, vol. 71(C), pages 35-46.
  • Gazi Salah Uddin & Jose Areola Hernandez & Syed Jawad Hussain Shahzad & Axel Hedström, 2018. "Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets," Post-Print hal-01996386, HAL.
• Uddin, Gazi Salah & Hernandez, Jose Areola & Shahzad, Syed Jawad Hussain & Yoon, Seong-Min, 2018. "Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 167-180.
  • Gazi Salah Uddin & Jose Areola Hernandez & Syed Jawad Hussain Shahzad & Seong-Min Yoon, 2018. "Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks," Post-Print hal-01997844, HAL.
• Saker Sabkha & Christian De Peretti, 2018. "On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market," Working Papers hal-01710398, HAL.
• Saker Sabkha & Christian De Peretti & Dorra Hmaied, 2018. "Forecasting sovereign CDS volatility: A comparison of univariate GARCH-class models," Working Papers hal-01769390, HAL.
• Darolles, Serge & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Journal of Econometrics, Elsevier, vol. 204(2), pages 223-247.
  • Darolles, Serges & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," MPRA Paper 83988, University Library of Munich, Germany.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," Working Papers halshs-01944656, HAL.
  • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," AMSE Working Papers 1845, Aix-Marseille School of Economics, Marseille, France.
• Leschinski, Christian & Voges, Michelle & Sibbertsen, Philipp, 2018. "Integration and Disintegration of EMU Government Bond Markets," Hannover Economic Papers (HEP) dp-625, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Becker, Janis & Leschinski, Christian, 2018. "Estimating the Volatility of Asset Pricing Factors," Hannover Economic Papers (HEP) dp-631, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Kunze, Frederik & Basse, Tobias & Wegener, Christoph & Spiwoks, Markus, 2018. "The emergence of the RMB: A "New Normal" for China's exchange rate system?," Center for European, Governance and Economic Development Research Discussion Papers 348, University of Goettingen, Department of Economics.
• Saha, Kunal, 2018. "An investigation into the dependence structure of major cryptocurrencies," EconStor Preprints 181878, ZBW - Leibniz Information Centre for Economics.
• Bhaumik, Sumon Kumar & Chakrabarty, Manisha & Kutan, Ali M. & Selarka, Ekta, 2018. "How Effective are Stock Market Reforms in Emerging Market Economies? Evidence from a Panel VAR Model of the Indian Stock Market," GLO Discussion Paper Series 290, Global Labor Organization (GLO).
• Śmiech, Sławomir & Papież, Monika & Dąbrowski, Marek A. & Fijorek, Kamil, 2018. "What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets," Economics Discussion Papers 2018-55, Kiel Institute for the World Economy (IfW).
• Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2016. "Networks in risk spillovers: a multivariate GARCH perspective," Working Papers 2016:03, Department of Economics, University of Venice "Ca' Foscari".
  • Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2018. "Networks in risk spillovers: A multivariate GARCH perspective," SAFE Working Paper Series 225, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Lips, Johannes, 2018. "Debt and the Oil Industry - Analysis on the Firm and Production Level," Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181504, Verein für Socialpolitik / German Economic Association.
• Gianluca De Nard & Olivier Ledoit & Michael Wolf, 2018. "Factor models for portfolio selection in large dimensions: the good, the better and the ugly," ECON - Working Papers 290, Department of Economics - University of Zurich, revised Dec 2018.

2017

• Eraslan, Sercan & Ali, Faek Menla, 2017. "Financial crises and the dynamic linkages between stock and bond returns," Discussion Papers 17/2017, Deutsche Bundesbank.
• Lux, Thomas, 2017. "Estimation of agent-based models using sequential Monte Carlo methods," Economics Working Papers 2017-07, Christian-Albrechts-University of Kiel, Department of Economics.
• Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFR Working Papers 17-01, University of Cologne, Centre for Financial Research (CFR).
• Andersen, Torben G. & Cebiroglu, Gökhan & Hautsch, Nikolaus, 2017. "Volatility, information feedback and market microstructure noise: A tale of two regimes," CFS Working Paper Series 569, Center for Financial Studies (CFS).
• Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFS Working Paper Series 572, Center for Financial Studies (CFS).
• Nikolaus Hautsch & Stefan Voigt, 2017. "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty," Papers 1709.06296, arXiv.org, revised Jun 2018.
  • Hautsch, Nikolaus & Voigt, Stefan, 2017. "Large-scale portfolio allocation under transaction costs and model uncertainty," CFS Working Paper Series 582, Center for Financial Studies (CFS).
• Dumitru, Ana-Maria & Holden, Tom, 2017. "A Hawkes model of the transmission of European sovereign default risk," EconStor Conference Papers 168431, ZBW - Leibniz Information Centre for Economics.
• Matthias Raddant & Dror Y. Kenett, 2016. "Interconnectedness in the Global Financial Market," Working Papers 16-09, Office of Financial Research, US Department of the Treasury.
  • Raddant, Matthias & Kenett, Dror Y., 2017. "Interconnectedness in the global financial market," Kiel Working Papers 2076, Kiel Institute for the World Economy (IfW).
  • Matthias Raddant & Dror Y. Kenett, 2017. "Interconnectedness in the Global Financial Market," Papers 1704.01028, arXiv.org.
  • Raddant, Matthias & Kenett, Dror, 2016. "Interconnectedness in the global financial market," Annual Conference 2016 (Augsburg): Demographic Change 145560, Verein für Socialpolitik / German Economic Association.
• Boeing-Reicher, Claire A. & Boysen-Hogrefe, Jens, 2017. "Estimating the effects of the "flight to quality", with an application to German bond yields and interest payments," Kiel Working Papers 2086, Kiel Institute for the World Economy (IfW).
• Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto Calogero, 2017. "Estimation and model-based combination of causality networks," SAFE Working Paper Series 165, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Billio, Monica & Caporin, Massimiliano & Panzica, Roberto Calogero & Pelizzon, Loriana, 2017. "The impact of network connectivity on factor exposures, asset pricing and portfolio diversification," SAFE Working Paper Series 166, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Khalifa, Ahmed & Caporin, Massimiliano & Costola, Michele & Hammoudeh, Shawkat, 2017. "Systemic risk for financial institutions of major petroleum-based economies: The role of oil," SAFE Working Paper Series 172, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Voelzke, Jan & Gößling, Fabian & Diesteldorf, Jeanne & Weigt, Till, 2017. "Investors' favourite - A different look at valuing individual labour income," Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168065, Verein für Socialpolitik / German Economic Association.
• Hautsch, Nikolaus & Voigt, Stefan, 2017. "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information," Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168222, Verein für Socialpolitik / German Economic Association.
• Gavard, Claire & Kirat, Djamel, 2018. "Flexibility in the market for international carbon credits and price dynamics difference with European allowances," Energy Economics, Elsevier, vol. 76(C), pages 504-518.
  • Claire Gavard & Djamel Kirat, 2015. "Flexibility in the Market for International Carbon Credits and Price. Dynamics Difference with European Allowances," Working Papers 2015.03, Fondazione Eni Enrico Mattei.
  • Gavard, Claire & Kirat, Djamel, 2017. "Flexibility in the market for international carbon credits and price dynamics difference with European allowances," ZEW Discussion Papers 17-054, ZEW - Leibniz Centre for European Economic Research.
• Thomas Quistgaard Pedersen & Erik Christian Montes Schütte, 2017. "Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations," CREATES Research Papers 2017-09, Department of Economics and Business Economics, Aarhus University.
• Matthias Raddant & Dror Y. Kenett, 2016. "Interconnectedness in the Global Financial Market," Working Papers 16-09, Office of Financial Research, US Department of the Treasury.
  • Matthias Raddant & Dror Y. Kenett, 2017. "Interconnectedness in the Global Financial Market," Papers 1704.01028, arXiv.org.
  • Raddant, Matthias & Kenett, Dror Y., 2017. "Interconnectedness in the global financial market," Kiel Working Papers 2076, Kiel Institute for the World Economy (IfW).
  • Raddant, Matthias & Kenett, Dror, 2016. "Interconnectedness in the global financial market," Annual Conference 2016 (Augsburg): Demographic Change 145560, Verein für Socialpolitik / German Economic Association.
• Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2017. "High-Frequency Jump Analysis of the Bitcoin Market," Swiss Finance Institute Research Paper Series 17-19, Swiss Finance Institute.
  • Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2017. "High-Frequency Jump Analysis of the Bitcoin Market," Papers 1704.08175, arXiv.org, revised Jun 2017.
• Brummelhuis, Raymond & Luo, Zhongmin, 2017. "CDS Rate Construction Methods by Machine Learning Techniques," MPRA Paper 79194, University Library of Munich, Germany.
  • Raymond Brummelhuis & Zhongmin Luo, 2017. "CDS Rate Construction Methods by Machine Learning Techniques," Papers 1705.06899, arXiv.org.
• Hautsch, Nikolaus & Voigt, Stefan, 2017. "Large-scale portfolio allocation under transaction costs and model uncertainty," CFS Working Paper Series 582, Center for Financial Studies (CFS).
  • Nikolaus Hautsch & Stefan Voigt, 2017. "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty," Papers 1709.06296, arXiv.org, revised Jun 2018.
• Tom Roberts, 2017. "A Counterfactual Valuation of the Stock Index as a Predictor of Crashes," Staff Working Papers 17-38, Bank of Canada.
• Reinhard Ellwanger, 2017. "On the Tail Risk Premium in the Oil Market," Staff Working Papers 17-46, Bank of Canada.
• Enrico Bernardini & Johnny Di Giampaolo & Ivan Faiella & Riccardo Poli, 2017. "Investing in the electric utilities sector: the implications of carbon risk," Questioni di Economia e Finanza (Occasional Papers) 410, Bank of Italy, Economic Research and International Relations Area.
• Natoli, Filippo & Sigalotti, Laura, 2017. "A new indicator of inflation expectations anchoring," Working Paper Series 1996, European Central Bank.
  • Filippo Natoli & Laura Sigalotti, 2017. "An indicator of inflation expectations anchoring," Temi di discussione (Economic working papers) 1103, Bank of Italy, Economic Research and International Relations Area.
• Karina Luján Temporelli & Pablo Daniel Monterubbianesi, 2017. "Aportes de la economía de la salud al estudio de la transición de riesgos sanitarios: el caso de la obesidad," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 35(81), April.
• J. Idier & T. Piquard, 2017. "Pandemic crises in financial systems: a simulation-model to complement stress-testing frameworks," Working papers 621, Banque de France.
• T. Bennani & C. Couaillier & A. Devulder & S. Gabrieli & J. Idier & P. Lopez & T. Piquard & V. Scalone, 2017. "An analytical framework to calibrate macroprudential policy," Working papers 648, Banque de France.
• BRATIAN Vasile & BUCUR Amelia, 2017. "The Development And The Current Status Of The Capital Market Hypotheses: A Few Benchmarks," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 69(1), pages 22-28, April.
• Gonçalo Faria & Fabio Verona, 2016. "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers) 06, Católica Porto Business School, Universidade Católica Portuguesa.
  • Faria, Gonçalo & Verona, Fabio, 2017. "Forecasting the equity risk premium with frequency-decomposed predictors," Research Discussion Papers 1/2017, Bank of Finland.
• F. Lilla, 2017. "High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed," Working Papers wp1099, Dipartimento Scienze Economiche, Universita' di Bologna.
• Bu Ruijun & Cheng Jie & Hadri Kaddour, 2017. "Specification analysis in regime-switching continuous-time diffusion models for market volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 65-80, February.
• Avdulaj Krenar & Barunik Jozef, 2017. "A semiparametric nonlinear quantile regression model for financial returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 81-97, February.
• Taylor, Nick, 2017. "Timing strategy performance in the crude oil futures market," Energy Economics, Elsevier, vol. 66(C), pages 480-492.
  • Nick Taylor, 2017. "Timing Strategy Performance in the Crude Oil Futures Market," Bristol Accounting and Finance Discussion Papers 17/7, School of Economics, Finance, and Management, University of Bristol, UK.
• Lloyd, S. P., 2017. "Estimating Nominal Interest Rate Expectations: Overnight Indexed Swaps and the Term Structure," Cambridge Working Papers in Economics 1734, Faculty of Economics, University of Cambridge.
  • Lloyd, Simon, 2018. "Estimating nominal interest rate expectations: overnight indexed swaps and the term structure," Bank of England working papers 763, Bank of England.
• Karanasos, Menelaos & Xu, Yongdeng, 2017. "Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations," Cardiff Economics Working Papers E2017/14, Cardiff University, Cardiff Business School, Economics Section.
• Alexis Akira Toda & Kieran James Walsh, 2017. "Fat tails and spurious estimation of consumption‐based asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(6), pages 1156-1177, September.
  • Toda, Alexis Akira & Walsh, Kieran James, 2016. "Fat Tails and Spurious Estimation of Consumption-Based Asset Pricing Models," MPRA Paper 78980, University Library of Munich, Germany.
  • Toda, Alexis Akira & Walsh, Kieran James, 2017. "Fat tails and spurious estimation of consumption-based asset pricing models," University of California at San Diego, Economics Working Paper Series qt8df3x7gw, Department of Economics, UC San Diego.
• Lorenzo Camponovo & Yukitoshi Matsushita & Taisuke Otsu, 2017. "Empirical likelihood for high frequency data," STICERD - Econometrics Paper Series 591, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
• Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," NBER Working Papers 23227, National Bureau of Economic Research, Inc.
  • Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2018. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 7187, CESifo Group Munich.
  • Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 6391, CESifo Group Munich.
• Baumöhl, Eduard & Kočenda, Evžen & Lyócsa, Štefan & Výrost, Tomáš, 2018. "Networks of volatility spillovers among stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1555-1574.
  • Eduard Baumohl & Evzen Kocenda & Stefan Lyocsa & Tomas Vyrost, 2016. "Networks of volatility spillovers among stock markets," KIER Working Papers 941, Kyoto University, Institute of Economic Research.
  • Eduard Baumöhl & Evžen Kocenda & Stefan Lyócsa & Tomás Vyrost, 2017. "Networks of Volatility Spillovers among Stock Markets," CESifo Working Paper Series 6476, CESifo Group Munich.
• Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2017. "High-Frequency Jump Analysis of the Bitcoin Market," Papers 1704.08175, arXiv.org, revised Jun 2017.
  • Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2017. "High-Frequency Jump Analysis of the Bitcoin Market," Swiss Finance Institute Research Paper Series 17-19, Swiss Finance Institute.
• Julio A. Crego, 2017. "Short Selling Ban and Intraday Dynamics," Working Papers wp2017_1715, CEMFI.
• Julio A. Crego, 2017. "Short Selling Ban and Intraday Dynamics," Working Papers wp2018_1715, CEMFI.
• Carlos Castro & Diego Agudelo & Sergio Preciado, 2017. "Measuring the effectiveness of volatility call auctions," Documentos de Trabajo 015498, Universidad del Rosario.
• Santiago Medina Hurtado & Jorge Restrepo-Morales & Alejandro Bedoya, 2017. "Pérdidas esperadas y detrimento patrimonial por hurto de vehículos en Colombia," Revista Cuadernos de Economía, Universidad Nacional de Colombia -FCE - CID, vol. 36(71), pages 261-292, July.
• Johan Santiago Ruiz Moreno, 2017. "Estructura de varianzas entre el mercado financiero mundial y de Colombia," ECONOGRAFOS - ESCUELA DE ECONOMÍA 015695, UNIVERSIDAD NACIONAL DE COLOMBIA -FCE - CID.
• Joana Chapa & Araceli Ortega, 2017. "Identifying the Main Emitters of Carbon Dioxide in Mexico: A Multi-Sectoral Study," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, vol. 0(Spring 20), pages 135-172, April.
• Preminger, Arie & Storti, Giuseppe, 2014. "Least squares estimation for GARCH (1,1) model with heavy tailed errors," MPRA Paper 59082, University Library of Munich, Germany.
  • PREMINGER Arie & STORTI Giuseppe, 2017. "Least squares estimation for GARCH (1,1) model with heavy tailed errors," CORE Discussion Papers 2017015, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• JOHNEN, Johannes, 2017. "Dynamic competition in deceptive markets," CORE Discussion Papers 2017036, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Luc Bauwens & Jean-François Carpantier & Arnaud Dufays, 2017. "Autoregressive Moving Average Infinite Hidden Markov-Switching Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 162-182, April.
  • Bauwens, Luc & Carpantier, Jean-François & Dufays, Arnaud, 2015. "Autoregressive moving average infinite hidden markov-switching models," CORE Discussion Papers 2015007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Luc BAUWENS & Jean-François CARPENTIER & Arnaud DUFAYS, 2017. "Autoregressive moving average infinite hidden Markov-switching models," CORE Discussion Papers RP 2836, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Luc Bauwens & Jean-François Carpantier & Arnaud Dufays, 2017. "Autoregressive Moving Average Infinite Hidden Markov-Switching Models," Post-Print hal-01795051, HAL.
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• Chen, Cathy W.S. & Wang, Zona & Sriboonchitta, Songsak & Lee, Sangyeol, 2017. "Pair trading based on quantile forecasting of smooth transition GARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 38-55.
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• Wolfgang Karl Härdle & Cathy Yi-Hsuan Chen, 2017. "Data Science & Digital Society," SFB 649 Discussion Papers SFB649DP2017-010, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Ya Qian & Wolfgang Karl Härdle & Cathy Yi-Hsuan Chen, 2017. "Industry Interdependency Dynamics in a Network Context," SFB 649 Discussion Papers SFB649DP2017-012, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Simon Trimborn & Mingyang Li & Wolfgang Karl Härdle, 2017. "Investing with cryptocurrencies - A liquidity constrained investment approach," SFB 649 Discussion Papers SFB649DP2017-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Cathy Yi-Hsuan Chen & Sergey Nasekin, 2017. "The systemic risk of central SIFIs," SFB 649 Discussion Papers SFB649DP2017-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Burda Michael C. & Seele Stefanie, 2017. "Das deutsche Arbeitsmarktwunder: Eine Bilanz," Perspektiven der Wirtschaftspolitik, De Gruyter, vol. 18(3), pages 179-204, October.
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• Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Yongcheol Shin, 2017. "What’s Mine Is Yours: Sovereign Risk Transmission during the European Debt Crisis," Melbourne Institute Working Paper Series wp2017n17, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
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• Gian P. Cervellera & Marco P. Tucci, 2017. "A note on the Estimation of a Gamma-Variance Process: Learning from a Failure," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 363-385, March.
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• Seung C. Ahn & Alex R. Horenstein, 2017. "Asset Pricing and Excess Returns over the Market Return," Working Papers 2017-12, University of Miami, Department of Economics.
• Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes, 2017. "Dynamic asset price jumps and the performance of high frequency tests and measures," Monash Econometrics and Business Statistics Working Papers 14/17, Monash University, Department of Econometrics and Business Statistics.
• Bing Jiang & Yanrong Yang & Jiti Gao & Cheng Hsiao, 2017. "Recursive estimation in large panel data models: Theory and practice," Monash Econometrics and Business Statistics Working Papers 5/17, Monash University, Department of Econometrics and Business Statistics.
• Ban Kheng Tan & Anastasios Panagiotelis & George Athanasopoulos, 2017. "Bayesian Inference for a 1-Factor Copula Model," Monash Econometrics and Business Statistics Working Papers 6/17, Monash University, Department of Econometrics and Business Statistics.
• Siem Koopman & André Lucas & Marcin Zamojski, 2017. "Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting," NBP Working Papers 258, Narodowy Bank Polski, Economic Research Department.
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• Stefano Giglio & Dacheng Xiu, 2017. "Inference on Risk Premia in the Presence of Omitted Factors," NBER Working Papers 23527, National Bureau of Economic Research, Inc.
• Alexander M. Chinco & Mao Ye, 2017. "Investment-Horizon Spillovers," NBER Working Papers 23650, National Bureau of Economic Research, Inc.
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• Tomáš Pražák & Daniel Stavárek, 2017. "The Effect of Financial Ratios on the Stock Price Development," Working Papers 0043, Silesian University, School of Business Administration.
• Abedifar, Pejman & Giudici, Paolo & Hashem, Shatha Qamhieh, 2017. "Heterogeneous market structure and systemic risk: Evidence from dual banking systems," Journal of Financial Stability, Elsevier, vol. 33(C), pages 96-119.
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• Proelss, Juliane & Schweizer, Denis & Seiler, Volker, 2018. "Do announcements of WTO dispute resolution cases matter? Evidence from the rare earth elements market," Energy Economics, Elsevier, vol. 73(C), pages 1-23.
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• Alicja Fras, 2017. "The relation between management fees and the mutual funds` performance in Poland in 2015," Working Papers 26/2017, Institute of Economic Research, revised May 2017.
• Yang, Bill Huajian, 2017. "Point-in-time PD term structure models for multi-period scenario loss projection: Methodologies and implementations for IFRS 9 ECL and CCAR stress testing," MPRA Paper 76271, University Library of Munich, Germany.
• El khamlichi, Abdelbari & HOANG, Thi Hong Van & Wong, Wing-Keung, 2017. "Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis," MPRA Paper 76282, University Library of Munich, Germany.
• CHIKHI, Mohamed, 2017. "Chocs exogènes et non linéarités dans les séries boursières: Application à la modélisation non paramétrique du cours de l'action Orange
  [Exogenous Shocks and nonlinearity in the stock exchange seri," MPRA Paper 76691, University Library of Munich, Germany, revised 2017.
• Alexandre, Michel & Antônio Silva Brito, Giovani & Cotrim Martins, Theo, 2017. "Default contagion among credit modalities: evidence from Brazilian data," MPRA Paper 76859, University Library of Munich, Germany.
• Pincheira, Pablo, 2017. "A Power Booster Factor for Out-of-Sample Tests of Predictability," MPRA Paper 77027, University Library of Munich, Germany.
• Skintzi, Vasiliki, 2017. "Determinants of stock-bond market comovement in the Eurozone under model uncertainty," MPRA Paper 78278, University Library of Munich, Germany.
• Senarathne, Chamil W & Jayasinghe, Prabhath, 2017. "Information Flow Interpretation of Heteroskedasticity for Capital Asset Pricing: An Expectation-based View of Risk," MPRA Paper 78771, University Library of Munich, Germany, revised 04 Apr 2017.
• Raymond Brummelhuis & Zhongmin Luo, 2017. "CDS Rate Construction Methods by Machine Learning Techniques," Papers 1705.06899, arXiv.org.
  • Brummelhuis, Raymond & Luo, Zhongmin, 2017. "CDS Rate Construction Methods by Machine Learning Techniques," MPRA Paper 79194, University Library of Munich, Germany.
• Razak, Lutfi Abdul & Masih, Mansur, 2017. "Revisit Feldstein-Horioka puzzle: evidence from Malaysia (1960-2015)," MPRA Paper 79407, University Library of Munich, Germany.
• Ahmed, Azleen Rosemy & Masih, Mansur, 2017. "What is the link between financial development and income inequality? evidence from Malaysia," MPRA Paper 79416, University Library of Munich, Germany.
• Nazeer, Abdul Malik & Masih, Mansur, 2017. "Impact of political instability on foreign direct investment and Economic Growth: Evidence from Malaysia," MPRA Paper 79418, University Library of Munich, Germany.
• Ndiaye, Ndeye Djiba & Masih, Mansur, 2017. "Is inflation targeting the proper monetary policy regime in a dual banking system? new evidence from ARDL bounds test," MPRA Paper 79420, University Library of Munich, Germany.
• Isaev, Mirolim & Masih, Mansur, 2017. "The nexus of private sector foreign debt, unemployment, trade openness: evidence from Australia," MPRA Paper 79423, University Library of Munich, Germany.
• Hasson, Ashwaq & Masih, Mansur, 2017. "Energy consumption, trade openness, economic growth, carbon dioxide emissions and electricity consumption: evidence from South Africa based on ARDL," MPRA Paper 79424, University Library of Munich, Germany.
• Nor, Amirudin Mohd & Masih, Mansur, 2017. "Do Islamic banks lead or lag conventional banks? Evidence from Malaysia," MPRA Paper 79425, University Library of Munich, Germany.
• Wahab, Fatin Farhana & Masih, Mansur, 2017. "Discerning lead-lag between fear index and realized volatility," MPRA Paper 79433, University Library of Munich, Germany.
• Hodori, Arif & Masih, Mansur, 2017. "Determinants of profitability of takaful operators: new evidence from Malaysia based on dynamic GMM approach," MPRA Paper 79441, University Library of Munich, Germany.
• Adekunle, Salami Saheed & Masih, Mansur, 2017. "Assessing the viability of Sukuk for portfolio diversification using MS-DCC-GARCH," MPRA Paper 79443, University Library of Munich, Germany.
• Tanin, Tauhidul Islam & Masih, Mansur, 2017. "Does economic freedom lead or lag economic growth? evidence from Bangladesh," MPRA Paper 79446, University Library of Munich, Germany.
• Citak, Yusuf Ensar & Masih, Mansur, 2017. "Discerning Granger-causal chain between oil prices, exchange rates and inflation rates: Evidence from Turkey," MPRA Paper 79453, University Library of Munich, Germany.
• Razak, Razman & Masih, Mansur, 2017. "The links between crude palm oil, conventional and Islamic stock markets: evidence from Malaysia based on continuous and discrete wavelet analysis," MPRA Paper 79717, University Library of Munich, Germany.
• Isaev, Mirolim & Masih, Mansur, 2017. "Macroeconomic and bank-specific determinants of different categories of non-performing financing in Islamic banks: Evidence from Malaysia," MPRA Paper 79719, University Library of Munich, Germany.
• Hosen, Mosharrof & Masih, Mansur, 2017. "Are Islamic risk factors blessings or curse for stock return? evidence from Malaysia based on dynamic GMM and quantile regression approaches," MPRA Paper 79738, University Library of Munich, Germany.
• Lim, Siok Jin & Masih, Mansur, 2017. "Exploring portfolio diversification opportunities in Islamic capital markets through bitcoin: evidence from MGARCH-DCC and Wavelet approaches," MPRA Paper 79752, University Library of Munich, Germany.
• Abdi, Aisha Aden & Masih, Mansur, 2017. "Do macroeconomic variables affect stock–sukuk correlation in the regional markets? evidence from the GCC countries based on DOLS and FM-OLS," MPRA Paper 79753, University Library of Munich, Germany.
• Broni, Mohammed Yaw & Masih, Mansur, 2017. "Does a country’s external debt level affect its Islamic banking sector development? evidence from Malaysia based on quantile regression and markov regime switching," MPRA Paper 79758, University Library of Munich, Germany.
• Umairah, Fatin & Masih, Mansur, 2017. "Should the Malaysian islamic stock market investors invest in regional and international equity markets to gain portfolio diversification benefits?," MPRA Paper 82117, University Library of Munich, Germany.
  • Umirah, Fatin & Masih, Mansur, 2017. "Should the Malaysian Islamic stock market investors invest in regional and international equity market to gain portfolio diversification benefits ?," MPRA Paper 79762, University Library of Munich, Germany.
• Chen, Bai & Masih, Mansur, 2017. "Are the Islamic and conventional money markets really highly correlated ? MGARCH-DCC and Wavelet approaches," MPRA Paper 79886, University Library of Munich, Germany.
• Yang, Bill Huajian, 2017. "Forward Ordinal Probability Models for Point-in-Time Probability of Default Term Structure," MPRA Paper 79934, University Library of Munich, Germany.
• Ozili, Peterson K, 2017. "Bank Loan Loss Provisions, Investor Protection and the Macroeconomy," MPRA Paper 80147, University Library of Munich, Germany.
• Yang, Bill Huajian, 2017. "Point-in-Time PD Term Structure Models with Loan Credit Quality as a Component," MPRA Paper 80641, University Library of Munich, Germany.
• Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "The Time-Varying Risk Price of Currency Carry Trades," MPRA Paper 80788, University Library of Munich, Germany.
• Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "Carry Trades and Commodity Risk Factors," MPRA Paper 80789, University Library of Munich, Germany.
• Escobari, Diego & Garcia, Sergio & Mellado, Cristhian, 2017. "Identifying bubbles in Latin American equity markets: Phillips-Perron-based tests and linkages," Emerging Markets Review, Elsevier, vol. 33(C), pages 90-101.
  • Escobari, Diego & Garcia, Sergio & Mellado, Cristhian, 2017. "Identifying Bubbles in Latin American Equity Markets: Phillips-Perron-based Tests and Linkages," MPRA Paper 81453, University Library of Munich, Germany.
• Harri Pönkä, 2018. "Sentiment and sign predictability of stock returns," Economics Bulletin, AccessEcon, vol. 38(3), pages 1676-1684.
  • Pönkä, Harri, 2017. "Sentiment and sign predictability of stock returns," MPRA Paper 81861, University Library of Munich, Germany.
• Jin, Xin & Maheu, John M & Yang, Qiao, 2017. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," MPRA Paper 81920, University Library of Munich, Germany.
  • Xin Jin & John M. Maheu & Qiao Yang, 2018. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," Working Paper series 18-02, Rimini Centre for Economic Analysis.
• Diallo, Abdoulaye Kindy & Masih, Mansur, 2017. "CO2 emissions and financial development: evidence from the United Arab Emirates based on an ARDL approach," MPRA Paper 82054, University Library of Munich, Germany.
• Barnett, William & Su, Liting, 2017. "Financial Firm Production of Inside Monetary and Credit Card Services: An Aggregation Theoretic Approach," MPRA Paper 82061, University Library of Munich, Germany.
• Nazib, Nur Afiyah & Masih, Mansur, 2017. "The response of monetary policy shocks on Islamic bank deposits: evidence from Malaysia based on ARDL approach," MPRA Paper 82094, University Library of Munich, Germany.
• Dzanan, Haris & Masih, Mansur, 2017. "Does currency depreciation necessarily result in positive trade balance ? new evidence from Norway," MPRA Paper 82103, University Library of Munich, Germany.
• Umirah, Fatin & Masih, Mansur, 2017. "Should the Malaysian Islamic stock market investors invest in regional and international equity market to gain portfolio diversification benefits ?," MPRA Paper 79762, University Library of Munich, Germany.
  • Umairah, Fatin & Masih, Mansur, 2017. "Should the Malaysian islamic stock market investors invest in regional and international equity markets to gain portfolio diversification benefits?," MPRA Paper 82117, University Library of Munich, Germany.
• Reza, Md. Ridwan & Masih, Mansur, 2017. "Regime switching behavior of volatilities of Islamic equities: evidence from Markov- Switching GARCH models for some selected broad based indices," MPRA Paper 82123, University Library of Munich, Germany.
• Poyraz, Mehmet Sami & Masih, Mansur, 2017. "External private debt and economic growth: Is there a lead-lag Granger-casual relationship? evidence from Turkey," MPRA Paper 82132, University Library of Munich, Germany.
• Mustapha, Ishaq Muhammad & Masih, Mansur, 2017. "Dynamics of islamic stock market returns and exchange rate movements in the ASEAN Countries in a regime-switching environment: Implications for the islamic investors and risk hedgers," MPRA Paper 82218, University Library of Munich, Germany.
• Hamidi Sahneh, Mehdi, 2017. "News, Noise, and Tests of Present Value Models," MPRA Paper 82715, University Library of Munich, Germany.
• LEGOUGUI, Fateh & CHIKHI, Mohamed, 2017. "استخدام نماذج Arch لنمذجة تقلبات أسعار الأسهم في سوق المال السعودي - دراسة حالة شركة اتحاد اتصالات السعودية –
  [Modelling Saudi Stock Market Volatility Using ARCH Models –Case Study : Etihad Etisala," MPRA Paper 84263, University Library of Munich, Germany, revised Oct 2017.
• Li, Longqing, 2017. "A Comparative Study of GARCH and EVT Model in Modeling Value-at-Risk," MPRA Paper 85645, University Library of Munich, Germany.
• MESTRE, Roman & Terraza, Michel, 2017. "Analyse Temps-fréquence du MEDAF –Application au CAC 40 –
  [Time-Frequency Analysis of CAPM- Application to the CAC 40-]," MPRA Paper 86272, University Library of Munich, Germany.
• MESTRE, Roman & TERRAZA, Michel, 2017. "Analyse Multidimensionnelle Temps-Fréquence du MEDAF
  [Multidimensional Time-Frequency Analysis Of The Capm]," MPRA Paper 86330, University Library of Munich, Germany.
• MESTRE, Roman & TERRAZA, Michel, 2017. "Estimation du Beta Tempo-fréquentiel de la Droite de Marché-Une approche par les ondelettes continues-
  [Time-Frequency varying Beta Estimation -A continuous wavelets approach-]," MPRA Paper 86335, University Library of Munich, Germany.
• Latheef, Udhula Abdul & Masih, Mansur, 2017. "Asymmetrical effects of macro variables on commercial bank deposits: evidence from Maldives based on NARDL," MPRA Paper 86361, University Library of Munich, Germany.
• Yousafzai, Essa & Masih, Mansur, 2017. "Does shariah stock index lead or lag the exchange rate and macroeconomic variables? evidence from Japan based on ARDL," MPRA Paper 86373, University Library of Munich, Germany.
• Malik, Meheroon Nisa Abdul & Masih, Mansur, 2017. "The relationship between energy consumption, financial development and economic growth: an evidence from Malaysia based on ARDL," MPRA Paper 86374, University Library of Munich, Germany.
• Noh, Nadia Mohd & Masih, Mansur, 2017. "The relationship between energy consumption and economic growth: evidence from Thailand based on NARDL and causality approaches," MPRA Paper 86384, University Library of Munich, Germany.
• Al-Dailami, Mohammed Abdullah & Masih, Mansur, 2017. "Is interest rate still the right tool for stimulating economic growth ? evidence from Japan," MPRA Paper 86387, University Library of Munich, Germany.
• Unal, Huseyin & Masih, Mansur, 2017. "Discerning causal relationship between operational cost and bank profit for commercial banks: Turkish evidence with ARDL approach," MPRA Paper 86391, University Library of Munich, Germany.
• Yildirim, Ramazan & Masih, Mansur & Bacha, Obiyathulla Ismath, 2018. "Determinants of capital structure: evidence from Shari'ah compliant and non-compliant firms," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 198-219.
  • Yildirim, Ramazan & Masih, Mansur & Bacha, Obiyathulla, 2017. "Determinants of capital structure - Evidence from Shari'ah compliant and non-compliant firms," MPRA Paper 90280, University Library of Munich, Germany, revised 26 May 2018.
• Ayanda Sikhosana & Goodness C. Aye, 2017. "Asymmetric Volatility Effects between the Real Exchange Rate and Stock Prices in South Africa," Working Papers 201721, University of Pretoria, Department of Economics.
• Gupta, Rangan & Yoon, Seong-Min, 2018. "OPEC news and predictability of oil futures returns and volatility: Evidence from a nonparametric causality-in-quantiles approach," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 206-214.
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• Riza Demirer & Guilherme Demos & Rangan Gupta & Didier Sornette, 2017. "On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators," Working Papers 201752, University of Pretoria, Department of Economics.
• Rangan Gupta & Chi Keung Marco Lau & Seong-Min Yoon, 2017. "OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration," Working Papers 201754, University of Pretoria, Department of Economics.
• Demirer, Riza & Gupta, Rangan & Suleman, Tahir & Wohar, Mark E., 2018. "Time-varying rare disaster risks, oil returns and volatility," Energy Economics, Elsevier, vol. 75(C), pages 239-248.
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• Wilson Donzwa & Rangan Gupta & Mark E. Wohar, 2017. "Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies: A Note," Working Papers 201764, University of Pretoria, Department of Economics.
• Rangan Gupta & Tahir Suleman & Mark E. Wohar, 2019. "Exchange rate returns and volatility: the role of time-varying rare disaster risks," The European Journal of Finance, Taylor & Francis Journals, vol. 25(2), pages 190-203, January.
  • Rangan Gupta & Tahir Suleman & Mark E. Wohar, 2017. "Exchange Rate Returns and Volatility: The Role of Time-Varying Rare Disaster Risks," Working Papers 201767, University of Pretoria, Department of Economics.
• Rangan Gupta & Tahir Suleman & Mark E. Wohar, 2017. "The Role of Time-Varying Rare Disaster Risks in Predicting Bond Returns and Volatility," Working Papers 201770, University of Pretoria, Department of Economics.
• Sheung-Chi Chow & Rangan Gupta & Tahir Suleman & Wing-Keung Wong, 2017. "Long-Run Movement and Predictability of Bond Spread for BRICS and PIIGS: The Role of Economic, Financial and Political Risks," Working Papers 201773, University of Pretoria, Department of Economics.
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• Boţoc Claudiu, 2017. "Univariate and Bivariate Volatility in Central European Stock Markets," Prague Economic Papers, University of Economics, Prague, vol. 2017(2), pages 127-141.
• George Daniel Mateescu, 2017. "Regression on intervals," Working Papers of Institute for Economic Forecasting 170901, Institute for Economic Forecasting.
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• Davide De Gaetano, 2017. "Forecasting With Garch Models Under Structural Breaks: An Approach Based On Combinations Across Estimation Windows," Departmental Working Papers of Economics - University 'Roma Tre' 0219, Department of Economics - University Roma Tre.
• Davide De Gaetano, 2017. "A Bootstrap Bias Correction Of Long Run Fourth Order Moment Estimation In The Cusum Of Squares Test," Departmental Working Papers of Economics - University 'Roma Tre' 0220, Department of Economics - University Roma Tre.
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• Leopoldo Catania & Stefano Grassi, 2017. "Modelling Crypto-Currencies Financial Time-Series," CEIS Research Paper 417, Tor Vergata University, CEIS, revised 11 Dec 2017.
• Joseph Hughes & Choon-Geol Moon, 2017. "How Bad Is a Bad Loan? Distinguishing Inherent Credit Risk from Inefficient Lending (Does the Capital Market Price This Difference?)," Departmental Working Papers 201709, Rutgers University, Department of Economics.
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• Maria Sole Pagliari & Swarnali Ahmed Hannan, 2017. "The Volatility of Capital Flows in Emerging Markets; Measures and Determinants," IMF Working Papers 17/41, International Monetary Fund.
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• Vsevolod I Gorlach, 2017. "Capturing the Black Swan: Scenario-Based Asset Allocation with Fat Tails and Non-Linear Correlations," Working Papers 695, Economic Research Southern Africa.
• Mathias Manguzvane & John W. Muteba Mwamba, 2017. "Modelling Systemic Risk in the South African Banking Sector Using CoVar," Working Papers 709, Economic Research Southern Africa.
• Qing Zhou & Robert Faff, 2017. "The complementary role of cross-sectional and time-series information in forecasting stock returns," Australian Journal of Management, Australian School of Business, vol. 42(1), pages 113-139, February.
• Johan Winbladh, 2017. "Systemic Banking Crisis and Macroeconomic Leading Indicators," Proceedings of International Academic Conferences 4707470, International Institute of Social and Economic Sciences.
• Rajesh Mohnot, 2017. "Examining Granger Causality in the Behavioral Reactions of Institutional Investors," Proceedings of International Academic Conferences 5808175, International Institute of Social and Economic Sciences.
• Luká? Frýd, 2017. "A wavelet transformation approach to crude oil price and CZK/USD exchange rate dependence," Proceedings of Economics and Finance Conferences 4507429, International Institute of Social and Economic Sciences.
• Zi-Yi Guo, 2017. "A Stochastic Factor Model for Risk Management of Commodity Derivatives," Proceedings of Economics and Finance Conferences 4507452, International Institute of Social and Economic Sciences.
• Daniel Stefan Armeanu & Adrian Enciu & Sorin-Iulian Cioaca, 2017. "Romanian Capital Market in a Globalized World," Working papers 2, Research Association for Interdisciplinary Studies.
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• Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2017. "The Janus-Faced Nature of Debt: Results from a Data-Driven Cointegrated SVAR Approach," LEM Papers Series 2017/04, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
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• Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2017. "The Janus-faced nature of debt : result from a data-driven cointegrated SVAR approach," Documents de Travail de l'OFCE 2017-02, Observatoire Francais des Conjonctures Economiques (OFCE).
  • Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2017. "The Janus-Faced Nature of Debt: Results from a Data-Driven Cointegrated SVAR Approach," LEM Papers Series 2017/04, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
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• Dungey, Mardi & Harvey, John & Volkov, Vladimir, 2017. "The changing international network of sovereign debt and financial institutions," Working Papers 2017-04, University of Tasmania, Tasmanian School of Business and Economics.
• Meltem Gulenay Chadwick & Emine Meltem Bastan, 2017. "Beef Price Volatility in Turkey: Can Import Policy Affect the Price and Its Uncertainty?," Working Papers 1709, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
• Joscha Beckmann & Theo Berger & Robert Czudaj, 2017. "Gold Price Dynamics and the Role of Uncertainty," Chemnitz Economic Papers 006, Department of Economics, Chemnitz University of Technology, revised May 2017.
• Joscha Beckmann & Theo Berger & Robert Czudaj & Thi-Hong-Van Hoang, 2017. "Tail dependence between gold and sectorial stocks in China: Perspectives for portfolio diversication," Chemnitz Economic Papers 012, Department of Economics, Chemnitz University of Technology, revised Jul 2017.
• Allen, D.E. & McAleer, M.J. & Singh, A.K., 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Econometric Institute Research Papers EI2016-46, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2017. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Tinbergen Institute Discussion Papers 17-013/III, Tinbergen Institute.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Documentos de Trabajo del ICAE 2017-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chia-Lin Chang & Michael McAleer, 2018. "The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions," Documentos de Trabajo del ICAE 2018-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer, 2018. "The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions," Tinbergen Institute Discussion Papers 17-015/III, Tinbergen Institute.
  • Chang, C-L. & McAleer, M.J., 2018. "The fiction of full BEKK: Pricing fossil fuels and carbon emissions," Econometric Institute Research Papers EI2018-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(11), pages 1141-1152, November.
  • Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Documentos de Trabajo del ICAE 2017-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Manabu Asai & Michael McAleer, 2017. "Forecasting the Volatility of Nikkei 225 Futures," Tinbergen Institute Discussion Papers 17-017/III, Tinbergen Institute.
  • Asai, M. & McAleer, M.J., 2017. "Forecasting the Volatility of Nikkei 225 Futures," Econometric Institute Research Papers TI 2017-017/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2017. "Testing for volatility co-movement in bivariate stochastic volatility models," Documentos de Trabajo del ICAE 2017-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2017. "Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models," Tinbergen Institute Discussion Papers 17-022/III, Tinbergen Institute.
  • Chen, J. & Kobayashi, M. & McAleer, M.J., 2017. "Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models," Econometric Institute Research Papers TI 2017-022/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Sander Barendse, 2017. "Interquantile Expectation Regression," Tinbergen Institute Discussion Papers 17-034/III, Tinbergen Institute.
• Chia-Lin Chang & Michael McAleer & Guangdong Zuo, 2017. "Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA," Sustainability, MDPI, Open Access Journal, vol. 9(10), pages 1-22, October.
  • Chia-Lin Chang & Michael McAleer & Guangdong Zuo, 2017. "Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA," Documentos de Trabajo del ICAE 2017-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer & Guangdong Zuo, 2017. "Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA," Tinbergen Institute Discussion Papers 17-051/III, Tinbergen Institute.
  • Chang, C-L. & McAleer, M.J. & Zuo, G., 2017. "Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA," Econometric Institute Research Papers EI 2017-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Zopiatis, A. & Savva, C.S. & Lambertides, N. & McAleer, M.J., 2017. "Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic Factors," Econometric Institute Research Papers EI2017-15, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2017. "Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic Factors," Tinbergen Institute Discussion Papers 17-052/III, Tinbergen Institute.
• Chang, Chia-Lin & McAleer, Michael, 2017. "The correct regularity condition and interpretation of asymmetry in EGARCH," Economics Letters, Elsevier, vol. 161(C), pages 52-55.
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  • Chia-Lin Chang & Michael McAleer, 2017. "The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH," Tinbergen Institute Discussion Papers 17-056/III, Tinbergen Institute.
  • Chang, C-L. & McAleer, M.J., 2017. "The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH," Econometric Institute Research Papers EI2017-17, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• David E. Allen & Michael McAleer, 2018. "Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management," Energies, MDPI, Open Access Journal, vol. 11(7), pages 1-19, June.
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  • David Allen & Michael McAleer, 2017. "Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management," Tinbergen Institute Discussion Papers 17-069/III, Tinbergen Institute.
  • David E. Allen & Michael McAleer, 2017. "Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management," Documentos de Trabajo del ICAE 2017-22, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Francisco (F.) Blasques & Marc Nientker, 2017. "A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models," Tinbergen Institute Discussion Papers 17-072/III, Tinbergen Institute.
• McAleer, M.J., 2017. "Stationarity and Invertibility of a Dynamic Correlation Matrix," Econometric Institute Research Papers TI 2017-082/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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• Asai, M. & McAleer, M.J. & Peiris, S., 2017. "Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory," Econometric Institute Research Papers EI2017-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Michael McAleer & Shelton Peiris, 2017. "Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory," Tinbergen Institute Discussion Papers 17-105/III, Tinbergen Institute.
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• Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(11), pages 1141-1152, November.
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• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016. "Connecting VIX and Stock Index ETF," Tinbergen Institute Discussion Papers 16-010/III, Tinbergen Institute, revised 23 Jan 2017.
  • Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2017. "Connecting VIX and Stock Index ETF," Documentos de Trabajo del ICAE 2017-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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• Chen, J. & Kobayashi, M. & McAleer, M.J., 2017. "Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models," Econometric Institute Research Papers TI 2017-022/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2017. "Testing for volatility co-movement in bivariate stochastic volatility models," Documentos de Trabajo del ICAE 2017-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2017. "Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models," Tinbergen Institute Discussion Papers 17-022/III, Tinbergen Institute.
• Chia-Lin Chang & Michael McAleer & Guangdong Zuo, 2017. "Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA," Sustainability, MDPI, Open Access Journal, vol. 9(10), pages 1-22, October.
  • Chang, C-L. & McAleer, M.J. & Zuo, G., 2017. "Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA," Econometric Institute Research Papers EI 2017-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Guangdong Zuo, 2017. "Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA," Documentos de Trabajo del ICAE 2017-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer & Guangdong Zuo, 2017. "Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA," Tinbergen Institute Discussion Papers 17-051/III, Tinbergen Institute.
• Zopiatis, A. & Savva, C.S. & Lambertides, N. & McAleer, M.J., 2016. "Tourism Stocks in Times of Crises: an Econometric Investigation of Non-macro Factors," Econometric Institute Research Papers TI 2016-104/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2017. "Tourism stocks in times of crises: An econometric investigation of non-macro factors," Documentos de Trabajo del ICAE 2017-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2016. "Tourism stocks in times of crises: An econometric investigation of non-macro factors," Documentos de Trabajo del ICAE 2016-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2016. "Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors," Tinbergen Institute Discussion Papers 16-104/III, Tinbergen Institute.
• Chang, Chia-Lin & McAleer, Michael, 2017. "The correct regularity condition and interpretation of asymmetry in EGARCH," Economics Letters, Elsevier, vol. 161(C), pages 52-55.
  • Chia-Lin Chang & Michael McAleer, 2017. "The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH," Tinbergen Institute Discussion Papers 17-056/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer, 2017. "The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH," Documentos de Trabajo del ICAE 2017-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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• David E. Allen & Michael McAleer, 2018. "Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management," Energies, MDPI, Open Access Journal, vol. 11(7), pages 1-19, June.
  • David Allen & Michael McAleer, 2017. "Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management," Tinbergen Institute Discussion Papers 17-069/III, Tinbergen Institute.
  • David E. Allen & Michael McAleer, 2017. "Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management," Documentos de Trabajo del ICAE 2017-22, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Tan, A.C. & McAleer, M.J., 2017. "Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management," Econometric Institute Research Papers 17-069/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Asai, M. & McAleer, M.J. & Peiris, S., 2017. "Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory," Econometric Institute Research Papers EI2017-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Shelton Peiris & Michael McAleer, 2017. "Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory," Documentos de Trabajo del ICAE 2017-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Manabu Asai & Michael McAleer & Shelton Peiris, 2017. "Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory," Tinbergen Institute Discussion Papers 17-105/III, Tinbergen Institute.
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• Gilbert Mbara, 2017. "Business Cycle Dating after the Great Moderation: A Consistent Two – Stage Maximum Likelihood Method," Working Papers 2017-13, Faculty of Economic Sciences, University of Warsaw.
• Mateusz Buczyński & Marcin Chlebus, 2017. "Is CAViaR model really so good in Value at Risk forecasting? Evidence from evaluation of a quality of Value-at-Risk forecasts obtained based on the: GARCH(1,1), GARCH-t(1,1), GARCH-st(1,1), QML-GARCH(," Working Papers 2017-29, Faculty of Economic Sciences, University of Warsaw.
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  • Rasmus Søndergaard Pedersen, 2015. "Inference and testing on the boundary in extended constant conditional correlation GARCH models," Discussion Papers 15-10, University of Copenhagen. Department of Economics.
• Kim, Jihyun & Park, Joon Y., 2017. "Asymptotics for recurrent diffusions with application to high frequency regression," Journal of Econometrics, Elsevier, vol. 196(1), pages 37-54.
• Francq, C. & Jiménez-Gamero, M.D. & Meintanis, S.G., 2017. "Tests for conditional ellipticity in multivariate GARCH models," Journal of Econometrics, Elsevier, vol. 196(2), pages 305-319.
• Boudt, Kris & Laurent, Sébastien & Lunde, Asger & Quaedvlieg, Rogier & Sauri, Orimar, 2017. "Positive semidefinite integrated covariance estimation, factorizations and asynchronicity," Journal of Econometrics, Elsevier, vol. 196(2), pages 347-367.
  • Kris Boudt & Sébastien Laurent & Asger Lunde & Rogier Quaedvlieg, 2014. "Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity," CREATES Research Papers 2014-05, Department of Economics and Business Economics, Aarhus University.
  • Kris Boudt & Sébastien Laurent & Asger Lunde & Rogier Quaedvlieg & Orimar Sauri, 2017. "Positive semidefinite integrated covariance estimation, factorizations and asynchronicity," Post-Print hal-01505775, HAL.
• Hounyo, Ulrich, 2017. "Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading," Journal of Econometrics, Elsevier, vol. 197(1), pages 130-152.
• Potiron, Yoann & Mykland, Per A., 2017. "Estimation of integrated quadratic covariation with endogenous sampling times," Journal of Econometrics, Elsevier, vol. 197(1), pages 20-41.
  • Yoann Potiron & Per Mykland, 2015. "Estimation of integrated quadratic covariation with endogenous sampling times," Papers 1507.01033, arXiv.org, revised Nov 2016.
• Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard, 2017. "Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination," Journal of Econometrics, Elsevier, vol. 197(2), pages 218-244.
  • Bent Jesper Christensen & Rasmus T. Varneskov, 2015. "Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination," CREATES Research Papers 2015-25, Department of Economics and Business Economics, Aarhus University.
• Caporin, Massimiliano & Rossi, Eduardo & Santucci de Magistris, Paolo, 2017. "Chasing volatility," Journal of Econometrics, Elsevier, vol. 198(1), pages 122-145.
• Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur M., 2017. "The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test," Emerging Markets Review, Elsevier, vol. 30(C), pages 66-95.
  • Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla I. & Masih, A. Mansur M., 2014. "The Role of Islamic Asset Classes in the Diversified Portfolios: Mean Variance Spanning Test," MPRA Paper 56857, University Library of Munich, Germany.
• Alexeev, Vitali & Dungey, Mardi & Yao, Wenying, 2017. "Time-varying continuous and jump betas: The role of firm characteristics and periods of stress," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 1-19.
• Zu, Yang & Boswijk, H. Peter, 2017. "Consistent nonparametric specification tests for stochastic volatility models based on the return distribution," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 53-75.
  • Zu, Y., 2015. "Consistent nonparametric specification tests for stochastic volatility models based on the return distribution," Working Papers 15/02, Department of Economics, City University London.
• Reboredo, Juan C. & Rivera-Castro, Miguel A. & Ugolini, Andrea, 2017. "Wavelet-based test of co-movement and causality between oil and renewable energy stock prices," Energy Economics, Elsevier, vol. 61(C), pages 241-252.
• Kang, Sang Hoon & McIver, Ron & Yoon, Seong-Min, 2017. "Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets," Energy Economics, Elsevier, vol. 62(C), pages 19-32.
• Śmiech, Sławomir & Papież, Monika, 2017. "In search of hedges and safe havens: Revisiting the relations between gold and oil in the rolling regression framework," Finance Research Letters, Elsevier, vol. 20(C), pages 238-244.
• Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.
• Mensi, Walid & Hammoudeh, Shawkat & Shahzad, Syed Jawad Hussain & Shahbaz, Muhammad, 2017. "Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 258-279.
• Virk, Nader & Javed, Farrukh, 2017. "European equity market integration and joint relationship of conditional volatility and correlations," Journal of International Money and Finance, Elsevier, vol. 71(C), pages 53-77.
• Naifar, Nader & Mroua, Mourad & Bahloul, Slah, 2017. "Do regional and global uncertainty factors affect differently the conventional bonds and sukuk? New evidence," Pacific-Basin Finance Journal, Elsevier, vol. 41(C), pages 65-74.
• Al Rahahleh, Naseem & Bhatti, M. Ishaq & Adeinat, Iman, 2017. "Tail dependence and information flow: Evidence from international equity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 474(C), pages 319-329.
• Allen, David E. & McAleer, Michael & Powell, Robert J. & Singh, Abhay K., 2017. "Volatility Spillovers from Australia's major trading partners across the GFC," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 159-175.
  • David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's major trading partners across the GFC," Working Papers in Economics 14/23, University of Canterbury, Department of Economics and Finance.
  • David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's Major Trading Partners across the GFC," Tinbergen Institute Discussion Papers 14-106/III, Tinbergen Institute.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's major trading partners across the GFC," Documentos de Trabajo del ICAE 2014-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Serletis, Apostolos & Istiak, Khandokar, 2017. "Financial intermediary leverage spillovers," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 1000-1007.
• Chevallier, Julien & Ielpo, Florian, 2017. "Investigating the leverage effect in commodity markets with a recursive estimation approach," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 763-778.
• Walther, Thomas & Klein, Tony & Thu, Hien Pham & Piontek, Krzysztof, 2017. "True or spurious long memory in European non-EMU currencies," Research in International Business and Finance, Elsevier, vol. 40(C), pages 217-230.
• Rod Tyers & Yixiao Zhou, 2017. "Automation and Inequality with Taxes and Transfers," Economics Discussion / Working Papers 17-01, The University of Western Australia, Department of Economics.
  • Rod Tyers & Yixiao Zhou, 2017. "Automation and inequality with taxes and transfers," CAMA Working Papers 2017-16, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Rod Tyers & Yixiao Zhou, 2017. "Automation and inequality with taxes and transfers," CAMA Working Papers 2017-70, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Chia-Lin Chang & Michael McAleer & Guangdong Zuo, 2017. "Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA," Sustainability, MDPI, Open Access Journal, vol. 9(10), pages 1-22, October.
  • Chia-Lin Chang & Michael McAleer & Guangdong Zuo, 2017. "Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA," Documentos de Trabajo del ICAE 2017-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & McAleer, M.J. & Zuo, G., 2017. "Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA," Econometric Institute Research Papers EI 2017-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Guangdong Zuo, 2017. "Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA," Tinbergen Institute Discussion Papers 17-051/III, Tinbergen Institute.
• Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2017. "Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic Factors," Tinbergen Institute Discussion Papers 17-052/III, Tinbergen Institute.
  • Zopiatis, A. & Savva, C.S. & Lambertides, N. & McAleer, M.J., 2017. "Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic Factors," Econometric Institute Research Papers EI2017-15, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chang, Chia-Lin & McAleer, Michael, 2017. "The correct regularity condition and interpretation of asymmetry in EGARCH," Economics Letters, Elsevier, vol. 161(C), pages 52-55.
  • Chia-Lin Chang & Michael McAleer, 2017. "The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH," Tinbergen Institute Discussion Papers 17-056/III, Tinbergen Institute.
  • Chang, C-L. & McAleer, M.J., 2017. "The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH," Econometric Institute Research Papers EI2017-17, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer, 2017. "The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH," Documentos de Trabajo del ICAE 2017-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Michael mcAleer, 2017. "Stationarity and Invertibility of a Dynamic Correlation Matrix," Tinbergen Institute Discussion Papers 17-082/III, Tinbergen Institute.
  • McAleer, M.J., 2017. "Stationarity and Invertibility of a Dynamic Correlation Matrix," Econometric Institute Research Papers TI 2017-082/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• David E. Allen & Michael McAleer, 2018. "Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management," Energies, MDPI, Open Access Journal, vol. 11(7), pages 1-19, June.
  • David Allen & Michael McAleer, 2017. "Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management," Tinbergen Institute Discussion Papers 17-069/III, Tinbergen Institute.
  • Tan, A.C. & McAleer, M.J., 2017. "Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management," Econometric Institute Research Papers 17-069/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • David E. Allen & Michael McAleer, 2017. "Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management," Documentos de Trabajo del ICAE 2017-22, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Manabu Asai & Shelton Peiris & Michael McAleer, 2017. "Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory," Documentos de Trabajo del ICAE 2017-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Asai, M. & McAleer, M.J. & Peiris, S., 2017. "Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory," Econometric Institute Research Papers EI2017-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Michael McAleer & Shelton Peiris, 2017. "Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory," Tinbergen Institute Discussion Papers 17-105/III, Tinbergen Institute.
• Chia-Lin Chang & Michael McAleer, 2017. "The Fiction of Full BEKK," Documentos de Trabajo del ICAE 2017-06, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & McAleer, M.J., 2017. "The Fiction of Full BEKK," Econometric Institute Research Papers TI 2017-015/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016. "Connecting VIX and Stock Index ETF," Tinbergen Institute Discussion Papers 16-010/III, Tinbergen Institute, revised 23 Jan 2017.
  • Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2017. "Connecting VIX and Stock Index ETF," Econometric Institute Research Papers 2016-010/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2017. "Connecting VIX and Stock Index ETF," Documentos de Trabajo del ICAE 2017-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(11), pages 1141-1152, November.
  • Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Documentos de Trabajo del ICAE 2017-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Asai, M. & McAleer, M.J., 2017. "Forecasting the Volatility of Nikkei 225 Futures," Econometric Institute Research Papers TI 2017-017/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Michael McAleer, 2017. "Forecasting the Volatility of Nikkei 225 Futures," Tinbergen Institute Discussion Papers 17-017/III, Tinbergen Institute.
• Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2017. "Testing for volatility co-movement in bivariate stochastic volatility models," Documentos de Trabajo del ICAE 2017-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chen, J. & Kobayashi, M. & McAleer, M.J., 2017. "Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models," Econometric Institute Research Papers TI 2017-022/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2017. "Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models," Tinbergen Institute Discussion Papers 17-022/III, Tinbergen Institute.
• Ikechukwu A. ACHA & Emmanuel IKPE MICHAEL & Joseph M. ESSIEN, 2017. "Nigeria’s Investment Environment: Issues of Economic Growth and Development," Expert Journal of Finance, Sprint Investify, vol. 5, pages 1-11.
• Barbara Bedowska-Sojka, 2017. "How Jumps Affect Liquidity? The Evidence from Poland," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(1), pages 39-52, March.
• Adam Kucera, 2017. "Interest Rates Modeling and Forecasting: Do Macroeconomic Factors Matter?," Working Papers IES 2017/08, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Mar 2017.
• Matej Nevrla, 2017. "Systemic Risk in the European Financial and Energy Sector: Dynamic Factor Copula Approach," Working Papers IES 2017/11, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2017.
• Jozef Barunik & Lucie Kraicova, 2017. "Common Cycles in Volatility and Cross Section of Stock Returns," Working Papers IES 2017/19, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2017.
• Josef Kurka, 2017. "Do Cryptocurrencies and Traditional Asset Classes Influence Each Other?," Working Papers IES 2017/29, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Dec 2017.
• Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2017. "The Janus-Faced Nature of Debt: Results from a Data-Driven Cointegrated SVAR Approach," LEM Papers Series 2017/04, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  • Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2017. "The Janus-faced nature of debt : result from a data-driven cointegrated SVAR approach," Documents de Travail de l'OFCE 2017-02, Observatoire Francais des Conjonctures Economiques (OFCE).
  • Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2018. "The Janus face nature of debt : results from a data-driven cointegrated SVAR approach," Sciences Po publications info:hdl:2441/574jpbbn0f8, Sciences Po.
• Liu, Lily Y., 2017. "Estimating Loss Given Default from CDS under Weak Identification," Supervisory Research and Analysis Working Papers RPA 17-1, Federal Reserve Bank of Boston.
• Contessi, Silvio & De Pace, Pierangelo, 2017. "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Globalization Institute Working Papers 324, Federal Reserve Bank of Dallas.
• Martin M. Andreasen & Jens H.E. Christensen & Glenn D. Rudebusch, 2017. "Term Structure Analysis with Big Data," CREATES Research Papers 2017-31, Department of Economics and Business Economics, Aarhus University.
  • Andreasen, Martin M. & Christensen, Jens H. E. & Rudebusch, Glenn D., 2017. "Term Structure Analysis with Big Data," Working Paper Series 2017-21, Federal Reserve Bank of San Francisco.
• Todd Prono, 2017. "Regular Variation of Popular GARCH Processes Allowing for Distributional Asymmetry," Finance and Economics Discussion Series 2017-095, Board of Governors of the Federal Reserve System (US).
• Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017. "Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity," Econometrics, MDPI, Open Access Journal, vol. 5(2), pages 1-24, April.
  • Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017. "Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity," Econometrics Working Papers Archive 2017_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
• Giampiero M. Gallo & Edoardo Otranto, 2018. "Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 67(3), pages 549-573, April.
  • Giampiero M. Gallo & Edoardo Otranto, 2017. "Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach," Econometrics Working Papers Archive 2017_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
• Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2017. "On the gains of using high frequency data and higher moments in Portfolio Selection," CeBER Working Papers 2017-02, Centre for Business and Economics Research (CeBER), University of Coimbra.
• Boudt, Kris & Laurent, Sébastien & Lunde, Asger & Quaedvlieg, Rogier & Sauri, Orimar, 2017. "Positive semidefinite integrated covariance estimation, factorizations and asynchronicity," Journal of Econometrics, Elsevier, vol. 196(2), pages 347-367.
  • Kris Boudt & Sébastien Laurent & Asger Lunde & Rogier Quaedvlieg, 2014. "Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity," CREATES Research Papers 2014-05, Department of Economics and Business Economics, Aarhus University.
  • Kris Boudt & Sébastien Laurent & Asger Lunde & Rogier Quaedvlieg & Orimar Sauri, 2017. "Positive semidefinite integrated covariance estimation, factorizations and asynchronicity," Post-Print hal-01505775, HAL.
• Uctum, Remzi & Renou-Maissant, Patricia & Prat, Georges & Lecarpentier-Moyal, Sylvie, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Review of Financial Economics, Elsevier, vol. 35(C), pages 43-56.
  • Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," EconomiX Working Papers 2013-36, University of Paris Nanterre, EconomiX.
  • Georges Prat & Remzi Uctum & Sylvie Lecarpentier-Moyal & Patricia Renou-Maissant, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Post-Print hal-01549793, HAL.
  • Sylvie Lecarpentier Moyal & Georges Prat & Patricia Renou Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Working Papers 2013-27, Department of Research, Ipag Business School.
  • Georges Prat & Remzi Uctum & Sylvie Lecarpentier-Moyal & Patricia Renou-Maissant, 2014. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Post-Print hal-01638222, HAL.
  • Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2014. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Post-Print hal-01411783, HAL.
• Luc Bauwens & Jean-François Carpantier & Arnaud Dufays, 2017. "Autoregressive Moving Average Infinite Hidden Markov-Switching Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 162-182, April.
  • Bauwens, Luc & Carpantier, Jean-François & Dufays, Arnaud, 2015. "Autoregressive moving average infinite hidden markov-switching models," CORE Discussion Papers 2015007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Luc Bauwens & Jean-François Carpantier & Arnaud Dufays, 2017. "Autoregressive Moving Average Infinite Hidden Markov-Switching Models," Post-Print hal-01795051, HAL.
  • Luc BAUWENS & Jean-François CARPENTIER & Arnaud DUFAYS, 2017. "Autoregressive moving average infinite hidden Markov-switching models," CORE Discussion Papers RP 2836, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Voges, Michelle & Leschinski, Christian & Sibbertsen, Philipp, 2017. "Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks," Hannover Economic Papers (HEP) dp-599, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "The Memory of Volatility," Hannover Economic Papers (HEP) dp-601, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Alexander N. Bogin & William M. Doerner, 2017. "Property Renovations and Their Impact on House Price Index Construction," FHFA Staff Working Papers 17-02, Federal Housing Finance Agency.

2016

• Goliński, Adam & Zaffaroni, Paolo, 2016. "Long memory affine term structure models," Journal of Econometrics, Elsevier, vol. 191(1), pages 33-56.
• Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2016. "Exploiting the errors: A simple approach for improved volatility forecasting," Journal of Econometrics, Elsevier, vol. 192(1), pages 1-18.
  • Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2015. "Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting," CREATES Research Papers 2015-14, Department of Economics and Business Economics, Aarhus University.
• Jin, Xin & Maheu, John M., 2016. "Bayesian semiparametric modeling of realized covariance matrices," Journal of Econometrics, Elsevier, vol. 192(1), pages 19-39.
  • Xin Jin & John M. Maheu, 2014. "Bayesian Semiparametric Modeling of Realized Covariance Matrices," Working Paper series 34_14, Rimini Centre for Economic Analysis.
  • Jin, Xin & Maheu, John M, 2014. "Bayesian Semiparametric Modeling of Realized Covariance Matrices," MPRA Paper 60102, University Library of Munich, Germany.
• Oh, Dong Hwan & Patton, Andrew J., 2016. "High-dimensional copula-based distributions with mixed frequency data," Journal of Econometrics, Elsevier, vol. 193(2), pages 349-366.
  • Oh, Dong Hwan & Patton, Andrew J., 2015. "High-Dimensional Copula-Based Distributions with Mixed Frequency Data," Finance and Economics Discussion Series 2015-50, Board of Governors of the Federal Reserve System (US).
• Jin, Xin & Maheu, John M., 2016. "Modeling covariance breakdowns in multivariate GARCH," Journal of Econometrics, Elsevier, vol. 194(1), pages 1-23.
  • Jin, Xin & Maheu, John M, 2014. "Modeling Covariance Breakdowns in Multivariate GARCH," MPRA Paper 55243, University Library of Munich, Germany.
  • Xin Jin & John M. Maheu, 2014. "Modeling Covariance Breakdowns in Multivariate GARCH," Working Paper series 36_14, Rimini Centre for Economic Analysis.
• Maller, Ross & Roberts, Steven & Tourky, Rabee, 2016. "The large-sample distribution of the maximum Sharpe ratio with and without short sales," Journal of Econometrics, Elsevier, vol. 194(1), pages 138-152.
• Kim, Donggyu & Wang, Yazhen, 2016. "Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data," Journal of Econometrics, Elsevier, vol. 194(2), pages 220-230.
• Fan, Jianqing & Han, Fang & Liu, Han & Vickers, Byron, 2016. "Robust inference of risks of large portfolios," Journal of Econometrics, Elsevier, vol. 194(2), pages 298-308.
  • Jianqing Fan & Fang Han & Han Liu & Byron Vickers, 2015. "Robust Inference of Risks of Large Portfolios," Papers 1501.02382, arXiv.org.
• Blasques, Francisco & Koopman, Siem Jan & Lucas, Andre & Schaumburg, Julia, 2016. "Spillover dynamics for systemic risk measurement using spatial financial time series models," Journal of Econometrics, Elsevier, vol. 195(2), pages 211-223.
  • Blasques, Francisco & Koopman, Siem Jan & Lucas, Andre & Schaumburg, Julia, 2014. "Spillover dynamics for systemic risk measurement using spatial financial time series models," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100632, Verein für Socialpolitik / German Economic Association.
  • Francisco Blasques & Siem Jan Koopman & Andre Lucas & Julia Schaumburg, 2014. "Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models," Tinbergen Institute Discussion Papers 14-107/III, Tinbergen Institute.
• Ormos, Mihály & Timotity, Dusan, 2016. "Unravelling the asymmetric volatility puzzle: A novel explanation of volatility through anchoring," Economic Systems, Elsevier, vol. 40(3), pages 345-354.
  • Mihaly Ormos & Dusan Timotity, 2016. "Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring," Papers 1606.03597, arXiv.org.
• Sensoy, Ahmet & Eraslan, Veysel & Erturk, Mutahhar, 2016. "Do sovereign rating announcements have an impact on regional stock market co-movements? The case of Central and Eastern Europe," Economic Systems, Elsevier, vol. 40(4), pages 552-567.
• Sowmya, Subramaniam & Prasanna, Krishna & Bhaduri, Saumitra, 2016. "Linkages in the term structure of interest rates across sovereign bond markets," Emerging Markets Review, Elsevier, vol. 27(C), pages 118-139.
• Byun, Sung Je, 2016. "The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 162-180.
• Bodnar, Taras & Hautsch, Nikolaus, 2016. "Dynamic conditional correlation multiplicative error processes," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 41-67.
• Chiarella, Carl & Hsiao, Chih-Ying & Tô, Thuy-Duong, 2016. "Stochastic correlation and risk premia in term structure models," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 59-78.
  • Carl Chiarella & Chih-Ying Hsiao & Thuy-Duong To, 2011. "Stochastic Correlation and Risk Premia in Term Structure Models," Research Paper Series 298, Quantitative Finance Research Centre, University of Technology, Sydney.
• Maheu, John M. & Yang, Qiao, 2016. "An infinite hidden Markov model for short-term interest rates," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 202-220.
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• Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2017. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 6(1), pages 1-24, December.
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• Manabu Asai & Michael McAleer, 2016. "A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics," Tinbergen Institute Discussion Papers 16-065/III, Tinbergen Institute.
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• Manabu Asai & Michael McAleer, 2016. "Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes," Documentos de Trabajo del ICAE 2016-14, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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  • Allen, D.E. & McAleer, M.J. & Powell, R.J. & Singh, A.K., 2016. "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Econometric Institute Research Papers EI2016-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Documentos de Trabajo del ICAE 2017-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• David E. Allen & Michael McAleer & Abhay K. Singh, 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Documentos de Trabajo del ICAE 2017-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Allen, D.E. & McAleer, M.J. & Singh, A.K., 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Econometric Institute Research Papers EI2016-46, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2017. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Tinbergen Institute Discussion Papers 17-013/III, Tinbergen Institute.
• Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2016. "Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors," Tinbergen Institute Discussion Papers 16-104/III, Tinbergen Institute.
  • Zopiatis, A. & Savva, C.S. & Lambertides, N. & McAleer, M.J., 2016. "Tourism Stocks in Times of Crises: an Econometric Investigation of Non-macro Factors," Econometric Institute Research Papers TI 2016-104/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2017. "Tourism stocks in times of crises: An econometric investigation of non-macro factors," Documentos de Trabajo del ICAE 2017-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2016. "Tourism stocks in times of crises: An econometric investigation of non-macro factors," Documentos de Trabajo del ICAE 2016-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Ansgar Belke & Irina Dubova & Thomas Osowski, 2018. "Policy uncertainty and international financial markets: the case of Brexit," Applied Economics, Taylor & Francis Journals, vol. 50(34-35), pages 3752-3770, July.
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• M. Hakan Eratalay, 2016. "Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study," International Econometric Review (IER), Econometric Research Association, vol. 8(2), pages 19-52, September.
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• Srikanta Kundu & Nityananda Sarkar, 2016. "Is the Effect of Risk on Stock Returns Different in Up and Down Markets? A Multi-Country Study," International Econometric Review (IER), Econometric Research Association, vol. 8(2), pages 53-71, September.
• Héctor F. Salazar-Núñez. & Francisco Venegas Martínez., 2016. "Dinámicas del tipo de cambio nominal y del IPC, 1991-2014: una especificación que combina los modelos ARFIMA y GARCH," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, vol. 44(1), pages 147-168, Enero-Jun.
• Harald Schmidbauer & Angi Rösch & Erhan Uluceviz & Narod Erkol, 2016. "The Russian Stock Market during the Ukrainian Crisis: A Network Perspective," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(6), pages 478-509, December.
• Falk Bräuning & Siem Jan Koopman, 2016. "The Dynamic Factor Network Model with an Application to Global Credit-Risk," Tinbergen Institute Discussion Papers 16-105/III, Tinbergen Institute.
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• Giuzio, Margherita & Paterlini, Sandra, 2016. "Undiversifying during Crises: Is It a Good Idea?," Working Papers (Old Series) 1628, Federal Reserve Bank of Cleveland.
• Warusawitharana, Missaka, 2018. "Time-varying volatility and the power law distribution of stock returns," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 123-141.
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• Prono, Todd, 2016. "Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance," Finance and Economics Discussion Series 2016-083, Board of Governors of the Federal Reserve System (US), revised Jul 2017.
• Breach, Tomas & D'Amico, Stefania & Orphanides, Athanasios, 2016. "The Term Structure and Inflation Uncertainty," CEPR Discussion Papers 11730, C.E.P.R. Discussion Papers.
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• Van Tassel, Peter & Vogt, Erik, 2016. "Global variance term premia and intermediary risk appetite," Staff Reports 789, Federal Reserve Bank of New York.
• Fabrizio Cipollini & Giampiero Gallo & Andrea Ugolini, 2016. "Median Response to Shocks: A Model for VaR Spillovers in East Asia," Econometrics Working Papers Archive 2016_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
• Giampiero M. Gallo & Edoardo Otranto, 2016. "Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM," Econometrics Working Papers Archive 2016_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
• Francesco Calvori & Matteo Dentella & Giampiero M. Gallo, 2016. "Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears," Econometrics Working Papers Archive 2016_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
• Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2016. "Copula--based Specification of vector MEMs," Papers 1604.01338, arXiv.org.
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• Arseny Mamedov & Evgenia Fomina & Alexandra Bozhechkova & Sergey Tsukhlo & Pavel Trunin & Victor Lyashok, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 20, pages 1-26, February.
• Arseny Mamedov & Evgenia Fomina & Mikhail Khromov & Andrei Kaukin & Natalia Shagaida & Natalia Zubarevich & Pavel Pavlov & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 21, pages 1-30, February.
• Arseny Mamedov & Evgenia Fomina & Alexandra Bozhechkova & Sergey Tsukhlo & Pavel Trunin & Victor Lyashok, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 20, pages 1-22, February.
• Arseny Mamedov & Evgenia Fomina & Mikhail Khromov & Natalia Shagaida & Natalia Zubarevich & Pavel Pavlov & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 21, pages 1-30, February.
• R. P. Brito & H. Sebastião & P. Godinho, 2017. "Portfolio choice with high frequency data: CRRA preferences and the liquidity effect," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 16(2), pages 65-86, August.
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• Benigno Caballero Claure & Rolando Caballero Martínez, 2016. "Volatilidad cambiaria estocástica: un enfoque Switching Garch para Bolivia," Economía Coyuntural,Revista de temas de perspectivas y coyuntura, Instituto de Investigaciones Económicas y Sociales 'José Ortiz Mercado' (IIES-JOM), Facultad de Ciencias Económicas, Administrativas y Financieras, Universidad Autónoma Gabriel René Moreno, vol. 1(2), pages 1-48.
• Maria do Rosario CORREIA & Christian GOKUS & Andrew Hughes HALLETT & Christian R. RICHTER, 2016. "A Dynamic Analysis of the Determinants of the Greek Credit Default Swaps," Journal of Economics and Political Economy, KSP Journals, vol. 3(2), pages 350-376, June.
  • Maria do Rosario Correia & Christian Gokus & Andrew Hughes Hallett & Christian Richter, 2016. "A Dynamic Analysis of the Determinants of the Greek Credit Default Swaps," Working Papers 41, The German University in Cairo, Faculty of Management Technology.
• Anne Péguin-Feissolle & Bilel Sanhaji, 2016. "Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models," Annals of Economics and Statistics, GENES, issue 123-124, pages 77-101.
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• Serge Darolles & Gaëlle Le Fol & Christian Francq & Jean-Michel Zakoïan, 2016. "Intrinsic Liquidity in Conditional Volatility Models," Annals of Economics and Statistics, GENES, issue 123-124, pages 225-245.
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• Aboura Sofiane & Chevallier Julien & Jammazi Rania & Tiwari Aviral Kumar, 2016. "The place of gold in the cross-market dependencies," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(5), pages 567-586, December.
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• Green, Rikard & Larsson, Karl & Lunina, Veronika & Nilsson, Birger, 2016. "Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets," Working Papers 2016:2, Lund University, Department of Economics, revised 11 Oct 2017.
• Liu, Yuna, 2016. "Stock exchange integration and price jump risks - The case of the OMX Nordic exchange mergers," Umeå Economic Studies 925, Umeå University, Department of Economics.
• Liu, Yuna, 2016. "Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations," Umeå Economic Studies 926, Umeå University, Department of Economics.
• Shin Kanaya, 2016. "Convergence rates of sums of a-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes," CREATES Research Papers 2016-24, Department of Economics and Business Economics, Aarhus University.
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• Wolfgang Karl Härdle & Sergey Nasekin & Zhiwu Hong, 2016. "Leveraged ETF options implied volatility paradox: a statistical study," SFB 649 Discussion Papers SFB649DP2016-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Greenwood-Nimmo, Matthew & Nguyen, Viet Hoang & Rafferty, Barry, 2016. "Risk and return spillovers among the G10 currencies," Journal of Financial Markets, Elsevier, vol. 31(C), pages 43-62.
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• Nataliya Trusova, 2016. "Predicted Possibility of Implementing Financial Potential at Agricultural Micro-Level," Accounting and Finance, Institute of Accounting and Finance, issue 2, pages 135-142, June.
• HAFNER, Christian & LINTON, Oliver B. & TANG, Haihan, 2016. "Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case," CORE Discussion Papers 2016044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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• Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2018. "Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 16(1), pages 34-62.
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• Shubhasis Dey, 2016. "Historical Events and the Gold Price," Working papers 198, Indian Institute of Management Kozhikode.
• Toshiyuki Sakiyama & Tetsuya Yamada, 2016. "Market Liquidity and Systemic Risk in Government Bond Markets: A Network Analysis and Agent-Based Model Approach," IMES Discussion Paper Series 16-E-13, Institute for Monetary and Economic Studies, Bank of Japan.
• Gupta, Rangan & Hammoudeh, Shawkat & Modise, Mampho P. & Nguyen, Duc Khuong, 2014. "Can economic uncertainty, financial stress and consumer sentiments predict U.S. equity premium?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 367-378.
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• Javed Bin Kamal & A.K. Enamul Haque, 2016. "Dependence between stock market and foreign exchange market in South Asia: A Copula-Garch approach," Journal of Developing Areas, Tennessee State University, College of Business, vol. 50(1), pages 175-194, January-M.
• Chi Ming Wong & Lei Lam Olivia Ting, 2016. "A Quantile Regression Approach to the Multiple Period Value at Risk Estimation," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 12(1), pages 1-35, February.
• Langedijk, Sven & Monokroussos, George & Papanagiotou, Evangelia, 2015. "Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues," MPRA Paper 61865, University Library of Munich, Germany.
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• Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting, 2016. "The credit-card-services augmented Divisia monetary aggregates," MPRA Paper 73245, University Library of Munich, Germany.
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• Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting, 2016. "Nowcasting nominal gdp with the credit-card augmented Divisia monetary aggregates," MPRA Paper 73246, University Library of Munich, Germany.
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• Barnett, William & Su, Liting, 2016. "Risk adjustment of the credit-card augmented Divisia monetary aggregates," MPRA Paper 73248, University Library of Munich, Germany.
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• Thomas A. Severini, 2016. "A nonparametric approach to measuring the sensitivity of an asset’s return to the market," Annals of Finance, Springer, vol. 12(2), pages 179-199, May.
• Harald Schmidbauer & Angi Rosch & Erhan Uluceviz, 2016. "Frequency aspects of information transmission in a network of three Western equity markets," Koç University-TUSIAD Economic Research Forum Working Papers 1616, Koc University-TUSIAD Economic Research Forum.
• Lakatos, Máté, 2016. "A befektetői túlreagálás empirikus vizsgálata a Budapesti Értéktőzsdén
  [An empirical test for investor over-reaction on the Budapest stock exchange]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 762-786.
• Maria do Rosario CORREIA & Christian GOKUS & Andrew Hughes HALLETT & Christian R. RICHTER, 2016. "A Dynamic Analysis of the Determinants of the Greek Credit Default Swaps," Journal of Economics and Political Economy, KSP Journals, vol. 3(2), pages 350-376, June.
  • Maria do Rosario Correia & Christian Gokus & Andrew Hughes Hallett & Christian Richter, 2016. "A Dynamic Analysis of the Determinants of the Greek Credit Default Swaps," Working Papers 41, The German University in Cairo, Faculty of Management Technology.
• Christian Rudolf RICHTER & Bachar FAKHRY, 2016. "Testing the Efficiency of the GIPS Sovereign Debt Markets using an Asymmetrical Volatility Test," Journal of Economics and Political Economy, KSP Journals, vol. 3(3), pages 524-535, September.
• Latifa AITOUTOUHEN & Faris HAMZA, 2016. "Financial and Econometric Study of the Sustainability and Evaluation of Scenarios of Reforms for the Civil Regime of Moroccan," Turkish Economic Review, KSP Journals, vol. 3(4), pages 652-667, December.
• Bachar FAKHRY, 2016. "A Regime Switching Explanation of the Reactions of Market Participant during the Crisis," Journal of Economics Bibliography, KSP Journals, vol. 3(3), pages 434-449, September.
• Leleng KEBALO, 2016. "South African Exchange Rate After 2000s: An Econometric Investigation," Journal of Economics Bibliography, KSP Journals, vol. 3(3), pages 459-481, September.
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• Baumöhl, Eduard & Kočenda, Evžen & Lyócsa, Štefan & Výrost, Tomáš, 2018. "Networks of volatility spillovers among stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1555-1574.
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• Shin Kanaya, 2016. "Convergence rates of sums of a-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes," CREATES Research Papers 2016-24, Department of Economics and Business Economics, Aarhus University.
  • Shin Kanaya, 2016. "Convergence rates of sums of α-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes," KIER Working Papers 947, Kyoto University, Institute of Economic Research.
  • Kanaya, Shin, 2016. "Convergence rates of sums of α-mixing triangular arrays : with an application to non-parametric drift function estimation of continuous-time processes," Discussion Paper Series 646, Institute of Economic Research, Hitotsubashi University.
• AUGUSTYNIAK, Maciej & BAUWENS, Luc & DUFAYS, Arnaud, 2016. "A New Approach to Volatility Modeling : The High-Dimensional Markov Model," CORE Discussion Papers 2016042, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Arnaud Dufays & Maciej Augustyniak & Luc Bauwens, 2016. "A new approach to volatility modeling: the High-Dimensional Markov model," Cahiers de recherche 1609, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
• Markus Engler & Vahidin Jeleskovic, 2016. "Intraday volatility, trading volume and trading intensity in the interbank market e-MID," MAGKS Papers on Economics 201648, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
• Anastasios Demertzidis & Vahidin Jeleskovic, 2016. "Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID," MAGKS Papers on Economics 201649, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
• Veronika Kajurova & Jana Hvozdenska, 2016. "Linkages between CDS, bond and stock markets: Evidence from Europe," MENDELU Working Papers in Business and Economics 2016-63, Mendel University in Brno, Faculty of Business and Economics.
• Zsuzsanna Hosszú, 2016. "The impact of credit supply shocks and a new FCI based on a FAVAR approach," MNB Working Papers 2016/1, Magyar Nemzeti Bank (Central Bank of Hungary).
• Francesco Giuseppe Caloia & Andrea Cipollini & Silvia Muzzioli, 2016. "A note on normalization schemes:The case of generalized forecast error variance decompositions," Department of Economics 0092, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
• Gael M. Martin & Brendan P.M. McCabe & David T. Frazier & Worapree Maneesoonthorn & Christian P. Robert, 2016. "Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models," Monash Econometrics and Business Statistics Working Papers 09/16, Monash University, Department of Econometrics and Business Statistics.
• Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2016. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers 8/16, Monash University, Department of Econometrics and Business Statistics.
• Jan F. Kiviet & Zhenxi Chen, 2016. "A critical appraisal of studies analyzing co-movement of international stock markets with a focus on East-Asian indices," Economic Growth Centre Working Paper Series 1606, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
• Borovicka, J. & Hansen, L.P., 2016. "Term Structure of Uncertainty in the Macroeconomy," Handbook of Macroeconomics, Elsevier.
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• Raddant, Matthias & Kenett, Dror, 2016. "Interconnectedness in the global financial market," Annual Conference 2016 (Augsburg): Demographic Change 145560, Verein für Socialpolitik / German Economic Association.
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• Tomáš Heryán & Panayiotis G. Tzeremes & Roman Matousek, 2016. "European lending channel: differences in transmission mechanisms due to the global financial crisis," Working Papers 0027, Silesian University, School of Business Administration.
• Carsten Bormann & Julia Schaumburg & Melanie Schienle, 2016. "Beyond Dimension two: A Test for Higher-Order Tail Risk," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(3), pages 552-580.
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• Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2016. "Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(3), pages 617-642.
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• Ionela Cornelia Cioca, 2016. "Analysis of Correlation Between Gross Domestic Product and Corporate Income Tax in the European Union Countries," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 481-486, July.
• Arango A., Mónica Andrea & Arroyave O., Santiago, 2016. "Análisis de combustibles fósiles en el mercado de generación de energía eléctrica en Colombia: un contraste entre modelos de volatilidad || Analysis of Fossil Fuels in the Market for Electricity Gener," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 22(1), pages 190-215, December.
• Paolo Giudici & Peter Sarlin & Alessandro Spelta, 2016. "The multivariate nature of systemic risk: direct and common exposures," DEM Working Papers Series 118, University of Pavia, Department of Economics and Management.
• Juliane Proelss & Denis Schweizer & Volker Seiler, 2016. "Do WTO Rulings Really Matter? Evidence from the Rare Earth Elements Market," Working Papers CIE 97, Paderborn University, CIE Center for International Economics.
  • Juliane Proelss & Denis Schweizer & Volker Seiler, 2016. "Do WTO Rulings Really Matter? Evidence from the Rare Earth Elements Market," Working Papers CIE 93, Paderborn University, CIE Center for International Economics.
• Juliane Proelss & Denis Schweizer & Volker Seiler, 2016. "Do WTO Rulings Really Matter? Evidence from the Rare Earth Elements Market," Working Papers CIE 93, Paderborn University, CIE Center for International Economics.
  • Juliane Proelss & Denis Schweizer & Volker Seiler, 2016. "Do WTO Rulings Really Matter? Evidence from the Rare Earth Elements Market," Working Papers CIE 97, Paderborn University, CIE Center for International Economics.
• Marek Zinecker & Adam P. Balcerzak & Marcin Faldzinski & Tomas Meluzin & Michal Bernard Pietrzak, 2016. "Application of DCC-GARCH model for analysis of Interrelations among Capital Markets of Poland, Czech Republic and Germany," Chapters,in: Proceedings of the International Scientific Conference Quantitative Methods in Economics Multiple Criteria Decision Making XVIII, edition 1, volume 1, chapter 67, pages 418-423 Institute of Economic Research.
  • Marek Zinecker & Adam P. Balcerzak & Marcin Faldzinski & Michal Bernad Pietrzak & Tomáš Meluzin, 2016. "Application of DCC-GARCH Model for Analysis of Interrelations Among Capital Markets of Poland, Czech Republic and Germany," Working Papers 4/2016, Institute of Economic Research, revised Feb 2016.
• Marcin Faldzinski & Adam P. Balcerzak & Tomas Meluzin & Michal Bernard Pietrzak & Marek Zinecker, 2016. "Cointegration of Interdependencies Among Capital Markets of Chosen Visegrad Countries and Germany," Chapters,in: 34th International Conference Mathematical Methods in Economics MME 2016 Conference Proceedings, edition 1, volume 1, chapter 33, pages 189-194 Institute of Economic Research.
  • Marcin Faldzinski & Adam P. Balcerzak & Tomas Meluzin & Michal Bernard Pietrzak & Marek Zinecker, 2016. "Cointegration of Interdependencies Among Capital Markets of Chosen Visegrad Countries and Germany," Working Papers 21/2016, Institute of Economic Research, revised May 2016.
• Tomas Heryan & Jan Ziegelbauer, 2016. "Volatility Of Yields Of Government Bonds Among Giips Countries During The Sovereign Debt Crisis In The Euro Area," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(1), pages 61-74, March.
• Magdalena Osinska & Andrzej Dobrzynski & Yochanan Shachmurove, 2016. "Performance Of American And Russian Joint Stock Companies On Financial Market. A Microstructure Perspective," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(4), pages 819-851, December.
• Marcin Faldzinski & Adam P. Balcerzak & Tomas Meluzin & Michal Bernard Pietrzak & Marek Zinecker, 2016. "Cointegration of Interdependencies Among Capital Markets of Chosen Visegrad Countries and Germany," Chapters,in: 34th International Conference Mathematical Methods in Economics MME 2016 Conference Proceedings, edition 1, volume 1, chapter 33, pages 189-194 Institute of Economic Research.
  • Marcin Faldzinski & Adam P. Balcerzak & Tomas Meluzin & Michal Bernard Pietrzak & Marek Zinecker, 2016. "Cointegration of Interdependencies Among Capital Markets of Chosen Visegrad Countries and Germany," Working Papers 21/2016, Institute of Economic Research, revised May 2016.
• Tomas Meluzin & Marek Zinecker & Michal Bernard Pietrzak & Marcin Faldzinski & Adam P. Balcerzak, 2016. "Value-at-Risk with Application of DCC-GARCH Model," Working Papers 35/2016, Institute of Economic Research, revised Sep 2016.
• Tomas Meluzin & Marek Zinecker & Michal Bernard Pietrzak & Marcin Faldzinski & Adam P. Balcerzak, 2016. "Interdependence among Capital Markets of Germany, Poland and Baltic States," Working Papers 36/2016, Institute of Economic Research, revised Sep 2016.
• Marek Zinecker & Adam P. Balcerzak & Marcin Faldzinski & Tomas Meluzin & Michal Bernard Pietrzak, 2016. "Application of DCC-GARCH model for analysis of Interrelations among Capital Markets of Poland, Czech Republic and Germany," Chapters,in: Proceedings of the International Scientific Conference Quantitative Methods in Economics Multiple Criteria Decision Making XVIII, edition 1, volume 1, chapter 67, pages 418-423 Institute of Economic Research.
  • Marek Zinecker & Adam P. Balcerzak & Marcin Faldzinski & Michal Bernad Pietrzak & Tomáš Meluzin, 2016. "Application of DCC-GARCH Model for Analysis of Interrelations Among Capital Markets of Poland, Czech Republic and Germany," Working Papers 4/2016, Institute of Economic Research, revised Feb 2016.
• Naqi Shah, Sadia & Qayyum, Abdul, 2016. "Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan," MPRA Paper 85528, University Library of Munich, Germany.
  • Naqi Shah, Sadia & Qayyum, Abdul, 2016. "Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan," MPRA Paper 68783, University Library of Munich, Germany.
• Sucarrat, Genaro & Grønneberg, Steffen, 2016. "Models of Financial Return With Time-Varying Zero Probability," MPRA Paper 68931, University Library of Munich, Germany.
• Abarahan, Amnisuhailah Binti & Masih, Mansur, 2016. "Is energy a stimulus for economic growth? A focused study on Malaysia using the auto regressive distributed lag technique," MPRA Paper 69765, University Library of Munich, Germany.
• Mustapha, Ishaq Muhammad & Masih, Mansur, 2016. "Dutch disease or Nigerian disease: a prima facie? New evidence from ARDL bound test analysis," MPRA Paper 69767, University Library of Munich, Germany.
• Bukhari, Naseem & Masih, Mansur, 2016. "An empirical investigation of causal linkages between domestic terrorism and macroeconomic variables: a case for Pakistan," MPRA Paper 69768, University Library of Munich, Germany.
• Mohd Haniff, NorAzza & Masih, Mansur, 2016. "Does consumer sentiment predict consumer spending in Malaysia? an autoregressive distributed lag (ARDL) approach," MPRA Paper 69769, University Library of Munich, Germany.
• Ahsan, Zainab Fida & Masih, Mansur, 2016. "Exploring the nexus between income inequality and financial indicators: endemic to the Indian economy?," MPRA Paper 69770, University Library of Munich, Germany.
• Asadov, Alam & Masih, Mansur, 2016. "Home financing loans and their relationship to real estate bubble: An analysis of the U.S. mortgage market," MPRA Paper 69771, University Library of Munich, Germany.
• Naurin, Abida & Qayyum, Abdul, 2016. "Impact of Oil Price and Its Volatility on CPI of Pakistan: Bivariate EGARCH Model," MPRA Paper 69774, University Library of Munich, Germany.
• Mohammad Nor, Karina & Masih, Mansur, 2016. "Do spot and future palm oil prices influence the stock market prices of a major palm oil producer? the Malaysian experience," MPRA Paper 69777, University Library of Munich, Germany.
• Bouoiyour, Jamal & Selmi, Refk, 2016. "The infernal couple China-Oil Price and the Responses of G7 Equities: A QQ Approach," MPRA Paper 70379, University Library of Munich, Germany.
• Bouoiyour, Jamal & Selmi, Refk & Miftah, Amal, 2016. "On the reactions of sectoral equity returns to oil price in France: Implications for portfolio allocation," MPRA Paper 70382, University Library of Munich, Germany.
• Juan Carlos Cuestas & Ying Sophie Huang & Bo Tang, 2016. "Does the Yuan's Overseas Expansion Increase the Currency Exposure of Chinese Financial Firms?," Working Papers 2016006, The University of Sheffield, Department of Economics.
  • Cuestas, Juan Carlos & Huang, Ying & Tang, Bo, 2016. "Does the Yuan’s Overseas Expansion Increase the Currency Exposure of Chinese Financial Firms?," MPRA Paper 70921, University Library of Munich, Germany.
• Griffin, Jim & Liu, Jia & Maheu, John M, 2016. "Bayesian Nonparametric Estimation of Ex-post Variance," MPRA Paper 71220, University Library of Munich, Germany.
• Uddin, Md Akther & Masih, Mansur, 2016. "War and peace: why is political stability pivotal for economic growth of OIC countries?," MPRA Paper 71678, University Library of Munich, Germany.
• Tariq, Anam & Masih, Mansur, 2016. "Risk-sharing deposits in islamic banks: do interest rates have any influence on them?," MPRA Paper 71680, University Library of Munich, Germany.
• Haniff, Norazza Mohd & Masih, Mansur, 2016. "Shariah stocks as an inflation hedge in Malaysia," MPRA Paper 71681, University Library of Munich, Germany.
• Shakir, Zeeniya & Masih, Mansur, 2016. "How is the European debt crisis affecting islamic equity? challenges in portfolio diversification within the eurozone: A markov switching and continuous wavelet transform analysis," MPRA Paper 71683, University Library of Munich, Germany.
• José Fajardo, 2017. "A new factor to explain implied volatility smirk," Applied Economics, Taylor & Francis Journals, vol. 49(40), pages 4026-4034, August.
  • fajardo, José, 2016. "A New Factor to Explain Implied Volatility Smirk," MPRA Paper 71809, University Library of Munich, Germany.
• Chowdhury, M. Ashraful Ferdous & Haque, M. Mahmudul & Alhabshi, Syed Othman & Masih, Abul Mansur M., 2016. "Socioeconomic Development and Its Effect on Performance of Islamic Banks: Dynamic Panel Approaches," MPRA Paper 71888, University Library of Munich, Germany.
• Hasnul, Al Gifari & Masih, Mansur, 2016. "Role of instability in affecting capital flight magnitude: An ARDL bounds testing approach," MPRA Paper 72086, University Library of Munich, Germany.
• Halim, Asyraf Abdul & Ariff, Muhammad & Masih, A. Mansur M., 2016. "The impact of real estate, inequality and current account imbalances on excessive credit: A cross country analysis," MPRA Paper 72093, University Library of Munich, Germany.
• Lokman, Azarahiah & Masih, Mansur, 2016. "What drives banks’ willingness to lend to SMEs? An ARDL approach," MPRA Paper 72113, University Library of Munich, Germany.
• Ziaurrahman, Muhammad & Masih, Mansur, 2016. "Is financial sector development an engine of economic growth? evidence from India," MPRA Paper 72121, University Library of Munich, Germany.
• Sultan, Yousuf & Masih, Mansur, 2016. "Does microfinance affect economic growth? Evidence from Bangladesh based on ARDL approach," MPRA Paper 72123, University Library of Munich, Germany.
• Hasbullah, Faruq & Masih, Mansur, 2016. "Fast profits in a fasting month? A markov regime switching approach in search of ramadan effect on stock markets," MPRA Paper 72149, University Library of Munich, Germany.
• Mantai, Mohammed Mahmoud & Masih, Mansur, 2016. "Do changes in shariah screening methodology make islamic indices substitutes or complements? an application of MGARCH-DCC and markov switching analysis," MPRA Paper 72166, University Library of Munich, Germany.
• Ali, Hakim & Masih, Mansur, 2016. "Evidence of cross-country portfolio diversification benefits: The case of Saudi Arabia," MPRA Paper 72180, University Library of Munich, Germany.
• Escribano, Alvaro & Sucarrat, Genaro, 2018. "Equation-by-equation estimation of multivariate periodic electricity price volatility," Energy Economics, Elsevier, vol. 74(C), pages 287-298.
  • Sucarrat, Genaro & Escribano, Álvaro, 2016. "Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility," UC3M Working papers. Economics 23436, Universidad Carlos III de Madrid. Departamento de Economía.
  • Escribano, Alvaro & Sucarrat, Genaro, 2016. "Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility," MPRA Paper 72736, University Library of Munich, Germany.
• William Barnett & Marcelle Chauvet & Danilo Leiva-Leon & Liting Su, 2016. "The Credit-Card-Services Augmented Divisia Monetary Aggregates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201604, University of Kansas, Department of Economics, revised Aug 2016.
  • Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting, 2016. "The credit-card-services augmented Divisia monetary aggregates," MPRA Paper 73245, University Library of Munich, Germany.
• William Barnett & Marcelle Chauvet & Danilo Leiva-Leon & Liting Su, 2016. "Nowcasting Nominal GDP with the Credit-Card Augmented Divisia Monetary Aggregates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201605, University of Kansas, Department of Economics, revised Aug 2016.
  • Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting, 2016. "Nowcasting nominal gdp with the credit-card augmented Divisia monetary aggregates," MPRA Paper 73246, University Library of Munich, Germany.
• William Barnett & Liting Su, 2016. "Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201606, University of Kansas, Department of Economics, revised Aug 2016.
  • Barnett, William & Su, Liting, 2016. "Risk adjustment of the credit-card augmented Divisia monetary aggregates," MPRA Paper 73248, University Library of Munich, Germany.
• Tomić, Bojan, 2016. "Ispitivanje kalendarskih sezonaliteta na hrvatskom tržištu kapitala
  [Testing the significance of calendar effects on croatian capital market]," MPRA Paper 73311, University Library of Munich, Germany.
• Maheu, John M & Shamsi, Azam, 2016. "Nonparametric Dynamic Conditional Beta," MPRA Paper 73764, University Library of Munich, Germany.
• Gencer, Murat & Unal, Gazanfer, 2016. "Testing Non-Linear Dynamics, Long Memory and Chaotic Behaviour of Energy Commodities," MPRA Paper 74115, University Library of Munich, Germany.
• Lo, Chi-Sheng, 2016. "Structural VAR analysis of monetary transmission mechanism and central bank’s response to equity volatility shock in Taiwan," MPRA Paper 74150, University Library of Munich, Germany.
• Giovanna Bua & Carmine Trecroci, 2019. "International equity markets interdependence: bigger shocks or contagion in the 21st century?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 155(1), pages 43-69, February.
  • Bua, Giovanna & Trecroci, Carmine, 2016. "International Equity Markets Interdependence: Bigger Shocks or Contagion in the 21st Century?," MPRA Paper 74771, University Library of Munich, Germany.
• Bonga-Bonga, Lumengo & Mabe, Queen Magadi, 2016. "How financially integrated are trading blocs in Africa?," MPRA Paper 75716, University Library of Munich, Germany.
• Aknouche, Abdelhakim & Al-Eid, Eid & Demouche, Nacer, 2016. "Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models," MPRA Paper 75770, University Library of Munich, Germany, revised 19 Dec 2016.
• BONGA-BONGA, Lumengo & NLEYA, Lebogang, 2018. "Assessing Portfolio Market Risk in the BRICS Economies: Use of Multivariate GARCH Models," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 71(2), pages 87-128.
  • Bonga-Bonga, Lumengo & Nleya, Lebogang, 2016. "Assessing portfolio market risk in the BRICS economies: use of multivariate GARCH models," MPRA Paper 75809, University Library of Munich, Germany.
• Yang, Bill Huajian & Du, Zunwei, 2016. "Rating Transition Probability Models and CCAR Stress Testing: Methodologies and implementations," MPRA Paper 76270, University Library of Munich, Germany.
• Naser, Hanan & Ahmed, Abdul Rashid, 2016. "Oil Price Shocks and Stock Market Performance in Emerging Economies: Some Evidence using FAVAR Models," MPRA Paper 77868, University Library of Munich, Germany.
• Alexis Akira Toda & Kieran James Walsh, 2017. "Fat tails and spurious estimation of consumption‐based asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(6), pages 1156-1177, September.
  • Toda, Alexis Akira & Walsh, Kieran James, 2016. "Fat Tails and Spurious Estimation of Consumption-Based Asset Pricing Models," MPRA Paper 78980, University Library of Munich, Germany.
  • Toda, Alexis Akira & Walsh, Kieran James, 2017. "Fat tails and spurious estimation of consumption-based asset pricing models," University of California at San Diego, Economics Working Paper Series qt8df3x7gw, Department of Economics, UC San Diego.
• Naseer, Areef Ahmed & Masih, Mansur, 2016. "Expect the unexpected: housing price bubble on the horizon in Malaysia," MPRA Paper 79721, University Library of Munich, Germany.
• Majeed, Ayesha & Masih, Mansur, 2016. "A study of long- run theoretical relationship between ASEAN stock market indices and developed stock market indices of US and Japan," MPRA Paper 79724, University Library of Munich, Germany.
• Cuestas Juan Carlos & Tang Bo, 2017. "Asymmetric exchange rate exposure of stock returns: empirical evidence from Chinese industries," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(4), pages 1-21, September.
  • Juan Carlos Cuestas & Bo Tang, 2015. "Asymmetric Exchange Rate Exposure of Stock Returns: Empirical Evidence from Chinese Industries," Working Papers 2015021, The University of Sheffield, Department of Economics.
  • Cuestas, Juan Carlos & Tang, Bo, 2016. "Asymmetric Exchange Rate Exposure of Stock Returns: Empirical Evidence from Chinese Industries," RIEI Working Papers 2016-03, Xi'an Jiaotong-Liverpool University, Research Institute for Economic Integration.
• Böing, Tobias & Stadtmann, Georg, 2016. "Money growth and aggregate stock returns," Discussion Papers 390, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
• Barunik, Jozef & Krehlik, Tomas, 2016. "Measuring the frequency dynamics of financial and macroeconomic connectedness," FinMaP-Working Papers 54, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Hofmann, Maurice & Rottmann, Horst, 2016. "Die Bewertung von Aktienanleihen mit Barriere: Eine Fallstudie für die Easy-Aktienanleihe der Deutschen Bank," Weidener Diskussionspapiere 55, University of Applied Sciences Amberg-Weiden (OTH).
• Raddant, Matthias & Wagner, Friedrich, 2016. "Multivariate GARCH for a large number of stocks," Kiel Working Papers 2049, Kiel Institute for the World Economy (IfW).
• Holtemöller, Oliver, 2016. "Agrarrohstoffpreise und Lebensmittelpreise in armen Ländern," Wirtschaft im Wandel, Halle Institute for Economic Research (IWH), vol. 22(1), pages 5-8.
• Carsten Bormann & Julia Schaumburg & Melanie Schienle, 2016. "Beyond Dimension two: A Test for Higher-Order Tail Risk," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(3), pages 552-580.
  • Bormann, Carsten & Schaumburg, Julia & Schienle, Melanie, 2016. "Beyond dimension two: A test for higher-order tail risk," Working Paper Series in Economics 80, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
• Ansgar Belke & Irina Dubova & Thomas Osowski, 2018. "Policy uncertainty and international financial markets: the case of Brexit," Applied Economics, Taylor & Francis Journals, vol. 50(34-35), pages 3752-3770, July.
  • Ansgar Belke & Irina Dubova & Thomas Osowski, 2016. "Policy uncertainty and international financial markets: the case of Brexit," ROME Working Papers 201607, ROME Network.
  • Belke, Ansgar & Dubova, Irina & Osowski, Thomas, 2016. "Policy uncertainty and international financial markets: The case of Brexit," Ruhr Economic Papers 657, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  • Belke, Ansgar & Dubova, Irina & Osowski, Thomas, 2016. "Policy Uncertainty and International Financial Markets: The case of Brexit," CEPS Papers 12021, Centre for European Policy Studies.
• Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2017. "Systemic co-jumps," Journal of Financial Economics, Elsevier, vol. 126(3), pages 563-591.
  • Caporin, Massimiliano & Kolokolov, Alexey & Renò, Roberto, 2016. "Systemic co-jumps," SAFE Working Paper Series 149, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Haas, Markus, 2016. "A note on optimal portfolios under regime–switching," Finance Research Letters, Elsevier, vol. 19(C), pages 209-216.
  • Haas, Markus, 2016. "A note on optimal portfolios under regime-switching," Annual Conference 2016 (Augsburg): Demographic Change 145493, Verein für Socialpolitik / German Economic Association.
• Conrad, Christian & Loch, Karin, 2016. "Macroeconomic expectations and the time-varying stock-bond correlation: international evidence," Annual Conference 2016 (Augsburg): Demographic Change 145530, Verein für Socialpolitik / German Economic Association.
• Winker, Peter & Lütkepohl, Helmut & Staszewska-Bystrova, Anna, 2016. "Calculating Joint Bands for Impulse Response Functions using Highest Density Regions," Annual Conference 2016 (Augsburg): Demographic Change 145537, Verein für Socialpolitik / German Economic Association.
• Matthias Raddant & Dror Y. Kenett, 2016. "Interconnectedness in the Global Financial Market," Working Papers 16-09, Office of Financial Research, US Department of the Treasury.
  • Raddant, Matthias & Kenett, Dror, 2016. "Interconnectedness in the global financial market," Annual Conference 2016 (Augsburg): Demographic Change 145560, Verein für Socialpolitik / German Economic Association.
  • Raddant, Matthias & Kenett, Dror Y., 2017. "Interconnectedness in the global financial market," Kiel Working Papers 2076, Kiel Institute for the World Economy (IfW).
  • Matthias Raddant & Dror Y. Kenett, 2017. "Interconnectedness in the Global Financial Market," Papers 1704.01028, arXiv.org.
• Lips, Johannes, 2016. "Do they still matter? – Impact of Fossil Fuels on Electricity Prices in the Light of Increased Renewable Generation," Annual Conference 2016 (Augsburg): Demographic Change 145601, Verein für Socialpolitik / German Economic Association.
• Robert F. Engle & Olivier Ledoit & Michael Wolf, 2016. "Large dynamic covariance matrices," ECON - Working Papers 231, Department of Economics - University of Zurich, revised Apr 2017.
• Olivier Ledoit & Michael Wolf & Zhao Zhao, 2016. "Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies," ECON - Working Papers 238, Department of Economics - University of Zurich, revised May 2018.
• Bent Jesper Christensen & Rasmus T. Varneskov, 2016. "Dynamic Global Currency Hedging," CREATES Research Papers 2016-03, Department of Economics and Business Economics, Aarhus University.
• Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2018. "Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions," Journal of Econometrics, Elsevier, vol. 207(1), pages 71-91.
  • Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2016. "Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions," CREATES Research Papers 2016-10, Department of Economics and Business Economics, Aarhus University.
• Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2016. "Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach," CREATES Research Papers 2016-20, Department of Economics and Business Economics, Aarhus University.
• Shin Kanaya, 2016. "Convergence rates of sums of α-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes," KIER Working Papers 947, Kyoto University, Institute of Economic Research.
  • Shin Kanaya, 2016. "Convergence rates of sums of a-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes," CREATES Research Papers 2016-24, Department of Economics and Business Economics, Aarhus University.
  • Kanaya, Shin, 2016. "Convergence rates of sums of α-mixing triangular arrays : with an application to non-parametric drift function estimation of continuous-time processes," Discussion Paper Series 646, Institute of Economic Research, Hitotsubashi University.
• Kim Christensen & Roel Oomen & Roberto Renò, 2016. "The Drift Burst Hypothesis," CREATES Research Papers 2016-28, Department of Economics and Business Economics, Aarhus University.
• Luc Bauwens & Manuela Braione & Giuseppe Storti, 2016. "Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices," Annals of Economics and Statistics, GENES, issue 123-124, pages 103-134.
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  • Luc Bauwens & Manuela Braione & Giuseppe Storti, 2016. "Forecasting comparison of long term component dynamic models for realized covariance matrices," CORE Discussion Papers RP 2923, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Serge Darolles & Gaëlle Le Fol & Christian Francq & Jean-Michel Zakoïan, 2016. "Intrinsic Liquidity in Conditional Volatility Models," Annals of Economics and Statistics, GENES, issue 123-124, pages 225-245.
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• Alexandru Badescu & Joan del Castillo & Juan-Pablo Ortega, 2016. "Hedging of Time Discrete Auto-Regressive Stochastic Volatility Options," Annals of Economics and Statistics, GENES, issue 123-124, pages 271-306.
• Alexis Bienvenüe & Christian Y. Robert, 2016. "Systemic Tail Risk Distribution," Annals of Economics and Statistics, GENES, issue 123-124, pages 29-52.
• Jérôme Lahaye, 2016. "Currency Risk: Comovements and Intraday Cojumps," Annals of Economics and Statistics, GENES, issue 123-124, pages 53-76.
• Anne Péguin-Feissolle & Bilel Sanhaji, 2016. "Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models," Annals of Economics and Statistics, GENES, issue 123-124, pages 77-101.
  • Anne Péguin-Feissolle & Bilel Sanhaji, 2016. "Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models," Post-Print hal-01448238, HAL.
• Christian Francq & Jean-Michel Zakoïan, 2016. "Looking for Efficient QML Estimation of Conditional VaRs at Multiple Risk Levels," Annals of Economics and Statistics, GENES, issue 123-124, pages 9-28.
• Tobias Adrian & Markus K. Brunnermeier, 2016. "CoVaR," American Economic Review, American Economic Association, vol. 106(7), pages 1705-1741, July.
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• Serrao, Amilcar, 2016. "A controversial debate between financial speculation and changes in agricultural commodity spot prices," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235638, Agricultural and Applied Economics Association.
• Ferreira Frascaroli, Bruno & Soares de Araújo Carvalho, Patrícia, 2016. "Transmissão De Preços No Mercado De Bioetanol Entre Alagoas E Pernambuco: Uma Análise De Cointegração," Revista de Economia e Agronegócio / Brazilian Review of Economics and Agribusiness, Federal University of Vicosa, Department of Agricultural Economics, vol. 14(1, 2, 3), pages 1-34.
• Saâd Benbachir & Mohammed Mehdi El Hamzi, 2016. "Non-Maturity Deposit Modeling in the Framework of Asset Liability Management," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 2(5), pages 79-98, 05-2016.
• Křehlík, Tomáš & Baruník, Jozef, 2017. "Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets," Energy Economics, Elsevier, vol. 65(C), pages 208-218.
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• Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2016. "Copula--based Specification of vector MEMs," Econometrics Working Papers Archive 2016_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
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• Naqi Shah, Sadia & Qayyum, Abdul, 2016. "Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan," MPRA Paper 68783, University Library of Munich, Germany.
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  [Cluster Analysis of Jumps on Capital Markets]," Politická ekonomie, University of Economics, Prague, vol. 2016(2), pages 127-144.
• Jan Hanousek & Anastasiya Shamshur & Jiří Trešl, 2016. "Vliv korupčního prostředí na efektivitu firem v nových zemích Evropské unie
  [Corruption and Firm Efficiency in New EU Countries]," Politická ekonomie, University of Economics, Prague, vol. 2016(8), pages 905-921.
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• Chris Bardgett & Elise Gourier & Markus Leippold, 2016. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets," Working Papers 780, Queen Mary University of London, School of Economics and Finance.
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• Erwan le Saout & Sébastien Ganneval, 2016. "Short-term Impacts of the 2004 Indian Ocean Tsunami on Stock Markets: A DCC-GARCH Analysis," Bankers, Markets & Investors, ESKA Publishing, issue 145, pages 4-12, November-.
• Knyazev, Alexander & Lepekhin, Oleg & Shemyakin, Arkady, 2016. "Joint distribution of stock indices: Methodological aspects of construction and selection of copula models," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 42, pages 30-53.
• Tuna, İsmail & Karaca, Süleyman Serdar, 2016. "Determining the Firm Specific Factors Affecting the Capital Increase," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 7(1), pages 89-105, January.
• Chamizo Cana, Álvaro & Novales Cinca, Alfonso, 2016. "Credit Risk Decomposition for Asset Allocation," Journal of Financial Transformation, Capco Institute, vol. 43, pages 117-123.
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• Davide De Gaetano, 2016. "Forecast Combinations For Realized Volatility In Presence Of Structural Breaks," Departmental Working Papers of Economics - University 'Roma Tre' 0208, Department of Economics - University Roma Tre.
• Murat Midilic, 2016. "Estimation Of Star-Garch Models With Iteratively Weighted Least Squares," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 16/918, Ghent University, Faculty of Economics and Business Administration.
• Joseph P. Hughes & Loretta J. Mester & Choon-Geol Moon, 2017. "Measuring agency costs and the value of investment opportunities of US bank holding companies with stochastic frontier estimation," Chapters,in: Handbook of Competition in Banking and Finance, chapter 11, pages 205-229 Edward Elgar Publishing.
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• Joseph P. Hughes & Loretta J. Mester & Choon-Geol Moon, 2016. "Market Discipline Working for and Against Financial Stability: The Two Faces of Equity Capital in U.S. Commercial Banking," Departmental Working Papers 201611, Rutgers University, Department of Economics.
• Harsh Vardhan & Pankaj Sinha, 2016. "Influence of Foreign Institutional Investments (FIIs) on the Indian Stock Market: An Insight by VAR Models," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 15(1), pages 49-83, April.
• Narendra Bhana, 2016. "The Stock Market Reaction to Board Changes: The South African Experience," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 15(3), pages 269-294, December.
• Muneer Shaik & S. Maheswaran, 2016. "Modelling the Paradox in Stock Markets by Variance Ratio Volatility Estimator that Utilises Extreme Values of Asset Prices," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 15(3), pages 333-361, December.
• Антонов И. Н. & Князев А. Г. & Лепёхин О. А., 2016. "Копулярные модели совместного распределения курсов валют. Copula models of the joint distribution of exchange rates," Мир экономики и управления // Вестник НГУ. Cерия: Cоциально-экономические науки, Socionet;Новосибирский государственный университет, vol. 16(4), pages 20-38.
• Fela Özbey & Erhan ??can & Mehmet Fatih Tra?, 2016. "How Do Exchange Rate Movements Affect Stock Prices? The Case of Turkey," Proceedings of International Academic Conferences 3506112, International Institute of Social and Economic Sciences.
• Hasan A?an Karaduman, 2016. "Stylized Facts And Weak-Form Efficiency In Turkish Stock Market," Proceedings of International Academic Conferences 4006651, International Institute of Social and Economic Sciences.
• Pawe? Kliber, 2016. "Portfolio analysis in jump-diffusion model with power-law tails," Proceedings of International Academic Conferences 5306873, International Institute of Social and Economic Sciences.
• Cenk Gokce ADAS & Bibigul Tussupova, 2016. "Impact Of The Global Financial Crises On The Major Asian Countries And Usa Stock Markets And Inter-Linkages Among Them," Proceedings of Economics and Finance Conferences 3205838, International Institute of Social and Economic Sciences.
• Cenk Gokce ADAS, 2016. "Impact Of The Global Financial Crises On The Major Asian Countries And Usa Stock Markets And Inter-Linkages Among Them," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, vol. 5(1), pages 1-17, March.
• Santillán-Salgado, Roberto J. & Gurrola Ríos, César & López-Herrera, Francisco, 2016. "Evaluación del grado de integración de los principales mercados de capital europeos con un modelo Cópula-GARCH," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 6(1), pages 9-36, enero-jun.
• Cuestas, Juan Carlos & Huang, Ying & Tang, Bo, 2016. "Does the Yuan’s Overseas Expansion Increase the Currency Exposure of Chinese Financial Firms?," MPRA Paper 70921, University Library of Munich, Germany.
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• Ming-Chu Chiang & I-Chun Tsai, 2016. "Ripple effect and contagious effect in the US regional housing markets," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 56(1), pages 55-82, January.
• Ming-Chu Chiang & I-Chun Tsai, 2016. "Ripple effect and contagious effect in the US regional housing markets," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 56(1), pages 55-82, January.
• Mehmet Fatih Öztek & Nadir Öcal, 2016. "The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets," Empirical Economics, Springer, vol. 50(2), pages 317-360, March.
• Carl Lönnbark, 2016. "Asymmetry with respect to the memory in stock market volatilities," Empirical Economics, Springer, vol. 50(4), pages 1409-1419, June.
• Jacques Peeperkorn & Yudhvir Seetharam, 2016. "A learning-augmented approach to pricing risk in South Africa," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 6(1), pages 117-139, April.
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• Wen-Yi Chen & Miin-Jye Wen & Yu-Hui Lin & Yia-Wun Liang, 2016. "On the relationship between healthcare expenditure and longevity: evidence from the continuous wavelet analyses," Quality & Quantity: International Journal of Methodology, Springer, vol. 50(3), pages 1041-1057, May.
• Francesco Audrino & Simon D. Knaus, 2016. "Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics," Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1485-1521, December.
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• Caporin, Massimiliano & Chang, Chia-Lin & McAleer, Michael, 2019. "Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 50-70.
  • Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016. "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Documentos de Trabajo del ICAE 2016-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016. "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?," Tinbergen Institute Discussion Papers 16-006/III, Tinbergen Institute.
  • Caporin, M. & Chang, C-L. & McAleer, M.J., 2016. "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Econometric Institute Research Papers EI2016-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016. "Connecting VIX and Stock Index ETF," Tinbergen Institute Discussion Papers 16-010/III, Tinbergen Institute, revised 23 Jan 2017.
  • Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2017. "Connecting VIX and Stock Index ETF," Econometric Institute Research Papers 2016-010/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2017. "Connecting VIX and Stock Index ETF," Documentos de Trabajo del ICAE 2017-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chang, Chia-Lin & McAleer, Michael & Wang, Yu-Ann, 2018. "Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P1), pages 1002-1018.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Documentos de Trabajo del ICAE 2017-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Tinbergen Institute Discussion Papers 16-014/III, Tinbergen Institute, revised 30 Jan 2017.
  • Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Econometric Institute Research Papers EI2016-45, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chen, J. & Kobayashi, M. & McAleer, M.J., 2016. "Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models," Econometric Institute Research Papers EI2016-16, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2016. "Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models," Tinbergen Institute Discussion Papers 16-015/III, Tinbergen Institute.
  • Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2016. "Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models," Documentos de Trabajo del ICAE 2016-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• István Barra & Agnieszka Borowska & Siem Jan Koopman, 2018. "Bayesian Dynamic Modeling of High-Frequency Integer Price Changes," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 16(3), pages 384-424.
  • Istvan Barra & Siem Jan Koopman & Agnieszka Borowska, 2016. "Bayesian Dynamic Modeling of High-Frequency Integer Price Changes," Tinbergen Institute Discussion Papers 16-028/III, Tinbergen Institute, revised 16 Feb 2018.
• Shelton Peiris & Manabu Asai & Michael McAleer, 2017. "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 10(4), pages 1-16, December.
  • Peiris, S. & Asai, M. & McAleer, M.J., 2016. "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," Econometric Institute Research Papers EI2016-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Shelton Peiris & Manabu Asai & Michael McAleer, 2016. "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," Tinbergen Institute Discussion Papers 16-044/III, Tinbergen Institute.
  • Shelton Peiris & Manabu Asai & Michael McAleer, 2016. "Estimating and forecasting generalized fractional Long memory stochastic volatility models," Documentos de Trabajo del ICAE 2016-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chang, C-L. & Liu, C-P. & McAleer, M.J., 2016. "Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture," Econometric Institute Research Papers EI2016-28, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Chia-Ping Liu & Michael McAleer, 2016. "Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture," Tinbergen Institute Discussion Papers 16-046/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Chia-Ping Liu, 2016. "Volatility spillovers for spot, futures, and ETF prices in energy and agriculture," Documentos de Trabajo del ICAE 2016-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chang, Chia-Lin & McAleer, Michael & Wang, Yanghuiting, 2018. "Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Energy, Elsevier, vol. 151(C), pages 984-997.
  • Chia-Lin Chang & Michael McAleer & Yanghuiting Wang, 2016. "Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Documentos de Trabajo del ICAE 2016-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer & Yanghuiting Wang, 2016. "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Tinbergen Institute Discussion Papers 16-047/III, Tinbergen Institute.
  • Chang, C-L. & McAleer, M.J. & Wang, Y., 2016. "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Econometric Institute Research Papers EI2016-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2017. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 6(1), pages 1-24, December.
  • Chang, C-L. & McAleer, M.J. & Wang, C-H., 2016. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors," Econometric Institute Research Papers EI2016-31, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2016. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors," Tinbergen Institute Discussion Papers 16-052/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2016. "An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors," Documentos de Trabajo del ICAE 2016-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chang, C-L. & McAleer, M.J. & Tian, J., 2016. "Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China," Econometric Institute Research Papers EI2016-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2016. "Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China," Tinbergen Institute Discussion Papers 16-053/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2016. "Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China," Documentos de Trabajo del ICAE 2016-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Peter Reinhard Hansen & Pawel Janus & Siem Jan Koopman, 2016. "Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model," Tinbergen Institute Discussion Papers 16-061/III, Tinbergen Institute.
• Asai, M. & McAleer, M.J., 2016. "A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics," Econometric Institute Research Papers EI2016-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Michael McAleer, 2016. "A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics," Tinbergen Institute Discussion Papers 16-065/III, Tinbergen Institute.
• Andre Lucas & Anne Opschoor, 2016. "Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns," Tinbergen Institute Discussion Papers 16-069/IV, Tinbergen Institute, revised 07 Jul 2017.
• Asai, M. & McAleer, M.J., 2016. "Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes," Econometric Institute Research Papers EI2016-35, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Michael McAleer, 2016. "Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes," Tinbergen Institute Discussion Papers 16-071/III, Tinbergen Institute.
  • Manabu Asai & Michael McAleer, 2016. "Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes," Documentos de Trabajo del ICAE 2016-14, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016. "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Documentos de Trabajo del ICAE 2016-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016. "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Tinbergen Institute Discussion Papers 16-076/III, Tinbergen Institute.
  • Asai, M. & Chang, C-L. & McAleer, M.J., 2016. "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Econometric Institute Research Papers EI2016-41, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger, 2016. "Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models," Tinbergen Institute Discussion Papers 16-082/III, Tinbergen Institute.
• David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2017. "Volatility spillover and multivariate volatility impulse response analysis of GFC news events," Applied Economics, Taylor & Francis Journals, vol. 49(33), pages 3246-3262, July.
  • David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2016. "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Documentos de Trabajo del ICAE 2016-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2016. "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Tinbergen Institute Discussion Papers 16-084/III, Tinbergen Institute.
  • Allen, D.E. & McAleer, M.J. & Powell, R.J. & Singh, A.K., 2016. "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Econometric Institute Research Papers EI2016-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chia-Lin Chang & Michael McAleer, 2017. "A Simple Test for Causality in Volatility," Econometrics, MDPI, Open Access Journal, vol. 5(1), pages 1-5, March.
  • Chang, C-L. & McAleer, M.J., 2016. "A Simple Test for Causality in Volatility," Econometric Institute Research Papers EI2016-40, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer, 2016. "A Simple Test for Causality in Volatility," Tinbergen Institute Discussion Papers 16-094/III, Tinbergen Institute.
• Zopiatis, A. & Savva, C.S. & Lambertides, N. & McAleer, M.J., 2016. "Tourism Stocks in Times of Crises: an Econometric Investigation of Non-macro Factors," Econometric Institute Research Papers TI 2016-104/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2016. "Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors," Tinbergen Institute Discussion Papers 16-104/III, Tinbergen Institute.
  • Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2017. "Tourism stocks in times of crises: An econometric investigation of non-macro factors," Documentos de Trabajo del ICAE 2017-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2016. "Tourism stocks in times of crises: An econometric investigation of non-macro factors," Documentos de Trabajo del ICAE 2016-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Bräuning, Falk & Koopman, Siem Jan, 2016. "The dynamic factor network model with an application to global credit risk," Working Papers 16-13, Federal Reserve Bank of Boston.
  • Falk Bräuning & Siem Jan Koopman, 2016. "The Dynamic Factor Network Model with an Application to Global Credit-Risk," Tinbergen Institute Discussion Papers 16-105/III, Tinbergen Institute.
• Siem Jan Koopman & André Lucas & Marcel Scharth, 2016. "Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models," The Review of Economics and Statistics, MIT Press, vol. 98(1), pages 97-110, March.
  • Siem Jan Koopman & Andre Lucas & Marcel Scharth, 2012. "Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models," Tinbergen Institute Discussion Papers 12-020/4, Tinbergen Institute.
• Caporin, Massimiliano & Chang, Chia-Lin & McAleer, Michael, 2019. "Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 50-70.
  • Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016. "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?," Tinbergen Institute Discussion Papers 16-006/III, Tinbergen Institute.
  • Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016. "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Documentos de Trabajo del ICAE 2016-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Caporin, M. & Chang, C-L. & McAleer, M.J., 2016. "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Econometric Institute Research Papers EI2016-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2016. "How are VIX and Stock Index ETF Related?," Econometric Institute Research Papers EI2016-07, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016. "How are VIX and Stock Index ETF Related?," Documentos de Trabajo del ICAE 2016-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn," Econometric Institute Research Papers EI2016-15, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016. "Modelling volatility spillovers for bio-ethanol, sugarcane and corn," Documentos de Trabajo del ICAE 2016-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chen, J. & Kobayashi, M. & McAleer, M.J., 2016. "Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models," Econometric Institute Research Papers EI2016-16, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2016. "Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models," Documentos de Trabajo del ICAE 2016-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2016. "Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models," Tinbergen Institute Discussion Papers 16-015/III, Tinbergen Institute.
• Shelton Peiris & Manabu Asai & Michael McAleer, 2017. "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 10(4), pages 1-16, December.
  • Peiris, S. & Asai, M. & McAleer, M.J., 2016. "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," Econometric Institute Research Papers EI2016-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Shelton Peiris & Manabu Asai & Michael McAleer, 2016. "Estimating and forecasting generalized fractional Long memory stochastic volatility models," Documentos de Trabajo del ICAE 2016-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Shelton Peiris & Manabu Asai & Michael McAleer, 2016. "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," Tinbergen Institute Discussion Papers 16-044/III, Tinbergen Institute.
• Chang, C-L. & McAleer, M.J. & Tian, J., 2016. "Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China," Econometric Institute Research Papers EI2016-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2016. "Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China," Documentos de Trabajo del ICAE 2016-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2016. "Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China," Tinbergen Institute Discussion Papers 16-053/III, Tinbergen Institute.
• Chang, Chia-Lin & McAleer, Michael & Wang, Yanghuiting, 2018. "Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Energy, Elsevier, vol. 151(C), pages 984-997.
  • Chia-Lin Chang & Michael McAleer & Yanghuiting Wang, 2016. "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Tinbergen Institute Discussion Papers 16-047/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Yanghuiting Wang, 2016. "Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Documentos de Trabajo del ICAE 2016-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & McAleer, M.J. & Wang, Y., 2016. "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Econometric Institute Research Papers EI2016-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chia-Lin Chang & Chia-Ping Liu & Michael McAleer, 2016. "Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture," Tinbergen Institute Discussion Papers 16-046/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Chia-Ping Liu, 2016. "Volatility spillovers for spot, futures, and ETF prices in energy and agriculture," Documentos de Trabajo del ICAE 2016-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & Liu, C-P. & McAleer, M.J., 2016. "Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture," Econometric Institute Research Papers EI2016-28, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2017. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 6(1), pages 1-24, December.
  • Chang, C-L. & McAleer, M.J. & Wang, C-H., 2016. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors," Econometric Institute Research Papers EI2016-31, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2016. "An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors," Documentos de Trabajo del ICAE 2016-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang, 2016. "An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors," Tinbergen Institute Discussion Papers 16-052/III, Tinbergen Institute.
• Asai, M. & McAleer, M.J., 2016. "Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes," Econometric Institute Research Papers EI2016-35, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Michael McAleer, 2016. "Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes," Documentos de Trabajo del ICAE 2016-14, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Manabu Asai & Michael McAleer, 2016. "Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes," Tinbergen Institute Discussion Papers 16-071/III, Tinbergen Institute.
• Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016. "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Tinbergen Institute Discussion Papers 16-076/III, Tinbergen Institute.
  • Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016. "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Documentos de Trabajo del ICAE 2016-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Asai, M. & Chang, C-L. & McAleer, M.J., 2016. "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Econometric Institute Research Papers EI2016-41, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2017. "Volatility spillover and multivariate volatility impulse response analysis of GFC news events," Applied Economics, Taylor & Francis Journals, vol. 49(33), pages 3246-3262, July.
  • Allen, D.E. & McAleer, M.J. & Powell, R.J. & Singh, A.K., 2016. "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Econometric Institute Research Papers EI2016-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2016. "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Documentos de Trabajo del ICAE 2016-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2016. "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Tinbergen Institute Discussion Papers 16-084/III, Tinbergen Institute.
• Zopiatis, A. & Savva, C.S. & Lambertides, N. & McAleer, M.J., 2016. "Tourism Stocks in Times of Crises: an Econometric Investigation of Non-macro Factors," Econometric Institute Research Papers TI 2016-104/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2017. "Tourism stocks in times of crises: An econometric investigation of non-macro factors," Documentos de Trabajo del ICAE 2017-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2016. "Tourism stocks in times of crises: An econometric investigation of non-macro factors," Documentos de Trabajo del ICAE 2016-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2016. "Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors," Tinbergen Institute Discussion Papers 16-104/III, Tinbergen Institute.
• Allen, D.E. & McAleer, M.J. & Singh, A.K., 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Econometric Institute Research Papers EI2016-46, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2017. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Tinbergen Institute Discussion Papers 17-013/III, Tinbergen Institute.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2016. "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Documentos de Trabajo del ICAE 2017-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chang, Chia-Lin & McAleer, Michael & Wang, Yu-Ann, 2018. "Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P1), pages 1002-1018.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Tinbergen Institute Discussion Papers 16-014/III, Tinbergen Institute, revised 30 Jan 2017.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Documentos de Trabajo del ICAE 2017-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2016. "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Econometric Institute Research Papers EI2016-45, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Ahmad Monir Abdullah & Abul Mansur Mohammed Masih, 2016. "Diversification in Crude Oil and Other Commodities: A Comparative Analysis," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 12(1), pages 101-128.
  • Abdullah, Ahmad Monir & Saiti, Buerhan & Masih, Abul Mansur M., 2014. "Diversification in Crude Oil and Other Commodities: A Comparative Analysis," MPRA Paper 56988, University Library of Munich, Germany.
• Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2016. "Networks in risk spillovers: a multivariate GARCH perspective," Working Papers 2016:03, Department of Economics, University of Venice "Ca' Foscari".
  • Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2018. "Networks in risk spillovers: A multivariate GARCH perspective," SAFE Working Paper Series 225, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Marcin Chlebus, 2016. "One-Day Prediction of State of Turbulence for Portfolio. Models for Binary Dependent Variable," Working Papers 2016-01, Faculty of Economic Sciences, University of Warsaw.
• Ulrich Hounyo & Bezirgen Veliyev, 2016. "Validity of Edgeworth expansions for realized volatility estimators," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 1-32, February.
  • Ulrich Hounyo & Bezirgen Veliyev, 2015. "Validity of Edgeworth expansions for realized volatility estimators," CREATES Research Papers 2015-21, Department of Economics and Business Economics, Aarhus University.

2015

• Bekiros, Stelios & Gupta, Rangan, 2015. "Predicting stock returns and volatility using consumption-aggregate wealth ratios: A nonlinear approach," Economics Letters, Elsevier, vol. 131(C), pages 83-85.
  • Stelios Bekiros & Rangan Gupta, 2015. "Predicting Stock Returns and Volatility Using Consumption-Aggregate Wealth Ratios: A Nonlinear Approach," Working Papers 201505, University of Pretoria, Department of Economics.
• Bekiros, Stelios & Gupta, Rangan & Kyei, Clement, 2016. "On economic uncertainty, stock market predictability and nonlinear spillover effects," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 184-191.
  • Stelios Bekiros & Rangan Gupta & Clement Kyei, 2015. "On Economic Uncertainty, Stock Market Predictability and Nonlinear Spillover Effects," Working Papers 201508, University of Pretoria, Department of Economics.
• Bonaccolto, G. & Caporin, M. & Gupta, R., 2018. "The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 446-469.
  • Giovanni Bonaccolto & Massimiliano Caporin & Rangan Gupta, 2015. "The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk," Working Papers 201564, University of Pretoria, Department of Economics.
• Christophe André & Lumengo Bonga-Bonga & Rangan Gupta & John W. Muteba Mwamba, 2015. "The Impact of Economic Policy Uncertainty on US Real Housing Returns and their Volatility: A Nonparametric Approach," Working Papers 201582, University of Pretoria, Department of Economics.
• Mehmet Balcilar & Rangan Gupta & Duc Khuong Nguyen & Mark E. Wohar, 2018. "Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach," Applied Economics, Taylor & Francis Journals, vol. 50(53), pages 5712-5727, November.
  • Mehmet Balcilar & Rangan Gupta & Duc K. Nguyen & Mark E. Wohar, 2015. "Causal Effects of the United States and Japan on Pacific-Rim Stock Markets: Nonparametric Quantile Causality Approach," Working Papers 201595, University of Pretoria, Department of Economics.
• Rosella Giacometti & Sergio Ortobelli & Tomáš Tichý, 2015. "Portfolio Selection with Uncertainty Measures Consistent with Additive Shifts," Prague Economic Papers, University of Economics, Prague, vol. 2015(1), pages 3-16.
• Růčková Petra & Heryán Tomáš, 2015. "The Capital Structure Management in Companies of Selected Business Branches of Building in Conditions of the Czech Republic," Prague Economic Papers, University of Economics, Prague, vol. 2015(6), pages 699-714.
• Dana Cíchová Králová, 2015. "Využití modelu BGM při řízení úrokového rizika v českém prostředí v období po finanční krizi
  [Aplication of the BGM Model for Interest Rate Risk Management in the Czech Environment after Financial ," Politická ekonomie, University of Economics, Prague, vol. 2015(6), pages 714-758.
• Maciej Kostrzewski, 2015. "Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 7(1), pages 43-70, March.
• Paulo M.M. Rodrigues & João Nicolau, 2015. "A New Regression-Based Tail Index Estimator: An Application to Exchange Rates," Working Papers w201514, Banco de Portugal, Economics and Research Department.
• Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith, 2014. "A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices," CESifo Working Paper Series 4834, CESifo Group Munich.
  • Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith, 2015. "A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices," Working Papers 764, Queen Mary University of London, School of Economics and Finance.
  • Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith, 2015. "A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices," Working Papers 764, Queen Mary University of London, School of Economics and Finance.
  • Natalia Bailey & Vanessa Smith & M. Hashem Pesaran, 2014. "A multiple testing approach to the regularisation of large sample correlation matrices," Cambridge Working Papers in Economics 1413, Faculty of Economics, University of Cambridge.
• Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith, 2014. "A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices," CESifo Working Paper Series 4834, CESifo Group Munich.
  • Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith, 2015. "A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices," Working Papers 764, Queen Mary University of London, School of Economics and Finance.
  • Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith, 2015. "A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices," Working Papers 764, Queen Mary University of London, School of Economics and Finance.
  • Natalia Bailey & Vanessa Smith & M. Hashem Pesaran, 2014. "A multiple testing approach to the regularisation of large sample correlation matrices," Cambridge Working Papers in Economics 1413, Faculty of Economics, University of Cambridge.
• Stéphane Auray & Christian Gouriéroux, 2015. "Financial Regulations and Procyclicality," Bankers, Markets & Investors, ESKA Publishing, issue 138, pages 45-54, September.
• Ramaprasad Bhar & A.G. Malliaris & Mary Malliaris, 2015. "Quantitative Easing and the U.S. Stock Market: A Decision Tree Analysis," Review of Economic Analysis, Rimini Centre for Economic Analysis, vol. 7(2), pages 135-156, December.
• Ghada Gomaa A. Mohamed & Morrison Handley-Schachler, 2015. "Modeling FDI Flows from the USA to Canada:Two Main International Financial Variables Affect the Long-Run Economic Growth," Applied Economics and Finance, Redfame publishing, vol. 2(4), pages 85-94, November.
• Josip Arneric & Zdravka Aljinovic & Tea Poklepovic, 2015. "Extraction of market expectations from risk-neutral density," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics, vol. 33(2), pages 235-256.
• Bampinas, Georgios & Panagiotidis, Theodore, 2015. "Are gold and silver a hedge against inflation? A two century perspective," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 267-276.
  • Georgios Bampinas & Theodore Panagiotidis, 2015. "Are Gold and Silver a Hedge against Inflation? A Two Century Perspective," Discussion Paper Series 2015_03, Department of Economics, University of Macedonia, revised Jul 2015.
  • G. Bampinas & T. Panagiotidis, 2015. "Are Gold and Silver a Hedge against Inflation? A Two Century Perspective," Working Paper series 15-02, Rimini Centre for Economic Analysis.
• Maheu, John M. & Yang, Qiao, 2016. "An infinite hidden Markov model for short-term interest rates," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 202-220.
  • Maheu, John M & Yang, Qiao, 2015. "An Infinite Hidden Markov Model for Short-term Interest Rates," MPRA Paper 62408, University Library of Munich, Germany.
  • John M. Maheu & Qiao Yang, 2015. "An Infinite Hidden Markov Model for Short-term Interest Rates," Working Paper series 15-05, Rimini Centre for Economic Analysis.
• Tanrıöver, Banu & Çöllü, Duygu Arslantürk, 2015. "Analysis of Forecasting Performance of Investors in Turkey Within Framework of the Random Walk Model (Türkiye’de Yatırımcıların Öngörü Performanslarının Rassal Yürüyüş Modeli Çerçevesinde Analizi)," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 6(2), pages 127-139, April.
• Gök, İbrahim Yaşar & Kalaycı, Şeref, 2015. "International Interactions between Index Futures Markets: Testing Meteor Shower and Heat Wave Hypotheses on Turkey and US Markets," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 6(4), pages 39-53, October.
• Adrian Cantemir CALIN, 2015. "The Impact of Trade Announcements on Financial Markets. An Event Study Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 81-91, June.
• Iulia LUPU, 2015. "European Stock Markets Correlations In A Markov Switching Framework," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 103-119, September.
• Tsang-Yao CHANG & Hao FANG & Yen-Hsien LEE, 2015. "Nonlinear A Djustment To The Long-Run Equilibrium Between The Reit And The Stock Markets In Japan And Singapore," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 27-38, September.
• Altaf Muhammad & Zhang Shuguang, 2015. "Impact Of Structural Shifts on Variance Persistence in Asymmetric Garch Models: Evidence From Emerging Asian and European Markets," Romanian Statistical Review, Romanian Statistical Review, vol. 63(1), pages 57-70, March.
• Marusa Beca & Irina Maria Dragan, 2015. "SMEs’ insolvency analysis in Romania in the year 2010. A microeconomic logistic approach," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 63(8), pages 58-73, August.
• Tommaso Proietti, 2016. "On the Selection of Common Factors for Macroeconomic Forecasting," Advances in Econometrics,in: Dynamic Factor Models, volume 35, pages 593-628 Emerald Publishing Ltd.
  • Alessandro Giovannelli & Tommaso Proietti, 2014. "On the Selection of Common Factors for Macroeconomic Forecasting," CREATES Research Papers 2014-46, Department of Economics and Business Economics, Aarhus University.
  • Alessandro Giovannelli & Tommaso Proietti, 2015. "On the Selection of Common Factors for Macroeconomic Forecasting," CEIS Research Paper 332, Tor Vergata University, CEIS, revised 12 Mar 2015.
  • Giovannelli, Alessandro & Proietti, Tommaso, 2014. "On the Selection of Common Factors for Macroeconomic Forecasting," MPRA Paper 60673, University Library of Munich, Germany.
• Francesco Lautizi, 2015. "Large Scale Covariance Estimates for Portfolio Selection," CEIS Research Paper 353, Tor Vergata University, CEIS, revised 07 Aug 2015.
• Bartosz Stawiarski, 2015. "Selected Techniques Of Detecting Structural Breaks In Financial Volatility," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 11(1), pages 32-43, August.
• Didenko Alexander & Dubovikov Mikhail & Poutko Boris, 2015. "Forecasting coherent volatility breakouts," Вестник Финансового университета, CyberLeninka;Федеральное государственное образовательное бюджетное учреждение высшего профессионального образования «Финансовый университет при Правительстве Российской Федерации» (Финансовый университет), issue 1 (85), pages 30-36.
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• Serdar Neslihanoglu, 2015. "Financial Stock Market Co-movement and Correlation: Evidence in the European Union (EU) Area Before and After the October 2008 Financial Crisis," Proceedings of International Academic Conferences 2604587, International Institute of Social and Economic Sciences.
• Serdar Neslihanoglu, 2015. "The Performance of Conditional CAPMs based on Evidence from the European Union?s (EU) Financial Stock Markets before and after the Eurozone Financial Crisis," Proceedings of International Academic Conferences 2604617, International Institute of Social and Economic Sciences.
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• Juan Carlos Cuestas & Bo Tang, 2015. "Exchange Rate Changes and Stock Returns in China: A Markov Switching SVAR Approach," Working Papers 2015024, The University of Sheffield, Department of Economics.
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• Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & André Lucas, 2015. "In-Sample Bounds for Time-Varying Parameters of Observation Driven Models," Tinbergen Institute Discussion Papers 15-027/III, Tinbergen Institute, revised 07 Sep 2015.
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• David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2015. "Multivariate Volatility Impulse Response Analysis of GFC News Events," Documentos de Trabajo del ICAE 2015-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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• Manabu Asai & Michael McAleer, 2017. "The impact of jumps and leverage in forecasting covolatility," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 638-650, October.
  • Asai, M. & McAleer, M.J., 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Econometric Institute Research Papers EI 2015-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Manabu Asai & Michael McAleer, 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Documentos de Trabajo del ICAE 2015-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Manabu Asai & Michael McAleer, 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Tinbergen Institute Discussion Papers 15-018/III, Tinbergen Institute.
• Guillaume Gaetan Martinet & Michael McAleer, 2018. "On the invertibility of EGARCH(p, q)," Econometric Reviews, Taylor & Francis Journals, vol. 37(8), pages 824-849, September.
  • Martinet, G.G. & McAleer, M.J., 2015. "On the Invertibility of EGARCH(p,q)," Econometric Institute Research Papers EI 2015-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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  • Guillaume Gaetan Martinet & Michael McAleer, 2015. "On the Invertibility of EGARCH(p,q)," Tinbergen Institute Discussion Papers 15-022/III, Tinbergen Institute.
• Ling, Shiqing & McAleer, Michael & Tong, Howell, 2015. "Frontiers in Time Series and Financial Econometrics: An overview," Journal of Econometrics, Elsevier, vol. 189(2), pages 245-250.
  • Shiqing Ling & Michael McAleer & Howell Tong, 2015. "Frontiers in Time Series and Financial Econometrics: An Overview," Tinbergen Institute Discussion Papers 15-026/III, Tinbergen Institute.
  • Shiqing Ling & Michael McAleer & Howell Tong, 2015. "Frontiers in Time Series and Financial Econometrics: An Overview," Documentos de Trabajo del ICAE 2015-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chia-Lin Chang & Yiying Li & Michael McAleer, 2018. "Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Energies, MDPI, Open Access Journal, vol. 11(6), pages 1-19, June.
  • Chia-Lin Chang & Yiying Li & Michael McAleer, 2015. "Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Tinbergen Institute Discussion Papers 15-077/III, Tinbergen Institute.
  • Chia-Lin Chang & Yiying Li & Michael McAleer, 2015. "Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Documentos de Trabajo del ICAE 2015-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & Li, Y. & McAleer, M.J., 2015. "Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Econometric Institute Research Papers EI2015-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2015. "Multivariate Volatility Impulse Response Analysis of GFC News Events," Tinbergen Institute Discussion Papers 15-089/III, Tinbergen Institute.
  • David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2015. "Multivariate Volatility Impulse Response Analysis of GFC News Events," Documentos de Trabajo del ICAE 2015-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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• Sensoy, Ahmet & Hacihasanoglu, Erk & Rostom, Ahmed, 2015. "European economic and monetary union sovereign debt markets," Policy Research Working Paper Series 7149, The World Bank.
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• Karol Szafranek, 2015. "Financialisation of the commodity markets. Conclusions from the VARX DCC GARCH," NBP Working Papers 213, Narodowy Bank Polski, Economic Research Department.
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• Kamil Makiel, 2015. "Portfolio diversification during monetary loosening policy," Journal of Risk Finance, Emerald Group Publishing, vol. 16(2), pages 197-214, March.
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• Ling, S. & McAleer, M.J. & Tong, H., 2015. "Frontiers in Time Series and Financial Econometrics," Econometric Institute Research Papers EI 2015-07, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Guillaume Gaetan Martinet & Michael McAleer, 2018. "On the invertibility of EGARCH(p, q)," Econometric Reviews, Taylor & Francis Journals, vol. 37(8), pages 824-849, September.
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• Chia-Lin Chang & Yiying Li & Michael McAleer, 2018. "Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Energies, MDPI, Open Access Journal, vol. 11(6), pages 1-19, June.
  • Chia-Lin Chang & Yiying Li & Michael McAleer, 2015. "Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Tinbergen Institute Discussion Papers 15-077/III, Tinbergen Institute.
  • Chang, C-L. & Li, Y. & McAleer, M.J., 2015. "Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Econometric Institute Research Papers EI2015-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Yiying Li & Michael McAleer, 2015. "Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Documentos de Trabajo del ICAE 2015-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2015. "Multivariate Volatility Impulse Response Analysis of GFC News Events," Documentos de Trabajo del ICAE 2015-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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• Michael McAleer, 2015. "The Fundamental Equation in Tourism Finance," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 8(4), pages 1-6, December.
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• Antoniade Ciprian ALEXANDRU & Nicoleta CARAGEA, 2015. "The Capital Markets Research Based on the Financial Quantitative Models," Eco-Economics Review, Ecological University of Bucharest, Economics Faculty and Ecology and Environmental Protection Faculty, vol. 1(1), pages 3-16, June.
• Michal Adam & Piotr Banbula & Michal Markun, 2015. "International Dependence and Contagion across Asset Classes: The Case of Poland," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(3), pages 254-270, May.
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• Dejan Zivkov & Jovan Njegic & Ivan Milenkovic, 2015. "Bidirectional Volatility Spillover Effect between the Exchange Rate and Stocks in the Presence of Structural Breaks in Selected Eastern European Economies," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(6), pages 477-498, December.
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• Andrea Bastianin & Matteo Manera, 2015. "Oil and Macroeconomic Uncertianty," Review of Environment, Energy and Economics - Re3, Fondazione Eni Enrico Mattei, June.
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• Claire Gavard & Djamel Kirat, 2015. "Flexibility in the Market for International Carbon Credits and Price. Dynamics Difference with European Allowances," Working Papers 2015.03, Fondazione Eni Enrico Mattei.
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• Duarte, Fernando M. & Rosa, Carlo, 2015. "The equity risk premium: a review of models," Economic Policy Review, Federal Reserve Bank of New York, issue 2, pages 39-57.
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• Cecilia Mancini, 2015. "Truncated Realized Covariance when prices have infinite variation jumps," Working Papers - Mathematical Economics 2015-02, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
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• Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Portfolio Management With Higher Moments: The Cardinality Impact," GEMF Working Papers 2015-15, GEMF, Faculty of Economics, University of Coimbra.
• Antoine Kornprobst & Raphael Douady, 2015. "A Practical Approach to Financial Crisis Indicators Based on Random Matrices," Documents de travail du Centre d'Economie de la Sorbonne 15049, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
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• Bertrand, Philippe & Lapointe, Vincent, 2015. "How performance of risk-based strategies is modified by socially responsible investment universe?," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 175-190.
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• Chevillon, Guillaume & Hecq , Alain & Laurent, Sébastien, 2015. "Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence," ESSEC Working Papers WP1507, ESSEC Research Center, ESSEC Business School.
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• Alexander N. Bogin & Stephen D. Bruestle & William M. Doerner, 2017. "How Low Can House Prices Go? Estimating a Conservative Lower Bound," The Journal of Real Estate Finance and Economics, Springer, vol. 54(1), pages 97-116, January.
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• Nordvig, Jens, 2015. "Legal Risk Premia During the Euro-Crisis: The Role of Credit and Redenomination Risk," Discussion Papers of Business and Economics 10/2015, University of Southern Denmark, Department of Business and Economics.
• Brännäs, Kurt & Machava, Agostinho, 2015. "Time Series Modelling of Daily Metical/Rand Exchange Rate Returns, 1996-2014," Umeå Economic Studies 909, Umeå University, Department of Economics.
• Machava, Agostinho & Brännäs, Kurt, 2015. "Mozambican Monetary Policy and the Yield Curve of Treasury Bills - An Empirical Study," Umeå Economic Studies 918, Umeå University, Department of Economics.
• Ishihara, Tsunehiro, 2015. "Estimation of Generalized Realized Stochastic Volatility Model: An Application to Calendar Effect of Nikkei 225," Economic Review, Hitotsubashi University, vol. 66(1), pages 1-18, January.
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• Silvia DEDU, 2015. "The Impact of Solvency II Directive upon the Perspectives of the Horizon 2020 Programme," Romanian Journal of Economics, Institute of National Economy, vol. 41(2(50)), pages 145-155, december.
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• Viorica CHIRILA & Ciprian CHIRILA, 2015. "The Steel European Stock Market Efficiency," CES Working Papers, Centre for European Studies, Alexandru Ioan Cuza University, vol. 7(4), pages 873-880, December.
• Robert Elliott & Jia Shen, 2015. "Dynamic optimal capital structure with regime switching," Annals of Finance, Springer, vol. 11(2), pages 199-220, May.
• Robert Elliott & Jia Shen, 2015. "Credit risk and contagion via self-exciting default intensity," Annals of Finance, Springer, vol. 11(3), pages 319-344, November.
• Niyati Bhanja & Arif Dar, 2015. "“The beauty of gold is, it loves bad news”: evidence from three major gold consumers," Economic Change and Restructuring, Springer, vol. 48(3), pages 187-208, November.
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• Ruoyang Li & Alva Svoboda & Shmuel Oren, 2015. "Efficiency impact of convergence bidding in the california electricity market," Journal of Regulatory Economics, Springer, vol. 48(3), pages 245-284, December.
• Januj Juneja, 2015. "An evaluation of alternative methods used in the estimation of Gaussian term structure models," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 1-24, January.
• Meichi Huang & Chih-Chiang Wu, 2015. "Economic benefits and determinants of extreme dependences between REIT and stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 44(2), pages 299-327, February.
• Eva Liljeblom & Sabur Mollah & Patrik Rotter, 2015. "Do dividends signal future earnings in the Nordic stock markets?," Review of Quantitative Finance and Accounting, Springer, vol. 44(3), pages 493-511, April.
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• Mariano, Roberto S. & Ozmucur, Suleyman, 2015. "High-Mixed-Frequency Dynamic Latent Factor Forecasting Models for GDP in the Philippines/Modelos de factores dinámicos latentes con datos mixtos de alta frecuencia aplicados a la predicción del PIB en," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 33, pages 451-462, Mayo.
• Martínez-Preece, Marissa R. & Venegas-Martínez, Francisco, 2015. "El mercado de los fondos de pensión en Méxi-co: Del reparto a la capitalización/Pension Funds Market in Mexico: From Pay-As-You-Go to a Fully Funded Plan," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 33, pages 903-928, Septiembr.
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• Arnaud Dufays, 2016. "Evolutionary Sequential Monte Carlo Samplers for Change-Point Models," Econometrics, MDPI, Open Access Journal, vol. 4(1), pages 1-33, March.
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• Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli, 2015. "Financial connectedness among European volatility risk premia," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 15112, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
• Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli, 2015. "Financial connectedness among European volatility risk premia," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 58, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
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• Matthieu Garcin & Clément Goulet, 2015. "A fully non-parametric heteroskedastic model," Documents de travail du Centre d'Economie de la Sorbonne 15086, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
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• Harry-Paul Vander Elst, 2015. "FloGARCH: Realizing Long Memory and Asymmetries in Returns Valitility," Working Papers ECARES ECARES 2015-12, ULB -- Universite Libre de Bruxelles.
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• Robert Novy-Marx, 2015. "Backtesting Strategies Based on Multiple Signals," NBER Working Papers 21329, National Bureau of Economic Research, Inc.
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• Omar O. Chisari & Leonardo J. Mastronardi & Arturo Leonardo Vásquez Cordano & Carlos A. Romero, 2015. "Los impactos económicos de las restricciones al transporte de gas natural en el Perú: Un análisis de equilibrio general computable," Working Papers 33, Osinergmin, Gerencia de Políticas y Análisis Económico.
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• Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2015. "Volatility Jumps and Their Economic Determinants," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(1), pages 29-80.
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• Cioca Ionela Cornelia, 2015. "Analysis of Correlation between Gross Domestic Product and Value Added Tax in the European Union Countries," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 702-706, May.
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• Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2018. "Asset allocation strategies based on penalized quantile regression," Computational Management Science, Springer, vol. 15(1), pages 1-32, January.
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• Hom M Pant, 2015. "A generic approach to investment modelling in recursive dynamic CGE models," Departmental Working Papers 2015-01, The Australian National University, Arndt-Corden Department of Economics.
• Mauricio Zeballos & Carlos del Carpio, 2015. "Metal Returns, Stock Returns and Stock Market Volatility," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 38(75), pages 101-122.
• Paul Bedon Garcia & Gabriel Rodriguez, 2015. "Univariate Autoregressive Conditional Heteroskedasticity Models: An Application to the Peruvian Stock Market Returns," Documentos de Trabajo / Working Papers 2015-400, Departamento de Economía - Pontificia Universidad Católica del Perú.
• Patricia Lengua & Cristian Bayes & Gabriel Rodríguez, 2015. " A Stochastic Volatility Model with GH Skew Student’s t-Distribution: Application to Latin-American Stock Returns," Documentos de Trabajo / Working Papers 2015-405, Departamento de Economía - Pontificia Universidad Católica del Perú.
• Yuanhua Feng & Chen Zhou, 2015. "An iterative plug-in algorithm for realized kernels," Working Papers CIE 87, Paderborn University, CIE Center for International Economics.
• Peter Julian Cayton & Dennis Mapa, 2015. "Time-varying conditional Johnson Su density in Value-at-Risk methodology," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, vol. 51(1), pages 23-44, June.
• Langedijk, Sven & Monokroussos, George & Papanagiotou, Evangelia, 2015. "Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues," MPRA Paper 61865, University Library of Munich, Germany.
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• Hina, Hafsa & Qayyum, Abdul, 2015. "Exchange Rate Determination and Out of Sample Forecasting: Cointegration Analysis," MPRA Paper 61997, University Library of Munich, Germany.
• Bonga-Bonga, Lumengo & Mwamba, Muteba, 2015. "A multivariate model for the prediction of stock returns in an emerging market: A comparison of parametric and non-parametric models," MPRA Paper 62028, University Library of Munich, Germany.
• Hu, Zongyi & Li, Chao, 2015. "Investor Sentiment and Irrational Speculative Bubble Model," MPRA Paper 62108, University Library of Munich, Germany.
• Maheu, John M. & Yang, Qiao, 2016. "An infinite hidden Markov model for short-term interest rates," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 202-220.
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• Mukhoti, Sujay & Guhathakurta, Kousik, 2015. "Product market performance and capital structure: A Hierarchical Bayesian semi-parametric panel regression model," MPRA Paper 62517, University Library of Munich, Germany.
• Jones, Clive, 2015. "Predictability of the daily high and low of the S&P 500 index," MPRA Paper 62664, University Library of Munich, Germany.
• Djennad, Abdelmajid & Rigby, Robert & Stasinopoulos, Dimitrios & Voudouris, Vlasios & Eilers, Paul, 2015. "Beyond location and dispersion models: The Generalized Structural Time Series Model with Applications," MPRA Paper 62807, University Library of Munich, Germany.
• Lumengo Bonga-Bonga & Ekerete Umoetok, 2016. "The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa," Applied Economics, Taylor & Francis Journals, vol. 48(42), pages 3999-4018, September.
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• Didenko Alexander & Dubovikov Mikhail & Poutko Boris, 2015. "Forecasting coherent volatility breakouts," Вестник Финансового университета, CyberLeninka;Федеральное государственное образовательное бюджетное учреждение высшего профессионального образования «Финансовый университет при Правительстве Российской Федерации» (Финансовый университет), issue 1 (85), pages 30-36.
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• Cayton, Peter Julian & Ho, Kin-Yip, 2015. "A Nonparametric Option Pricing Model Using Higher Moments," MPRA Paper 79134, University Library of Munich, Germany.
  • Cayton, Peter Julian, 2015. "A Nonparametric Option Pricing Model Using Higher Moments," MPRA Paper 63755, University Library of Munich, Germany.
• Park, Kwang Suk & Masih, Mansur, 2015. "Does the shariah index move together with the conventional equity indexes?," MPRA Paper 63925, University Library of Munich, Germany.
• Rahim, Yasmin & Masih, Mansur, 2015. "Is gold good for hedging? lessons from the Malaysian sectoral stock indices," MPRA Paper 63928, University Library of Munich, Germany.
• Vardhan, Harsh & Sinha, Pankaj, 2015. "Influence of Macroeconomic Variable on Indian Stock Movement: Cointegration Approach," MPRA Paper 64369, University Library of Munich, Germany, revised 10 May 2015.
• Anatoly A. Peresetsky & Ruslan I. Yakubov, 2017. "Autocorrelation in an unobservable global trend: does it help to forecast market returns?," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 7(1/2), pages 152-169.
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• Haytem Ahmed Troug & Rashid Sbia, 2015. "The Relationship between Banking Competition and Stability in Developing Countries: The Case of Libya," International Journal of Economics and Financial Issues, Econjournals, vol. 5(3), pages 772-779.
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• Troug, Haytem Ahmed & Sbia, Rashid, 2015. "Testing for the Presence of Asymmetric Information in the Oil Market: A VAR Approach," MPRA Paper 64933, University Library of Munich, Germany.
• Othman, Arshad Nuval & Masih, Mansur, 2015. "Do profit and loss sharing (PLS) deposits also affect PLS financing? Evidence from Malaysia based on DOLS, FMOLS and system GMM techniques," MPRA Paper 65224, University Library of Munich, Germany.
• Seho, Mirzet & Masih, Mansur, 2015. "Risk sharing financing of Islamic banks: interest free or interest based?," MPRA Paper 65230, University Library of Munich, Germany.
• Buriev, Abdul Aziz & Masih, Mansur, 2015. "Impact of Arab uprising on Portfolio diversification benefits at different investment horizons for the Turkish investors in relation to the regional stock markets: Multivariate GARCH-DCC and Wavelet c," MPRA Paper 65233, University Library of Munich, Germany.
• Hashim, Khairul Khairiah & Masih, Mansur, 2015. "Stock market volatility and exchange rates: MGARCH-DCC and wavelet approaches," MPRA Paper 65234, University Library of Munich, Germany.
• Morad, Shahidah Nailul & Masih, Mansur, 2015. "Islamic REIT response to macroeconomic factors: a markov regime switching auto regressive approach," MPRA Paper 65237, University Library of Munich, Germany.
• Mobin, Mohammad Ashraful & Alhabshi, Syed Othman & Masih, Mansur, 2015. "Religiosity and threshold effect in social and financial performance of microfinance institutions: System GMM and non-linear threshold approaches," MPRA Paper 65242, University Library of Munich, Germany.
• Rahim, Yasmin Abd & Masih, Mansur, 2015. "Is Islamic stock index secured against interest rate risk? Evidence from Wavelet analysis," MPRA Paper 65259, University Library of Munich, Germany.
• Kamarudin, Eka Azrin & Masih, Mansur, 2015. "Islamic versus conventional stock market and its co-movement with crude oil: a wavelet analysis," MPRA Paper 65261, University Library of Munich, Germany.
• Dwihasri, Dhaifina & Masih, Mansur, 2015. "Should investors diversify their portfolios with stocks from major trading countries? A comparative multivariate GARCH-DCC and wavelet correlation analysis," MPRA Paper 65278, University Library of Munich, Germany.
• Bensalma, Ahmed, 2015. "New Fractional Dickey and Fuller Test," MPRA Paper 65282, University Library of Munich, Germany.
• Uddin, Md Akther & Masih, Mansur, 2015. "Finance, growth and human development: An Islamic economic development perspective," MPRA Paper 65818, University Library of Munich, Germany.
• Tariq, Anam & Masih, Mansur, 2015. "Analyzing the impact of financial sector growth on female empowerment: A focus on the United States of America," MPRA Paper 65826, University Library of Munich, Germany.
• Chowdhury, Mohammad Ashraful Ferdous & Masih, Mansur, 2015. "Socially responsible investment and Shariah-compliant investment compared: Can investors benefit from diversification? An ARDL approach," MPRA Paper 65828, University Library of Munich, Germany.
• Ismail, Mohamed Ayaz Mohamed & Masih, Mansur, 2015. "Causality between financial development and economic growth, and the Islamic finance imperative: A case study of Indonesia," MPRA Paper 65831, University Library of Munich, Germany.
• Momin, Ebaad & Masih, Mansur, 2015. "Do US policy uncertainty, leveraging costs and global risk aversion impact emerging market equities? An application of bounds testing approach to the BRICS," MPRA Paper 65834, University Library of Munich, Germany.
• Najibullah, Syed & Masih, Mansur, 2015. "Remittances and economic growth nexus: Do financial development and investment act as transmission channels? An ARDL bounds approach," MPRA Paper 65837, University Library of Munich, Germany.
• Gulzar, Rosana & Masih, Mansur, 2015. "Islamic banking: 40 years later, still interest-based? Evidence from Malaysia," MPRA Paper 65840, University Library of Munich, Germany.
• Shamsudheen, Shinaj Valangattil & Masih, Mansur, 2015. "Does the conventional benchmark prop up non-performing loans in Islamic banks? A case study of Malaysia with ARDL Approach," MPRA Paper 65845, University Library of Munich, Germany.
• Jailani, Mohamad Zaky & Masih, Mansur, 2015. "Determining the relationship between financial development and economic growth: An application of ARDL technique to Singapore," MPRA Paper 65847, University Library of Munich, Germany.
• Bonga-Bonga, Lumengo, 2018. "Uncovering equity market contagion among BRICS countries: An application of the multivariate GARCH model," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 36-44.
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• Awaludin, Fadhlee & Masih, Mansur, 2015. "Sukuk pricing dynamics - factors influencing yield curve of the Malaysian Sukuk," MPRA Paper 66355, University Library of Munich, Germany.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Quantum macroeconomics theory," MPRA Paper 65442, University Library of Munich, Germany.
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• Sinha, Pankaj & Agnihotri, Shalini, 2015. "Macroeconomic risk and firms financing decision: An empirical panel data investigation using system GMM," MPRA Paper 67088, University Library of Munich, Germany, revised 30 Sep 2015.
• Francq, Christian & Sucarrat, Genaro, 2015. "Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns," MPRA Paper 67140, University Library of Munich, Germany.
• Francq, Christian & Zakoian, Jean-Michel, 2015. "Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels," MPRA Paper 67195, University Library of Munich, Germany.
• Situngkir, Hokky, 2015. "On Capturing the Spreading Dynamics over Trading Prices in the Market," MPRA Paper 67247, University Library of Munich, Germany.
• Francq, Christian & Jiménez Gamero, Maria Dolores & Meintanis, Simos, 2015. "Tests for sphericity in multivariate garch models," MPRA Paper 67411, University Library of Munich, Germany.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
• Bernard Njindan Iyke, 2015. "On the Term Structure of South African Interest Rates: Cointegration and Threshold Adjustment," Working Papers 557, Economic Research Southern Africa.
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• Francq, Christian & Zakoian, Jean-Michel, 2015. "Joint inference on market and estimation risks in dynamic portfolios," MPRA Paper 68100, University Library of Munich, Germany.
• Chkili, Walid, 2015. "Gold-oil prices co-movements and portfolio diversification implications," MPRA Paper 68110, University Library of Munich, Germany.
• Jia Liu & John M. Maheu, 2018. "Improving Markov switching models using realized variance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(3), pages 297-318, April.
  • Liu, Jia & Maheu, John M, 2015. "Improving Markov switching models using realized variance," MPRA Paper 71120, University Library of Munich, Germany.
• Fengler, Matthias R. & Herwartz, Helmut, 2015. "Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models," Economics Working Paper Series 1517, University of St. Gallen, School of Economics and Political Science.
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• Ellul, Reuben, 2015. "Analysing correlation between the MSE index and global stock markets," MPRA Paper 72464, University Library of Munich, Germany.
• Cayton, Peter Julian, 2015. "A Nonparametric Option Pricing Model Using Higher Moments," MPRA Paper 63755, University Library of Munich, Germany.
  • Cayton, Peter Julian & Ho, Kin-Yip, 2015. "A Nonparametric Option Pricing Model Using Higher Moments," MPRA Paper 79134, University Library of Munich, Germany.
• Heidari, Hassan & Ebrahimi Torki, Mahyar & Babaei Balderlou, Saharnaz, 2015. "How Do Different Oil Price Shocks Affect the Relationship Between Oil and Stock Markets?," MPRA Paper 80273, University Library of Munich, Germany, revised 24 Dec 2016.
• Angelidis, Timotheos & Degiannakis, Stavros & Filis, George, 2015. "US stock market regimes and oil price shocks," Global Finance Journal, Elsevier, vol. 28(C), pages 132-146.
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• Daniela Osterrieder & Daniel Ventosa-Santaulària & J. Eduardo Vera-Valdés, 2015. "Unbalanced Regressions and the Predictive Equation," CREATES Research Papers 2015-09, Department of Economics and Business Economics, Aarhus University.
• Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2016. "Dynamic Factor Models for the Volatility Surface," Advances in Econometrics,in: Dynamic Factor Models, volume 35, pages 127-174 Emerald Publishing Ltd.
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• Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2016. "Exploiting the errors: A simple approach for improved volatility forecasting," Journal of Econometrics, Elsevier, vol. 192(1), pages 1-18.
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• Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun, 2015. "Effects of macroeconomic uncertainty on the stock and bond markets," Finance Research Letters, Elsevier, vol. 13(C), pages 10-16.
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• Nicholas M. Kiefer & C. Erik Larson, 2015. "Counting Processes for Retail Default Modeling," CREATES Research Papers 2015-17, Department of Economics and Business Economics, Aarhus University.
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• Markku Lanne & Henri Nyberg, 2015. "Nonlinear dynamic interrelationships between real activity and stock returns," CREATES Research Papers 2015-36, Department of Economics and Business Economics, Aarhus University.
• Yunus Emre Ergemen & Abderrahim Taamouti, 2015. "Parametric Portfolio Policies with Common Volatility Dynamics," CREATES Research Papers 2015-41, Department of Economics and Business Economics, Aarhus University.
• Shin Kanaya, 2015. "Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach," CREATES Research Papers 2015-50, Department of Economics and Business Economics, Aarhus University.
• Suthawan Prukumpai, 2015. "Time-varying Industrial Portfolio Betas under the Regime-switching Model: Evidence from the Stock Exchange of Thailand," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, vol. 22(2), pages 54-76, December.
• Arnade, Carlos & Hoffman, Linwood, 2015. "The Impact Of Price Variability On Cash/Futures Market Relationships: Implications For Market Efficiency And Price Discovery," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 47(04), pages 539-559, November.
  • Arnade, Carlos & Hoffman, Linwood, 2015. "The Impact of Price Variability on Cash/Futures Market Relationships: Implications for Market Efficiency and Price Discovery," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 201850, Agricultural and Applied Economics Association.
• Ramsey, Ford, 2015. "Dependence in Spikes of Energy and Agricultural Prices," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205120, Agricultural and Applied Economics Association.
• Peri, Massimo, 2015. "Cliamte Variability and Agricultural Price volatility: the case of corn and soybeans," 2015 Conference, August 9-14, 2015, Milan, Italy 212623, International Association of Agricultural Economists.
• Peri, M. & Vandone, D. & Baldi, L., 2015. "Volatility Spillover between Water, Food and Energy," 2015 Conference, August 9-14, 2015, Milan, Italy 212627, International Association of Agricultural Economists.
• Costel ISTRATE & Ioan Bogdan ROBU & Mihai CARP, 2015. "Impact Of The Transition To Ifrs For The Romanian Listed Companies In Financial Distress," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 15, pages 83-102, June.
• Anne Péguin-Feissolle & Bilel Sanhaji, 2015. "Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix)," Working Papers halshs-01133751, HAL.
  • Anne Péguin-Feissolle & Bilel Sanhaji, 2015. "Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix)," AMSE Working Papers 1516, Aix-Marseille School of Economics, Marseille, France.
• Luis Varona Castillo, 2015. "Modelo de supervivencia empresarial a partir del índice Z de Altman," Working Papers 2015-46, Peruvian Economic Association.
• Fan, Jianqing & Han, Fang & Liu, Han & Vickers, Byron, 2016. "Robust inference of risks of large portfolios," Journal of Econometrics, Elsevier, vol. 194(2), pages 298-308.
  • Jianqing Fan & Fang Han & Han Liu & Byron Vickers, 2015. "Robust Inference of Risks of Large Portfolios," Papers 1501.02382, arXiv.org.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014. "Mergers and acquisitions transactions strategies in diffusion - type financial systems in highly volatile global capital markets with nonlinearities," MPRA Paper 52697, University Library of Munich, Germany.
  • Dimitri O. Ledenyov & Viktor O. Ledenyov, 2015. "Mergers and acquisitions transactions strategies in diffusion - type financial systems in highly volatile global capital markets with nonlinearities," Papers 1502.02537, arXiv.org.
• Raphael Douady & Antoine Kornprobst, 2018. "An Empirical Approach To Financial Crisis Indicators Based On Random Matrices," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(03), pages 1-22, May.
  • Antoine Kornprobst & Raphael Douady, 2015. "An Empirical Approach to Financial Crisis Indicators Based on Random Matrices," Papers 1506.00806, arXiv.org, revised Sep 2017.
• Filip Smolik & Lukas Vacha, 2015. "Time-scale analysis of co-movement in EU sovereign bond markets," Papers 1506.03347, arXiv.org, revised Mar 2016.
• Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2018. "Asset allocation strategies based on penalized quantile regression," Computational Management Science, Springer, vol. 15(1), pages 1-32, January.
  • Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2015. "Asset Allocation Strategies Based On Penalized Quantile Regression," "Marco Fanno" Working Papers 0199, Dipartimento di Scienze Economiche "Marco Fanno".
  • Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2015. "Asset Allocation Strategies Based on Penalized Quantile Regression," Papers 1507.00250, arXiv.org.
• Potiron, Yoann & Mykland, Per A., 2017. "Estimation of integrated quadratic covariation with endogenous sampling times," Journal of Econometrics, Elsevier, vol. 197(1), pages 20-41.
  • Yoann Potiron & Per Mykland, 2015. "Estimation of integrated quadratic covariation with endogenous sampling times," Papers 1507.01033, arXiv.org, revised Nov 2016.
• Jozef Baruník & Tomáš Křehlík, 2018. "Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 16(2), pages 271-296.
  • Jozef Barunik & Tomas Krehlik, 2015. "Measuring the frequency dynamics of financial connectedness and systemic risk," Papers 1507.01729, arXiv.org, revised Dec 2017.
• Conrad, Christian & Loch, Karin, 2015. "The variance risk premium and fundamental uncertainty," Economics Letters, Elsevier, vol. 132(C), pages 56-60.
  • Conrad, Christian & Loch, Karin, 2015. "The Variance Risk Premium and Fundamental Uncertainty," Working Papers 0583, University of Heidelberg, Department of Economics.
• Sara Cecchetti & Filippo Natoli & Laura Sigalotti, 2015. "Tail comovement in option-implied inflation expectations as an indicator of anchoring," Temi di discussione (Economic working papers) 1025, Bank of Italy, Economic Research and International Relations Area.
  • Natoli, Filippo & Sigalotti, Laura, 2017. "Tail co-movement in inflation expectations as an indicator of anchoring," Working Paper Series 1997, European Central Bank.
• Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno, 2015. "Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," BORRADORES DE ECONOMIA 014112, BANCO DE LA REPÚBLICA.
  • Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno, 2015. "Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," Borradores de Economia 919, Banco de la Republica de Colombia.
• Hideyuki Takamizawa, 2015. "Predicting Interest Rate Volatility Using Information on the Yield Curve," International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 347-386, September.
  • Takamizawa, Hideyuki, 2012. "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series G-1-3, Hitotsubashi University Center for Financial Research.
  • Takamizawa, Hideyuki, 2015. "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series G-1-9, Hitotsubashi University Center for Financial Research.
• Bo Tang, 2015. "Exchange Rate Exposure of Chinese Firms at the Industry and Firm Level," Review of Development Economics, Wiley Blackwell, vol. 19(3), pages 592-607, August.
  • Tang, Bo, 2014. "Exchange Rate Exposure of Chinese Firms at the Industry and Firm level," MPRA Paper 66008, University Library of Munich, Germany, revised Apr 2015.
• Gurrola-Perez, Pedro & Murphy, David, 2015. "Filtered historical simulation Value-at-Risk models and their competitors," Bank of England working papers 525, Bank of England.
• Harris, Richard D. F. & Nguyen, Linh H & Stoja, Evarist, 2015. "Extreme downside risk and financial crises," Bank of England working papers 547, Bank of England.
• Raczko, Marek, 2015. "Volatility contagion: new evidence from market pricing of volatility risk," Bank of England working papers 552, Bank of England.
• Aymen Ben Rejeb & Adel Boughrara, 2015. "Financial integration in emerging market economies: Effects on volatility transmission and contagion," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 15(3), pages 161-179, September.
  • Ben Rejeb, Aymen & Boughrara, Adel, 2014. "Financial integration in emerging market economies: effects on volatility transmission and contagion," MPRA Paper 61519, University Library of Munich, Germany.
• Sensoy, Ahmet & Hacihasanoglu, Erk & Nguyen, Duc Khuong, 2015. "Dynamic convergence of commodity futures: Not all types of commodities are alike," Resources Policy, Elsevier, vol. 44(C), pages 150-160.
  • Ahmet Sensoy & Erk Hacihasanoglu & Duc Khuong Nguyen, 2015. "Dynamic convergence of commodity futures: Not all types of commodities are alike," Working Paper 25, Research and Business Development Department, Borsa Istanbul.
• Ahmet Sensoy & Kevser Ozturk & Erk Hacihasanoglu & Benjamin M. Tabak, 2015. "Not all emerging markets are the same: A classification approach with correlation based networks," Working Paper 26, Research and Business Development Department, Borsa Istanbul.
• Sensoy, Ahmet & Hacihasanoglu, Erk & Rostom, Ahmed, 2015. "European economic and monetary union sovereign debt markets," Policy Research Working Paper Series 7149, The World Bank.
  • Ahmet Sensoy & Ahmed Rostom & Erk Hacihasanoglu, 2015. "European Economic and Monetary Union Sovereign Debt Markets," Working Paper 27, Research and Business Development Department, Borsa Istanbul.
• Ahmet Sensoy, 2015. "Systemic Risk in Conventional vs Islamic Equity Markets," Working Paper 28, Research and Business Development Department, Borsa Istanbul.
• Ahmet Sensoy & Veysel Eraslan & Mutahhar Erturk, 2015. "Do sovereign rating announcements have an impact on regional stock market co-movements? The case of Central and Eastern Europe," Working Paper 30, Research and Business Development Department, Borsa Istanbul.
• Fernanda Maria Muller & Fábio Mariano Bayer, 2015. "Numerical evaluation of likelihood inferences in Beta-t-Skew-EGARCH models," Brazilian Review of Finance, Brazilian Society of Finance, vol. 13(1), pages 40-73.
• Alberto Ronchi Neto & Osvaldo Candido, 2015. "Evaluating interest rate term-structure using extensions of the Diebold and Li three factors model," Brazilian Review of Finance, Brazilian Society of Finance, vol. 13(2), pages 251-287.
• Felipe Stona & Jean Amann & Maurício Delago Morais & Divanildo Triches & Igor Clemente Morais, 2015. "Title: analysis of term structure of interest rates in Latin America countries from 2006 to 2014," Brazilian Review of Finance, Brazilian Society of Finance, vol. 13(4), pages 650-690.
• Richard Harris & Linh Nguyen & Evarist Stoja, 2015. "Extreme Downside Risk and Market Turbulence," Bristol Accounting and Finance Discussion Papers 15/2, School of Economics, Finance, and Management, University of Bristol, UK.
• Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2016. "Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers," Journal of Financial Markets, Elsevier, vol. 27(C), pages 55-78.
  • Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2013. "Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?," Papers 1308.1221, arXiv.org, revised Jul 2014.
  • Jozef Baruník & Evžen Kocenda & Lukáš Vácha, 2015. "Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover," CESifo Working Paper Series 5305, CESifo Group Munich.
  • Barunik, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2014. "Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?," FinMaP-Working Papers 13, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2016. "Gold, oil, and stocks: Dynamic correlations," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 186-201.
  • Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2013. "Gold, Oil, and Stocks," Papers 1308.0210, arXiv.org, revised Mar 2014.
  • Jozef Baruník & Evžen Kocenda & Lukáš Vácha, 2015. "Gold, Oil, and Stocks: Dynamic Correlations," CESifo Working Paper Series 5333, CESifo Group Munich.
  • Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2014. "Gold, Oil, and Stocks," FinMaP-Working Papers 14, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Marc S. PAOLELLA & Pawel POLAK, 2015. "Portfolio Selection with Active Risk Monitoring," Swiss Finance Institute Research Paper Series 15-17, Swiss Finance Institute.
• Cristina CIUMAȘ & Diana-Maria CHIȘ, 2015. "Modelling The Guarantee Liability Under Unit-Linked Contracts," SEA - Practical Application of Science, Fundația Română pentru Inteligența Afacerii, Editorial Department, issue 7, pages 165-170, April.
• Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno, 2015. "Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," Borradores de Economia 919, Banco de la Republica de Colombia.
  • Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno, 2015. "Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," BORRADORES DE ECONOMIA 014112, BANCO DE LA REPÚBLICA.
• Fernando Uscátegui & Mike Woodcock & Carlos Méndez, 2015. "An Approach About Monetary Policy Risk Balance In Colombia: A Multivariate Analysis Based On Time Series," ECONOGRAFOS - ESCUELA DE ECONOMÍA 014168, UNIVERSIDAD NACIONAL DE COLOMBIA -FCE - CID.
• G.A. Meagher & R.A. Wilson & Hector Pollitt, 2015. "The Europe 2020 Strategy and Skill Mismatch," Centre of Policy Studies/IMPACT Centre Working Papers g-259, Victoria University, Centre of Policy Studies/IMPACT Centre.
• Luc Bauwens & Jean-François Carpantier & Arnaud Dufays, 2017. "Autoregressive Moving Average Infinite Hidden Markov-Switching Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 162-182, April.
  • Bauwens, Luc & Carpantier, Jean-François & Dufays, Arnaud, 2015. "Autoregressive moving average infinite hidden markov-switching models," CORE Discussion Papers 2015007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Luc BAUWENS & Jean-François CARPENTIER & Arnaud DUFAYS, 2017. "Autoregressive moving average infinite hidden Markov-switching models," CORE Discussion Papers RP 2836, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Luc Bauwens & Jean-François Carpantier & Arnaud Dufays, 2017. "Autoregressive Moving Average Infinite Hidden Markov-Switching Models," Post-Print hal-01795051, HAL.
• Deschamps, P., 2015. "Alternative Formulation of the Leverage Effect in a Stochastic Volatility Model with Asymmetric Heavy-Tailed Errors," CORE Discussion Papers 2015020, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Hafner, Christian M. & Preminger, Arie, 2015. "An ARCH model without intercept," Economics Letters, Elsevier, vol. 129(C), pages 13-17.
  • Christian M. HAFNER & Arie PREMINGER, 2015. "An ARCH Model Without Intercept," CORE Discussion Papers RP 2770, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Mazza, Paolo & Petitjean, Mikael, 2015. "How integrated is the European carbon derivatives market?," Finance Research Letters, Elsevier, vol. 15(C), pages 18-30.
  • Paolo Mazza & Mikael Petitjean, 2015. "How integrated is the European carbon derivatives market?," Post-Print hal-01526028, HAL.
  • Paolo MAZZA & Mikael PETITJEAN, 2015. "How integrated is the European carbon derivatives market?," CORE Discussion Papers RP 2777, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Sabina Nowak & Joanna Olbrys, 2015. "Day-of-the-Week Effects in Liquidity on the Warsaw Stock Exchange," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 15, pages 49-69.
• Elzbieta Szulc & Dagna Wleklinska, 2015. "Spatio-temporal Analysis of Convergence of Development Level of Selected Stock Exchanges in the Period of 2004–2012," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 15, pages 5-26.
• Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2015. "Regression-based estimation of dynamic asset pricing models," Journal of Financial Economics, Elsevier, vol. 118(2), pages 211-244.
  • Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2011. "Regression-based estimation of dynamic asset pricing models," Staff Reports 493, Federal Reserve Bank of New York, revised 01 Dec 2014.
  • Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2015. "Regression Based Estimation of Dynamic Asset Pricing Models," CEPR Discussion Papers 10449, C.E.P.R. Discussion Papers.
• Benedikt Rotermann & Bernd Wilfling, 2015. "Estimating rational stock-market bubbles with sequential Monte Carlo methods," CQE Working Papers 4015, Center for Quantitative Economics (CQE), University of Muenster.
• de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
  • Ruiz, Esther & Hotta, Luiz & Almeida, Daniel De, 2015. "MGARCH models: tradeoff between feasibility and flexibility," DES - Working Papers. Statistics and Econometrics. WS ws1516, Universidad Carlos III de Madrid. Departamento de Estadística.
• Zu, Yang & Boswijk, H. Peter, 2017. "Consistent nonparametric specification tests for stochastic volatility models based on the return distribution," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 53-75.
  • Zu, Y., 2015. "Consistent nonparametric specification tests for stochastic volatility models based on the return distribution," Working Papers 15/02, Department of Economics, City University London.
• Arnade, Carlos & Hoffman, Linwood, 2015. "The Impact Of Price Variability On Cash/Futures Market Relationships: Implications For Market Efficiency And Price Discovery," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 47(04), pages 539-559, November.
  • Arnade, Carlos & Hoffman, Linwood, 2015. "The Impact of Price Variability on Cash/Futures Market Relationships: Implications for Market Efficiency and Price Discovery," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 201850, Agricultural and Applied Economics Association.
• Héam, Jean-Cyprien, 2015. "Analyse et mesure du risque systémique," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/14985 edited by Gourieroux, Christian.
• Fredj Jawadi & Georges Prat, 2017. "Equity prices and fundamentals: a DDM–APT mixed approach," Review of Quantitative Finance and Accounting, Springer, vol. 49(3), pages 661-695, October.
  • , 2015. "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," Working Papers 2015-630, Department of Research, Ipag Business School.
  • Fredj Jawadi & Georges Prat, 2015. "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," EconomiX Working Papers 2015-16, University of Paris Nanterre, EconomiX.
• Golinski, Adam & Madeira, Joao & Rambaccussing, Dooruj, 2014. "Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices," SIRE Discussion Papers 2015-79, Scottish Institute for Research in Economics (SIRE).
  • Adam Goliński & João Madeira & Dooruj Rambaccussing, 2015. "Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices," Dundee Discussion Papers in Economics 284, Economic Studies, University of Dundee.
• Kutluk Kaðan SÜMER, 2015. "Effectiveness of technical analysis indicators over stock return: A Panel Data Approach," Eurasian Eononometrics, Statistics and Emprical Economics Journal, Eurasian Academy Of Sciences, vol. 1(1), pages 43-56, April.
• Declerck , Francis & Indjehagopian , Jean-Pierre & Bellocq , Flavien, 2015. "Relation entre le prix du pétrole et les cours boursiers des grandes compagnies pétrolières mondiales," ESSEC Working Papers WP1504, ESSEC Research Center, ESSEC Business School.
• Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2015. "Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence," Working Papers hal-01158524, HAL.
  • Chevillon, Guillaume & Hecq , Alain & Laurent, Sébastien, 2015. "Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence," ESSEC Working Papers WP1507, ESSEC Research Center, ESSEC Business School.
  • Chevillon G. & Hecq A.W. & Laurent S.F.J.A., 2015. "Long memory through marginalization of large systems and hidden cross-section dependence," Research Memorandum 014, Maastricht University, Graduate School of Business and Economics (GSBE).
• De Bruyckere, Valerie, 2015. "Systemic risk rankings and network centrality in the European banking sector," Working Paper Series 1848, European Central Bank.
• Fethi Belhaj & Ezzeddine Abaoub, 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," International Journal of Economics and Financial Issues, Econjournals, vol. 5(2), pages 354-364.
• Haytem Ahmed Troug & Rashid Sbia, 2015. "Testing for the Presence of Asymmetric Information in the Oil Market: A Vector Autoregression Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 5(3), pages 753-762.
• Haytem Ahmed Troug & Rashid Sbia, 2015. "The Relationship between Banking Competition and Stability in Developing Countries: The Case of Libya," International Journal of Economics and Financial Issues, Econjournals, vol. 5(3), pages 772-779.
  • Troug, Haytem Ahmed & Sbia, Rashid, 2015. "The Relationship between Banking Competition and Stability in Developing Countries: The Case of Libya," MPRA Paper 64932, University Library of Munich, Germany.
• Berna Aydogan & Istemi Berk, 2015. "Crude Oil Price Shocks and Stock Returns: Evidences from Turkish Stock Market under Global Liquidity Conditions," International Journal of Energy Economics and Policy, Econjournals, vol. 5(1), pages 54-68.
• Saleh Mothana Obadi & Matej Korcek, 2015. "Investigation of Driving Forces of Energy Consumption in European Union 28 Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 5(2), pages 422-432.
• Pasrun Adam & Usman Rianse & Edi Cahyono & Manat Rahim, 2015. "Modeling of the Dynamics Relationship between World Crude Oil Prices and the Stock Market in Indonesia," International Journal of Energy Economics and Policy, Econjournals, vol. 5(2), pages 550-557.
• Samet Günay, 2015. "Markov Regime Switching Generalized Autoregressive Conditional Heteroskedastic Model and Volatility Modeling for Oil Returns," International Journal of Energy Economics and Policy, Econjournals, vol. 5(4), pages 979-985.
• Mesut Balýbey, 2015. "Relationships among CO2 Emissions, Economic Growth and Foreign Direct Investment and the Environmental Kuznets Curve Hypothesis in Turkey," International Journal of Energy Economics and Policy, Econjournals, vol. 5(4), pages 1042-1049.
• Liu, Xiaochun & Luger, Richard, 2015. "Unfolded GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 186-217.
• Boudreault, Mathieu & Gauthier, Geneviève & Thomassin, Tommy, 2015. "Estimation of correlations in portfolio credit risk models based on noisy security prices," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 334-349.
• King, Daniel & Botha, Ferdi, 2015. "Modelling stock return volatility dynamics in selected African markets," Economic Modelling, Elsevier, vol. 45(C), pages 50-73.
  • Daniel King and Ferdi Botha, 2014. "Modelling Stock Return Volatility Dynamics in Selected African Markets," Working Papers 410, Economic Research Southern Africa.
• Friedman, Joseph & Shachmurove, Yochanan, 2015. "The responses of the prime rate to change in policies of the Federal Reserve," Economic Modelling, Elsevier, vol. 46(C), pages 407-411.
  • Joseph Friedman & Yochanan Shachmurove, 2014. "The Responses of the Prime Rate to a Change in Policies of the Federal Reserve," DETU Working Papers 1405, Department of Economics, Temple University.
• Hoang, Thi-Hong-Van & Wong, Wing-Keung & Zhu, Zhenzhen, 2015. "Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange," Economic Modelling, Elsevier, vol. 50(C), pages 200-211.
• Billio, Monica & Caporin, Massimiliano & Costola, Michele, 2015. "Backward/forward optimal combination of performance measures for equity screening," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 63-83.
  • Monica Billio & Massimiliano Caporin & Michele Costola, 2012. "Backward/forward optimal combination of performance measures for equity screening," Working Papers 2012_13, Department of Economics, University of Venice "Ca' Foscari".
• Hafner, Christian M. & Preminger, Arie, 2015. "An ARCH model without intercept," Economics Letters, Elsevier, vol. 129(C), pages 13-17.
  • Christian M. HAFNER & Arie PREMINGER, 2015. "An ARCH Model Without Intercept," CORE Discussion Papers RP 2770, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
• Bekiros, Stelios & Gupta, Rangan, 2015. "Predicting stock returns and volatility using consumption-aggregate wealth ratios: A nonlinear approach," Economics Letters, Elsevier, vol. 131(C), pages 83-85.
  • Stelios Bekiros & Rangan Gupta, 2015. "Predicting Stock Returns and Volatility Using Consumption-Aggregate Wealth Ratios: A Nonlinear Approach," Working Papers 201505, University of Pretoria, Department of Economics.
• Conrad, Christian & Loch, Karin, 2015. "The variance risk premium and fundamental uncertainty," Economics Letters, Elsevier, vol. 132(C), pages 56-60.
  • Conrad, Christian & Loch, Karin, 2015. "The Variance Risk Premium and Fundamental Uncertainty," Working Papers 0583, University of Heidelberg, Department of Economics.
• Hansen, Peter Reinhard, 2015. "A martingale decomposition of discrete Markov chains," Economics Letters, Elsevier, vol. 133(C), pages 14-18.
  • Peter Reinhard Hansen, 2015. "A Martingale Decomposition of Discrete Markov Chains," CREATES Research Papers 2015-18, Department of Economics and Business Economics, Aarhus University.
• Herwartz, Helmut & Raters, Fabian H.C., 2015. "Copula-MGARCH with continuous covariance decomposition," Economics Letters, Elsevier, vol. 133(C), pages 73-76.
• Bao, Yong & Ullah, Aman & Wang, Yun & Yu, Jun, 2015. "Bias in the estimation of mean reversion in continuous-time Lévy processes," Economics Letters, Elsevier, vol. 134(C), pages 16-19.
• Krämer, Walter & Wied, Dominik, 2015. "A simple and focused backtest of value at risk," Economics Letters, Elsevier, vol. 137(C), pages 29-31.

2014

• Asger Lunde & Kasper V. Olesen, 2014. "Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange," CREATES Research Papers 2013-19, Department of Economics and Business Economics, Aarhus University.
• Paul Catani & Timo Teräsvirta & Meiqun Yin, 2014. "A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model," CREATES Research Papers 2014-03, Department of Economics and Business Economics, Aarhus University.
• Boudt, Kris & Laurent, Sébastien & Lunde, Asger & Quaedvlieg, Rogier & Sauri, Orimar, 2017. "Positive semidefinite integrated covariance estimation, factorizations and asynchronicity," Journal of Econometrics, Elsevier, vol. 196(2), pages 347-367.
  • Kris Boudt & Sébastien Laurent & Asger Lunde & Rogier Quaedvlieg, 2014. "Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity," CREATES Research Papers 2014-05, Department of Economics and Business Economics, Aarhus University.
  • Kris Boudt & Sébastien Laurent & Asger Lunde & Rogier Quaedvlieg & Orimar Sauri, 2017. "Positive semidefinite integrated covariance estimation, factorizations and asynchronicity," Post-Print hal-01505775, HAL.
• Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2016. "Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(3), pages 617-642.
  • Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun, 2014. "Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification," Working Papers 2014:37, Lund University, Department of Economics.
  • Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2014. "Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification," CREATES Research Papers 2014-13, Department of Economics and Business Economics, Aarhus University.
• Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2015. "Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets," Journal of Econometrics, Elsevier, vol. 187(2), pages 557-579.
  • Giuseppe Cavaliere & Morten Ø. Nielsen & A.M. Robert Taylor, 2013. "Bootstrap Score Tests For Fractional Integration In Heteroskedastic Arfima Models, With An Application To Price Dynamics In Commodity Spot And Futures Markets," Working Paper 1309, Economics Department, Queen's University.
  • Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2014. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," CREATES Research Papers 2014-22, Department of Economics and Business Economics, Aarhus University.
• Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2016. "Volatility Jumps and Their Economic Determinants," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(1), pages 29-80.
  • Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Volatility jumps and their economic determinants," CREATES Research Papers 2014-27, Department of Economics and Business Economics, Aarhus University.
• Massimiliano Caporin & Eduardo Rossi & Paolo Santucci De Magistris, 2014. "Chasing Volatility. A Persistent Multiplicative Error Model With Jumps," "Marco Fanno" Working Papers 0186, Dipartimento di Scienze Economiche "Marco Fanno".
  • Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Chasing volatility - A persistent multiplicative error model with jumps," CREATES Research Papers 2014-29, Department of Economics and Business Economics, Aarhus University.
• Massimiliano Caporin & Luca Corazzini & Michele Costola, 2014. "Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500," CREATES Research Papers 2014-33, Department of Economics and Business Economics, Aarhus University.
• Ulrich Hounyo, 2014. "Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading," CREATES Research Papers 2014-35, Department of Economics and Business Economics, Aarhus University.
• Lukasz Gatarek & Søren Johansen, 2014. "Optimal hedging with the cointegrated vector autoregressive model," Discussion Papers 14-22, University of Copenhagen. Department of Economics.
  • Søren Johansen & Lukasz Gatarek, 2014. "Optimal hedging with the cointegrated vector autoregressive model," CREATES Research Papers 2014-40, Department of Economics and Business Economics, Aarhus University.
  • Søren Johansen & Bent Nielsen, 2014. "Optimal hedging with the cointegrated vector autoregressive model," Discussion Papers 14-23, University of Copenhagen. Department of Economics.
• Tommaso Proietti, 2016. "On the Selection of Common Factors for Macroeconomic Forecasting," Advances in Econometrics,in: Dynamic Factor Models, volume 35, pages 593-628 Emerald Publishing Ltd.
  • Giovannelli, Alessandro & Proietti, Tommaso, 2014. "On the Selection of Common Factors for Macroeconomic Forecasting," MPRA Paper 60673, University Library of Munich, Germany.
  • Alessandro Giovannelli & Tommaso Proietti, 2014. "On the Selection of Common Factors for Macroeconomic Forecasting," CREATES Research Papers 2014-46, Department of Economics and Business Economics, Aarhus University.
  • Alessandro Giovannelli & Tommaso Proietti, 2015. "On the Selection of Common Factors for Macroeconomic Forecasting," CEIS Research Paper 332, Tor Vergata University, CEIS, revised 12 Mar 2015.
• Eduardo Rossi & Paolo Santucci de Magistris, 2018. "Indirect inference with time series observed with error," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 874-897, September.
  • Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Indirect inference with time series observed with error," CREATES Research Papers 2014-57, Department of Economics and Business Economics, Aarhus University.
• Marco Cipriani & Antonio Guarino, 2014. "Estimating a Structural Model of Herd Behavior in Financial Markets," American Economic Review, American Economic Association, vol. 104(1), pages 224-251, January.
  • Antonio Guarino & Marco Cipriani, 2010. "Estimating a Structural Model of Herd Behavior in Financial Markets," IMF Working Papers 10/288, International Monetary Fund.
  • Marco Cipriani & Antonio Guarino, 2012. "Estimating a structural model of herd behavior in financial markets," Staff Reports 561, Federal Reserve Bank of New York.
• Ryan Kellogg, 2014. "The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling," American Economic Review, American Economic Association, vol. 104(6), pages 1698-1734, June.
  • Ryan Kellogg, 2010. "The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling," NBER Working Papers 16541, National Bureau of Economic Research, Inc.
• Aviral Kumar TIWARI & Raveesh KRISHNANKUTTY, 2014. "Determinants of capital structure: comparison of empirical evidence for the use of different estimators," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(12(601)), pages 63-82, December.
  • tiwari, aviral kumar & krishnankutty, Raveesh, 2010. "Determinants of capital Structure: comparison of empirical evidence for the use of different estimators," MPRA Paper 48612, University Library of Munich, Germany.
• Serrao, Amilcar, 2014. "The influence of behavior factors in setting the agricultural futures market prices," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170326, Agricultural and Applied Economics Association.
• Algieri, Bernardina, 2014. "The influence of biofuels, economic and financial factors on daily returns of commodity futures prices," Discussion Papers 164963, University of Bonn, Center for Development Research (ZEF).
• Algieri, Bernardina & Kalkuhl, Matthias, 2014. "Back to the Futures: An Assessment of Commodity Market Efficiency and Forecast Error Drivers," Discussion Papers 187159, University of Bonn, Center for Development Research (ZEF).
• Andreea ROSOIU, 2014. "Monetary Policy Transmission Mechanism And Dynamic Factor Models," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 14, pages 199-206, December.
• Coulomb, Renaud & Sangnier, Marc, 2014. "The impact of political majorities on firm value: Do electoral promises or friendship connections matter?," Journal of Public Economics, Elsevier, vol. 115(C), pages 158-170.
  • Renaud Coulomb & Marc Sangnier, 2012. "Impacts of Political Majorities on French Firms: Electoral Promises or Friendship Connections?," PSE Working Papers halshs-00671405, HAL.
  • Renaud Coulomb & Marc Sangnier, 2014. "The Impact of Political Majorities on Firm Value: Do Electoral Promises or Friendship Connections Matter?," AMSE Working Papers 1414, Aix-Marseille School of Economics, Marseille, France, revised May 2014.
  • Renaud Coulomb & Marc Sangnier, 2014. "The impact of political majorities on firm value: Do electoral promises or friendship connections matter?," Post-Print halshs-01511083, HAL.
  • Renaud Coulomb & Marc Sangnier, 2014. "The impact of political majorities on firm value: Do electoral promises or friendship connections matter?," Post-Print hal-01474420, HAL.
  • Renaud Coulomb & Marc Sangnier, 2014. "The Impact of Political Majorities on Firm Value: Do Electoral Promises or Friendship Connections Matter?," Post-Print halshs-00990241, HAL.
• Gheorghe MATEI & Olivia MANOLE, 2014. "Financial Decentralization Reflected in the Revenues and Expenses of Local Budgets in Romania," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, vol. 1(16), pages 36-45, December.
• Adina Elena Danuletiu & Iulia Cristina Iuga & Adela Socol, 2014. "Investigating Banking Households' Deposits Using Vector Autoregressive Model Var," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(16), pages 1-8.
• Ioan-Bogdan Robu & Mihaela-Alina Robu & Marilena Mironiuc & Florentina Olivia Balu, 2014. "The Value Relevance of Financial Distress Risk in the Case of RASDAQ Companies," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 13(4), pages 623-642, December.
• Luis Varona Castillo & Laura Gismera Tierno & Ricardo Gimeno Nogues, 2014. "Supervivencia de las empresas según indicadores empresariales. Modelo lineal mixto con datos de panel, período 2004 al 2008, caso de España," Working Papers 2014-13, Peruvian Economic Association.
• Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2013. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers 28/13, Monash University, Department of Econometrics and Business Statistics.
  • Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2014. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Papers 1401.3911, arXiv.org, revised Mar 2016.
  • Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2014. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers 30/14, Monash University, Department of Econometrics and Business Statistics.
• Jozef Baruník, Evzen Kocenda and Lukáa Vácha, 2015. "Volatility Spillovers Across Petroleum Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
  • Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2014. "How does bad and good volatility spill over across petroleum markets?," Papers 1405.2445, arXiv.org.
  • Jozef Baruni & Evzen Kocenda & Lukas Vacha, 2015. "Volatility spillovers across petroleum markets," William Davidson Institute Working Papers Series wp1093, William Davidson Institute at the University of Michigan.
• Medovikov, Ivan, 2014. "Can analysts predict rallies better than crashes?," Finance Research Letters, Elsevier, vol. 11(4), pages 319-325.
  • Medovikov, Ivan, 2014. "Can Analysts Predict Rallies Better Than Crashes?," MPRA Paper 55942, University Library of Munich, Germany.
  • Ivan Medovikov, 2014. "Can Analysts Predict Rallies Better Than Crashes?," Papers 1405.3225, arXiv.org.
• Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014. "A Compound Multifractal Model for High-Frequency Asset Returns," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-05, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
  • Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014. "The Random Walk of High Frequency Trading," Papers 1408.3650, arXiv.org, revised Aug 2014.
• Roberto Casarin & Fabrizio Leisen & German Molina & Enrique Ter Horst, 2014. "A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities," Working Papers 2014:22, Department of Economics, University of Venice "Ca' Foscari".
  • Roberto Casarin & Fabrizio Leisen & German Molina & Enrique ter Horst, 2014. "A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities," Papers 1409.1956, arXiv.org.
• Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, 2016. "Statistical Modeling Of Stock Returns: Explanatory Or Descriptive? A Historical Survey With Some Methodological Reflections," Journal of Economic Surveys, Wiley Blackwell, vol. 30(1), pages 149-164, February.
  • Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, "undated". "Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections," DEOS Working Papers 1331, Athens University of Economics and Business.
  • Koundouri, Phoebe & Kourogenis, Nikolaos & Pittis, Nikitas, 2016. "Statistical modeling of stock returns: explanatory ordescriptive? A historical survey with some methodologicalreflections," LSE Research Online Documents on Economics 65549, London School of Economics and Political Science, LSE Library.
  • Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, 2014. "Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections," DEOS Working Papers 1410, Athens University of Economics and Business.
• Noureddine Benlagha, 2014. "Volatility Linkage of Nominal and Index-linked Bond Returns: A Multivariate BEKK-GARCH Approach," Review of Economics & Finance, Better Advances Press, Canada, vol. 4, pages 49-60, November.
• Boryana Bogdanova, 2014. "Measuring the degree of integration within a group of stock markets," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 6, pages 26-46.
• Weigand, Roland, 2014. "Matrix Box-Cox Models for Multivariate Realized Volatility," University of Regensburg Working Papers in Business, Economics and Management Information Systems 478, University of Regensburg, Department of Economics.
  • Roland Weigand, 2014. "Matrix Box-Cox Models for Multivariate Realized Volatility," Working Papers 144, Bavarian Graduate Program in Economics (BGPE).
• Roland Weigand, 2014. "Matrix Box-Cox Models for Multivariate Realized Volatility," Working Papers 144, Bavarian Graduate Program in Economics (BGPE).
  • Weigand, Roland, 2014. "Matrix Box-Cox Models for Multivariate Realized Volatility," University of Regensburg Working Papers in Business, Economics and Management Information Systems 478, University of Regensburg, Department of Economics.
• Soloschenko, Max & Weber, Enzo, 2014. "Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure," University of Regensburg Working Papers in Business, Economics and Management Information Systems 475, University of Regensburg, Department of Economics.
• Ornelas, Jose Renato Haas & Silva Jr., Antonio Francisco de Almeida, 2015. "Testing the liquidity preference hypothesis using survey forecasts," Emerging Markets Review, Elsevier, vol. 23(C), pages 173-185.
  • Jose Renato Haas Ornelas & Antonio Francisco de Almeida Silva Jr, 2014. "Testing the Liquidity Preference Hypothesis using Survey Forecasts," Working Papers Series 353, Central Bank of Brazil, Research Department.
• Michele Leonardo Bianchi & Frank J. Fabozzi & Svetlozar T. Rachev, 2014. "Calibrating the Italian smile with time-varying volatility and heavy-tailed models," Temi di discussione (Economic working papers) 944, Bank of Italy, Economic Research and International Relations Area.
• Juan R. Hernández, 2014. "Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis," Working Papers 2014-09, Banco de México.
• Santiago García-Verdú & Manuel Ramos-Francia, 2014. "Interventions and Expected Exchange Rates in Emerging Market Economies," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-34.
  • Santiago García-Verdú & Manuel Ramos Francia, 2014. "Interventions and Expected Exchange Rates in Emerging Market Economies," Working Papers 2014-11, Banco de México.
• Carlos León, 2014. "Scale-free tails in Colombian financial indexes: a primer," BORRADORES DE ECONOMIA 011144, BANCO DE LA REPÚBLICA.
  • Carlos León, 2014. "Scale-free tails in Colombian financial indexes: A primer," Borradores de Economia 812, Banco de la Republica de Colombia.
• Niccolò Battistini & Marco Pagano & Saverio Simonelli, 2014. "Systemic risk, sovereign yields and bank exposures in the euro crisis," Economic Policy, CEPR;CES;MSH, vol. 29(78), pages 203-251, April.
  • Niccolò Battistini & Marco Pagano & Saverio Simonelli, 2013. "Systemic Risk, Sovereign Yields and Bank Exposures in the Euro Crisis," CSEF Working Papers 345, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
• Robert E. Hall, 2014. "Fiscal Stability of High-Debt Nations under Volatile Economic Conditions," German Economic Review, Verein für Socialpolitik, vol. 15(1), pages 4-22, February.
  • Robert E. Hall, 2013. "Fiscal Stability of High-Debt Nations under Volatile Economic Conditions," NBER Working Papers 18797, National Bureau of Economic Research, Inc.
• Akbar Komijani & Esmaeil Naderi & Nadiya Gandali Alikhani, 2014. "A hybrid approach for forecasting of oil prices volatility," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 38(3), pages 323-340, September.
  • Komijani, Akbar & Naderi, Esmaeil & Gandali Alikhani, Nadiya, 2013. "A Hybrid Approach for Forecasting of Oil Prices Volatility," MPRA Paper 44654, University Library of Munich, Germany.
• Guimarães, Rodrigo, 2014. "Expectations, risk premia and information spanning in dynamic term structure model estimation," Bank of England working papers 489, Bank of England.
• Jan Hanousek & Evzen Kocenda & Jan Novotny, 2014. "Price jumps on European stock markets," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 14(1), pages 10-22, March.
  • Jan Hanousek & Ev??en Ko??enda & Jan Novotn??, 2013. "Price Jumps on European Stock Markets," William Davidson Institute Working Papers Series wp1059, William Davidson Institute at the University of Michigan.
• Buerhan Saiti & Obiyathulla I. Bacha & Mansur Masih, 2014. "The diversification benefits from Islamic investment during the financial turmoil: The case for the US-based equity investors," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 14(4), pages 196-211, December.
• Ahmet Sensoy & Benjamin M. Tabak, 2014. "Dynamic Spanning Tree Approach - The Case Of Asia-Pacific Stock Markets," Working Paper 15, Research and Business Development Department, Borsa Istanbul.
• Regis Augusto Ely, 2014. "Relations Between Serial Correlation and Volatility: Is There a LeBaron Effect in Brazil?," Brazilian Review of Finance, Brazilian Society of Finance, vol. 12(1), pages 13-39.
• Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014. "The Random Walk of High Frequency Trading," Papers 1408.3650, arXiv.org, revised Aug 2014.
  • Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014. "A Compound Multifractal Model for High-Frequency Asset Returns," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-05, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
• Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith, 2014. "A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices," CESifo Working Paper Series 4834, CESifo Group Munich.
  • Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith, 2015. "A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices," Working Papers 764, Queen Mary University of London, School of Economics and Finance.
  • Natalia Bailey & Vanessa Smith & M. Hashem Pesaran, 2014. "A multiple testing approach to the regularisation of large sample correlation matrices," Cambridge Working Papers in Economics 1413, Faculty of Economics, University of Cambridge.
  • Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith, 2015. "A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices," Working Papers 764, Queen Mary University of London, School of Economics and Finance.
• Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus, 2014. "Estimating the spot covariation of asset prices: Statistical theory and empirical evidence," CFS Working Paper Series 477, Center for Financial Studies (CFS).
  • Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2014. "Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence," Cambridge Working Papers in Economics 1464, Faculty of Economics, University of Cambridge.
• David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series," Tinbergen Institute Discussion Papers 14-014/III, Tinbergen Institute.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series," Working Papers in Economics 14/04, University of Canterbury, Department of Economics and Finance.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series," Documentos de Trabajo del ICAE 2014-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• McAleer, M.J., 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Econometric Institute Research Papers EI 2014-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer, 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Working Papers in Economics 14/09, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer, 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Documentos de Trabajo del ICAE 2014-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer, 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Tinbergen Institute Discussion Papers 14-025/III, Tinbergen Institute.
• Asai, Manabu & McAleer, Michael, 2015. "Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance," Journal of Econometrics, Elsevier, vol. 189(2), pages 251-262.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Tinbergen Institute Discussion Papers 14-037/III, Tinbergen Institute.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Working Papers in Economics 14/10, University of Canterbury, Department of Economics and Finance.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Documentos de Trabajo del ICAE 2014-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Econometrics, MDPI, Open Access Journal, vol. 2(2), pages 1-6, June.
  • McAleer, M.J. & Hafner, C.M., 2014. "A One Line Derivation of EGARCH," Econometric Institute Research Papers EI2014-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Working Papers in Economics 14/16, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Documentos de Trabajo del ICAE 2014-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Tinbergen Institute Discussion Papers 14-069/III, Tinbergen Institute.
• Hammoudeh, Shawkat & McAleer, Michael, 2015. "Advances in financial risk management and economic policy uncertainty: An overview," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 1-7.
  • Shawkat Hammoudeh & Michael McAleer, 2014. "Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview," Tinbergen Institute Discussion Papers 14-076/III, Tinbergen Institute.
  • Shawkat Hammoudeh & Michael McAleer, 2014. "Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview," Working Papers in Economics 14/17, University of Canterbury, Department of Economics and Finance.
  • Shawkat Hammoudeh & Michael McAleer, 2014. "Advances in Financial Risk Management andEconomic Policy Uncertainty: An Overview," Documentos de Trabajo del ICAE 2014-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Christian M. Hafner & Michael McAleer, 2014. "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Tinbergen Institute Discussion Papers 14-087/III, Tinbergen Institute.
  • Christian M. Hafner & Michael McAleer, 2014. "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Working Papers in Economics 14/19, University of Canterbury, Department of Economics and Finance.
  • Christian M. Hafner & Michael McAleer, 2014. "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Documentos de Trabajo del ICAE 2014-29, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 7(2), pages 1-30, June.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Documentos de Trabajo del ICAE 2014-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Working Papers in Economics 14/20, University of Canterbury, Department of Economics and Finance.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Tinbergen Institute Discussion Papers 14-075/III, Tinbergen Institute.
• Martinet, G.G. & McAleer, M.J., 2014. "On the Invertibility of EGARCH," Econometric Institute Research Papers EI2014-22, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Working Papers in Economics 14/21, University of Canterbury, Department of Economics and Finance.
  • Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Tinbergen Institute Discussion Papers 14-096/III, Tinbergen Institute.
  • Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Documentos de Trabajo del ICAE 2014-28, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Allen, David E. & McAleer, Michael & Powell, Robert J. & Singh, Abhay K., 2017. "Volatility Spillovers from Australia's major trading partners across the GFC," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 159-175.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's major trading partners across the GFC," Documentos de Trabajo del ICAE 2014-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's major trading partners across the GFC," Working Papers in Economics 14/23, University of Canterbury, Department of Economics and Finance.
  • David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's Major Trading Partners across the GFC," Tinbergen Institute Discussion Papers 14-106/III, Tinbergen Institute.
• Michael McAleer, 2014. "Asymmetry and Leverage in Conditional Volatility Models," Econometrics, MDPI, Open Access Journal, vol. 2(3), pages 1-6, September.
  • Michael McAleer, 2014. "Asymmetry and Leverage in Conditional Volatility Models," Tinbergen Institute Discussion Papers 14-125/III, Tinbergen Institute.
  • Michael McAleer, 2014. "Asymmetry and Leverage in Conditional Volatility Models," Working Papers in Economics 14/24, University of Canterbury, Department of Economics and Finance.
• Chang, Chia-Lin & McAleer, Michael, 2015. "Econometric analysis of financial derivatives: An overview," Journal of Econometrics, Elsevier, vol. 187(2), pages 403-407.
  • Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Documentos de Trabajo del ICAE 2014-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Working Papers in Economics 14/29, University of Canterbury, Department of Economics and Finance.
  • Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Tinbergen Institute Discussion Papers 14-153/III, Tinbergen Institute.
• Olivier Schöni, 2014. "Asymptotic Properties of Imputed Hedonic Price Indices," SERC Discussion Papers 0166, Spatial Economics Research Centre, LSE.
• Natalia Bailey & Vanessa Smith & M. Hashem Pesaran, 2014. "A multiple testing approach to the regularisation of large sample correlation matrices," Cambridge Working Papers in Economics 1413, Faculty of Economics, University of Cambridge.
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  • Michael McAleer, 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Documentos de Trabajo del ICAE 2014-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Siem Jan Koopman & Rutger Lit & André Lucas, 2014. "The Dynamic Skellam Model with Applications," Tinbergen Institute Discussion Papers 14-032/IV/DSF73, Tinbergen Institute, revised 06 Jul 2015.
• Asai, Manabu & McAleer, Michael, 2015. "Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance," Journal of Econometrics, Elsevier, vol. 189(2), pages 251-262.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Documentos de Trabajo del ICAE 2014-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Tinbergen Institute Discussion Papers 14-037/III, Tinbergen Institute.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Working Papers in Economics 14/10, University of Canterbury, Department of Economics and Finance.
• David Ardia & Lukasz T. Gatarek & Lennart Hoogerheide & Herman K. Van Dijk, 2016. "Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices," Econometrics, MDPI, Open Access Journal, vol. 4(1), pages 1-19, March.
  • Lukasz Gatarek & Lennart Hoogerheide & Herman K. van Dijk, 2014. "Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices," Tinbergen Institute Discussion Papers 14-039/III, Tinbergen Institute.
• Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Econometrics, MDPI, Open Access Journal, vol. 2(2), pages 1-6, June.
  • McAleer, M.J. & Hafner, C.M., 2014. "A One Line Derivation of EGARCH," Econometric Institute Research Papers EI2014-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Tinbergen Institute Discussion Papers 14-069/III, Tinbergen Institute.
  • Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Working Papers in Economics 14/16, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Documentos de Trabajo del ICAE 2014-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Pawel Janus & André Lucas & Anne Opschoor & Dick J.C. van Dijk, 2014. "New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels," Tinbergen Institute Discussion Papers 14-073/IV, Tinbergen Institute, revised 19 Aug 2015.
• David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 7(2), pages 1-30, June.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Documentos de Trabajo del ICAE 2014-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Tinbergen Institute Discussion Papers 14-075/III, Tinbergen Institute.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Working Papers in Economics 14/20, University of Canterbury, Department of Economics and Finance.
• Hammoudeh, Shawkat & McAleer, Michael, 2015. "Advances in financial risk management and economic policy uncertainty: An overview," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 1-7.
  • Shawkat Hammoudeh & Michael McAleer, 2014. "Advances in Financial Risk Management andEconomic Policy Uncertainty: An Overview," Documentos de Trabajo del ICAE 2014-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Shawkat Hammoudeh & Michael McAleer, 2014. "Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview," Tinbergen Institute Discussion Papers 14-076/III, Tinbergen Institute.
  • Shawkat Hammoudeh & Michael McAleer, 2014. "Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview," Working Papers in Economics 14/17, University of Canterbury, Department of Economics and Finance.
• Christian M. Hafner & Michael McAleer, 2014. "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Documentos de Trabajo del ICAE 2014-29, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Christian M. Hafner & Michael McAleer, 2014. "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Tinbergen Institute Discussion Papers 14-087/III, Tinbergen Institute.
  • Christian M. Hafner & Michael McAleer, 2014. "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Working Papers in Economics 14/19, University of Canterbury, Department of Economics and Finance.
• Anne Opschoor & Dick van Dijk & Michel van der Wel, 2014. "Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities," Tinbergen Institute Discussion Papers 14-090/III, Tinbergen Institute.
• Martinet, G.G. & McAleer, M.J., 2014. "On the Invertibility of EGARCH," Econometric Institute Research Papers EI2014-22, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Tinbergen Institute Discussion Papers 14-096/III, Tinbergen Institute.
  • Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Working Papers in Economics 14/21, University of Canterbury, Department of Economics and Finance.
  • Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Documentos de Trabajo del ICAE 2014-28, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Allen, David E. & McAleer, Michael & Powell, Robert J. & Singh, Abhay K., 2017. "Volatility Spillovers from Australia's major trading partners across the GFC," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 159-175.
  • David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's major trading partners across the GFC," Working Papers in Economics 14/23, University of Canterbury, Department of Economics and Finance.
  • David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's Major Trading Partners across the GFC," Tinbergen Institute Discussion Papers 14-106/III, Tinbergen Institute.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's major trading partners across the GFC," Documentos de Trabajo del ICAE 2014-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• István Barra & Lennart Hoogerheide & Siem Jan Koopman & André Lucas, 2017. "Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(5), pages 1003-1026, August.
  • István Barra & Lennart Hoogerheide & Siem Jan Koopman & André Lucas, 2014. "Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models," Tinbergen Institute Discussion Papers 14-118/III, Tinbergen Institute, revised 31 Mar 2016.
• Michael McAleer, 2014. "Asymmetry and Leverage in Conditional Volatility Models," Econometrics, MDPI, Open Access Journal, vol. 2(3), pages 1-6, September.
  • Michael McAleer, 2014. "Asymmetry and Leverage in Conditional Volatility Models," Working Papers in Economics 14/24, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer, 2014. "Asymmetry and Leverage in Conditional Volatility Models," Tinbergen Institute Discussion Papers 14-125/III, Tinbergen Institute.
• Chang, Chia-Lin & McAleer, Michael, 2015. "Econometric analysis of financial derivatives: An overview," Journal of Econometrics, Elsevier, vol. 187(2), pages 403-407.
  • Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Documentos de Trabajo del ICAE 2014-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Tinbergen Institute Discussion Papers 14-153/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Working Papers in Economics 14/29, University of Canterbury, Department of Economics and Finance.
• David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series," Working Papers in Economics 14/04, University of Canterbury, Department of Economics and Finance.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series," Documentos de Trabajo del ICAE 2014-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series," Tinbergen Institute Discussion Papers 14-014/III, Tinbergen Institute.
• Asai, Manabu & McAleer, Michael, 2015. "Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance," Journal of Econometrics, Elsevier, vol. 189(2), pages 251-262.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Tinbergen Institute Discussion Papers 14-037/III, Tinbergen Institute.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Documentos de Trabajo del ICAE 2014-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Working Papers in Economics 14/10, University of Canterbury, Department of Economics and Finance.
• Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014. "A new approach to the unconditional measurement of default risk," Documentos de Trabajo del ICAE 2014-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014. "Conditional coverage and its role in determining and assessing long-term capital requirements," Documentos de Trabajo del ICAE 2014-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014. "Linking the problems of estimating and allocating unconditional capital," Documentos de Trabajo del ICAE 2014-13, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Econometrics, MDPI, Open Access Journal, vol. 2(2), pages 1-6, June.
  • McAleer, M.J. & Hafner, C.M., 2014. "A One Line Derivation of EGARCH," Econometric Institute Research Papers EI2014-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Documentos de Trabajo del ICAE 2014-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Working Papers in Economics 14/16, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Tinbergen Institute Discussion Papers 14-069/III, Tinbergen Institute.
• David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 7(2), pages 1-30, June.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Tinbergen Institute Discussion Papers 14-075/III, Tinbergen Institute.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Documentos de Trabajo del ICAE 2014-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Working Papers in Economics 14/20, University of Canterbury, Department of Economics and Finance.
• Hammoudeh, Shawkat & McAleer, Michael, 2015. "Advances in financial risk management and economic policy uncertainty: An overview," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 1-7.
  • Shawkat Hammoudeh & Michael McAleer, 2014. "Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview," Tinbergen Institute Discussion Papers 14-076/III, Tinbergen Institute.
  • Shawkat Hammoudeh & Michael McAleer, 2014. "Advances in Financial Risk Management andEconomic Policy Uncertainty: An Overview," Documentos de Trabajo del ICAE 2014-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Shawkat Hammoudeh & Michael McAleer, 2014. "Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview," Working Papers in Economics 14/17, University of Canterbury, Department of Economics and Finance.
• McAleer, M.J., 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Econometric Institute Research Papers EI 2014-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Michael McAleer, 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Documentos de Trabajo del ICAE 2014-18, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Michael McAleer, 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Working Papers in Economics 14/09, University of Canterbury, Department of Economics and Finance.
  • Michael McAleer, 2014. "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Tinbergen Institute Discussion Papers 14-025/III, Tinbergen Institute.
• Martinet, G.G. & McAleer, M.J., 2014. "On the Invertibility of EGARCH," Econometric Institute Research Papers EI2014-22, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Documentos de Trabajo del ICAE 2014-28, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Working Papers in Economics 14/21, University of Canterbury, Department of Economics and Finance.
  • Guillaume Gaetan Martinet & Michael McAleer, 2014. "On the Invertibility of EGARCH," Tinbergen Institute Discussion Papers 14-096/III, Tinbergen Institute.
• Christian M. Hafner & Michael McAleer, 2014. "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Tinbergen Institute Discussion Papers 14-087/III, Tinbergen Institute.
  • Christian M. Hafner & Michael McAleer, 2014. "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Documentos de Trabajo del ICAE 2014-29, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Christian M. Hafner & Michael McAleer, 2014. "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Working Papers in Economics 14/19, University of Canterbury, Department of Economics and Finance.
• Chang, Chia-Lin & McAleer, Michael, 2015. "Econometric analysis of financial derivatives: An overview," Journal of Econometrics, Elsevier, vol. 187(2), pages 403-407.
  • Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Tinbergen Institute Discussion Papers 14-153/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Documentos de Trabajo del ICAE 2014-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Working Papers in Economics 14/29, University of Canterbury, Department of Economics and Finance.
• Tae-Hwy Lee & Huiyu Huang, 2014. "Forecasting Realized Volatility Using Subsample Averaging," Working Papers 201410, University of California at Riverside, Department of Economics.
• Aman Ullah & Yong Bao & Yun Wang, 2014. "Exact Distribution of the Mean Reversion Estimator in the Ornstein-Uhlenbeck Process," Working Papers 201413, University of California at Riverside, Department of Economics.
• Audrino, Francesco & Huitema, Robert & Ludwig, Markus, 2014. "An Empirical Analysis of the Ross Recovery Theorem," Economics Working Paper Series 1411, University of St. Gallen, School of Economics and Political Science.
• Fengler, Matthias R. & Hin, Lin-Yee, 2015. "A simple and general approach to fitting the discount curve under no-arbitrage constraints," Finance Research Letters, Elsevier, vol. 15(C), pages 78-84.
  • Fengler, Matthias R. & Hin, Lin-Yee, 2014. "A simple and general approach to fitting the discount curve under no-arbitrage constraints," Economics Working Paper Series 1423, University of St. Gallen, School of Economics and Political Science.
• Trojan, Sebastian, 2014. "Multivariate Stochastic Volatility with Dynamic Cross Leverage," Economics Working Paper Series 1424, University of St. Gallen, School of Economics and Political Science.
• Trojan, Sebastian, 2014. "Modeling Intraday Stochastic Volatility and Conditional Duration Contemporaneously with Regime Shifts," Economics Working Paper Series 1425, University of St. Gallen, School of Economics and Political Science.
• Massimiliano Caporin & Angelo Ranaldo & Gabriel G. Velo, 2015. "Precious metals under the microscope: a high-frequency analysis," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 743-759, May.
  • Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2014. "Precious Metals Under the Microscope: A High-Frequency Analysis," Working Papers on Finance 1409, University of St. Gallen, School of Finance.
• Gian P. Cervellera & Marco P. Tucci, 2014. "A note on the estimation of a Gamma-Variance process: Learning from a failure," Department of Economics University of Siena 702, Department of Economics, University of Siena.
• Roberto Casarin & Fabrizio Leisen & German Molina & Enrique ter Horst, 2014. "A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities," Papers 1409.1956, arXiv.org.
  • Roberto Casarin & Fabrizio Leisen & German Molina & Enrique Ter Horst, 2014. "A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities," Working Papers 2014:22, Department of Economics, University of Venice "Ca' Foscari".
• David E. Giles & Qinlu Chen, 2014. "Risk Analysis for Three Precious Metals: An Application of Extreme Value Theory," Econometrics Working Papers 1402, Department of Economics, University of Victoria.
  • Qinlu Chen & David E. Giles, 2017. "Risk Analysis for Three Precious Metals: An Application of Extreme Value Theory," Econometrics Working Papers 1704, Department of Economics, University of Victoria.
• DIMITRIU, Mihail, 2014. "Particularities Of Transfer Channel In The Financial Network Modeling," Journal of Financial and Monetary Economics, Centre of Financial and Monetary Research "Victor Slavescu", vol. 1(1), pages 239-243.
• Rasmus S. Pedersen & Anders Rahbek, 2014. "Multivariate variance targeting in the BEKK–GARCH model," Econometrics Journal, Royal Economic Society, vol. 17(1), pages 24-55, February.
  • Rasmus Søndergaard Pedersen & Anders Rahbek, 2012. "Multivariate Variance Targeting in the BEKK-GARCH Model," Discussion Papers 12-23, University of Copenhagen. Department of Economics.
  • Rasmus Søndergaard Pedersen & Anders Rahbek, 2012. "Multivariate Variance Targeting in the BEKK-GARCH Model," CREATES Research Papers 2012-53, Department of Economics and Business Economics, Aarhus University.
• Azam, Kazim, 2014. "Dependence Analysis between Foreign Exchange Rates: A Semi-Parametric Copula Approach," The Warwick Economics Research Paper Series (TWERPS) 1052, University of Warwick, Department of Economics.
• Chia-Lin Chang & Shing-Yang Hu & Shih-Ti Yu, 2014. "Recent Developments In Quantitative Finance: An Overview," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-7.
  • Chang, Chia-Lin & Hu, Shing-Yang & Yu, Shih-Ti, 2014. "Recent Developments in Quantitative Finance: An Overview," MPRA Paper 58307, University Library of Munich, Germany.
• Renfei Gao & Cindy S. H. Wang & Christian M. Hafner, 2014. "The Impact Of Acquisitions On New Technology Stocks: The Google–Motorola Case," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-23.
• Raymond Hon Fu Chan & Spike Tsz Ho Lee & Wing-Keung Wong, 2014. "Technical Analysis and Financial Asset Forecasting:From Simple Tools to Advanced Techniques," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8625.
• Kaddour Hadri & William Mikhail (ed.), 2014. "Econometric Methods and Their Applications in Finance, Macro and Related Fields," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8843.
• Zhaodong Wang & Weian Zheng, 2014. "High-Frequency Trading and Probability Theory," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9233.
• Joseph Ato Forson & Jakkaphong Janrattanagul, 2014. "Selected Macroeconomic Variables and Stock Market Movements: Empirical evidence from Thailand," Contemporary Economics, University of Finance and Management in Warsaw, vol. 8(2), June.
  • Forson, Joseph Ato & Janrattanagul, Jakkaphong, 2014. "Selected Macroeconomic Variables and Stock Market Movements: Empirical evidence from Thailand," MPRA Paper 57582, University Library of Munich, Germany.
• Ali Raza Elahi Bilal Mehmood Muhammad Mubashir Hussain Awan, 2014. "Macroeconomic Covariates of Default Risk: Case of Pakistani Non-Financial Firms," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 17(1), pages 15-26, May.
• Scharnagl, Michael & Stapf, Jelena, 2014. "Inflation, deflation, and uncertainty: What drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?," Discussion Papers 24/2014, Deutsche Bundesbank.
• Grammig, Joachim & Schaub, Eva-Maria, 2014. "Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing," CFR Working Papers 14-05, University of Cologne, Centre for Financial Research (CFR).
• Grammig, Joachim & Sönksen, Jantje, 2014. "Consumption-based asset pricing with rare disaster risk," CFR Working Papers 14-06, University of Cologne, Centre for Financial Research (CFR).
• Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2014. "Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence," Cambridge Working Papers in Economics 1464, Faculty of Economics, University of Cambridge.
  • Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus, 2014. "Estimating the spot covariation of asset prices: Statistical theory and empirical evidence," CFS Working Paper Series 477, Center for Financial Studies (CFS).
• Grammig, Joachim & Schaub, Eva-Maria, 2014. "Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing models," CFS Working Paper Series 479, Center for Financial Studies (CFS).
• Grammig, Joachim & Sönksen, Jantje, 2014. "Consumption-based asset pricing with rare disaster risk," CFS Working Paper Series 480, Center for Financial Studies (CFS).
• Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2016. "Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers," Journal of Financial Markets, Elsevier, vol. 27(C), pages 55-78.
  • Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2013. "Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?," Papers 1308.1221, arXiv.org, revised Jul 2014.
  • Jozef Baruník & Evžen Kocenda & Lukáš Vácha, 2015. "Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover," CESifo Working Paper Series 5305, CESifo Group Munich.
  • Barunik, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2014. "Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?," FinMaP-Working Papers 13, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
• Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2016. "Gold, oil, and stocks: Dynamic correlations," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 186-201.
  • Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2013. "Gold, Oil, and Stocks," Papers 1308.0210, arXiv.org, revised Mar 2014.
  • Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2014. "Gold, Oil, and Stocks," FinMaP-Working Papers 14, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  • Jozef Baruník & Evžen Kocenda & Lukáš Vácha, 2015. "Gold, Oil, and Stocks: Dynamic Correlations," CESifo Working Paper Series 5333, CESifo Group Munich.
• Dimpfl, Thomas & Peter, Franziska J., 2014. "The impact of the financial crisis on transatlantic information flows: An intraday analysis," University of Tuebingen Working Papers in Economics and Finance 70, University of Tuebingen, Faculty of Economics and Social Sciences.
• Becker, Gideon, 2014. "The portfolio structure of German households: A multinomial fractional response approach with unobserved heterogeneity," University of Tuebingen Working Papers in Economics and Finance 74, University of Tuebingen, Faculty of Economics and Social Sciences.
• Grammig, Joachim & Schaub, Eva-Maria, 2014. "Give me strong moments and time - Combining GMM and SMM to estimate long-run risk asset pricing models," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100607, Verein für Socialpolitik / German Economic Association.
• Grammig, Joachim & Sönksen, Jantje, 2014. "Consumption-Based Asset Pricing with Rare Disaster Risk: A Simulated Method of Moments Approach," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100614, Verein für Socialpolitik / German Economic Association.
• Blasques, Francisco & Koopman, Siem Jan & Lucas, Andre & Schaumburg, Julia, 2016. "Spillover dynamics for systemic risk measurement using spatial financial time series models," Journal of Econometrics, Elsevier, vol. 195(2), pages 211-223.
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• el Alaoui, AbdelKader & Masih, Mansur & Bacha, Obiyathulla & Asutay, Mehmet, 2014. "Leverage, return, volatility and contagion: Evidence from the portfolio framework," MPRA Paper 57726, University Library of Munich, Germany.
• Massimiliano Caporin & Aleksey Kolokolov & Roberto RenoÕ, 2014. "Multi-jumps," "Marco Fanno" Working Papers 0185, Dipartimento di Scienze Economiche "Marco Fanno".
  • Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2014. "Multi-jumps," MPRA Paper 58175, University Library of Munich, Germany.
• Masih, Mansur & AbdulKarim, Fatima, 2014. "Dynamic causal chain of money, output, interest rate, exchange rate and prices: Nigeria as a case study," MPRA Paper 58240, University Library of Munich, Germany.
• Yildirim, Ramazan & Masih, A. Mansur M., 2014. "The Effect of Recent Financial Crisis over Global Portfolio Diversification Opportunities – Empirical Evidence A Comparative Multivariate GARCH-DCC, MODWT and Wavelet Correlation Analysis," MPRA Paper 58269, University Library of Munich, Germany.
• Chia-Lin Chang & Shing-Yang Hu & Shih-Ti Yu, 2014. "Recent Developments In Quantitative Finance: An Overview," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-7.
  • Chang, Chia-Lin & Hu, Shing-Yang & Yu, Shih-Ti, 2014. "Recent Developments in Quantitative Finance: An Overview," MPRA Paper 58307, University Library of Munich, Germany.
• Hiremath, Gourishankar S & Kumari, Jyoti, 2014. "Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India," MPRA Paper 58378, University Library of Munich, Germany.
• Golinski, Adam & Madeira, Joao & Rambaccussing, Dooruj, 2014. "Fractional Integration of the Price-Dividend Ratio in a Present-Value Model," MPRA Paper 58554, University Library of Munich, Germany.
• Golmohammadpoor Azar, Kamran, 2014. "Estimation of Fractal Parameters of Tehran Stock Market Groups Time Series Using Discrete Wavelet Transform," MPRA Paper 58597, University Library of Munich, Germany.
• Naseri, Marjan & Masih, Mansur, 2014. "Integration and Comovement of Developed and Emerging Islamic Stock Markets: A Case Study of Malaysia," MPRA Paper 58799, University Library of Munich, Germany.
• Karkowska, Renata, 2014. "Is the Central and Eastern European banking systems stable? Evidence from the recent financial crisis," MPRA Paper 58803, University Library of Munich, Germany.
• Ali, Mohsin & Masih, Mansur, 2014. "Does Indian Stock Market Provide Diversification Benefits Against Oil Price Shocks? A Sectoral Analysis," MPRA Paper 58828, University Library of Munich, Germany.
• Rahim, Adam Mohamed & Masih, Mansur, 2014. "Effects of Political Turmoil (Arab Spring) on Portfolio Diversification Benefits: Perspectives of the Moroccan Islamic Stock investors," MPRA Paper 58832, University Library of Munich, Germany.
• Omer, Gamal Salih & Masih, Mansur, 2014. "Estimating and Forecasting Conditional Volatility and Correlations of the Dow Jones Islamic Stock Market Index Using Multivariate GARCH-DCC," MPRA Paper 58862, University Library of Munich, Germany.
• Al Shugaa, Ameen & Masih, Mansur, 2014. "Uncertainty and Volatility in MENA Stock Markets During the Arab Spring," MPRA Paper 58867, University Library of Munich, Germany.
• Farouk, Faizal & Masih, Mansur, 2016. "Are there profit (returns) in Shariah-compliant exchange traded funds? The multiscale propensity," Research in International Business and Finance, Elsevier, vol. 38(C), pages 360-375.
  • Farouk, Faizal & Masih, Mansur, 2014. "Are There Profit (Returns) in Shariah-Compliant Exchange Traded Funds? The Multiscale Propensity," MPRA Paper 58869, University Library of Munich, Germany.
• Yusoff, Yuzlizawati & Masih, Mansur, 2014. "Comovement of East and West Stock Market Indexes," MPRA Paper 58872, University Library of Munich, Germany.
• Rahim, Adam Mohamed & Masih, Mansur, 2014. "Portfolio Diversification Benefits of Islamic Stocks and Malaysia’s Major Trading Partners:MGARCH-DCC and Wavelet Correlation Approaches," MPRA Paper 58903, University Library of Munich, Germany.
• Hakim, Idwan & Masih, Mansur, 2014. "Portfolio diversification strategy for Malaysia: International and sectoral perspectives," MPRA Paper 58909, University Library of Munich, Germany.
• Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2018. "On The Sources Of Uncertainty In Exchange Rate Predictability," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 59(1), pages 329-357, February.
  • Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2014. "On the Sources of Uncertainty in Exchange Rate Predictability," SIRE Discussion Papers 2015-24, Scottish Institute for Research in Economics (SIRE).
  • Byrne, Joseph P & Korobilis, Dimitris & Ribeiro, Pinho J, 2014. "On the Sources of Uncertainty in Exchange Rate Predictability," MPRA Paper 58956, University Library of Munich, Germany.
  • Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "On the Sources of Uncertainty in Exchange Rate Predictability," Working Papers 2014_16, Business School - Economics, University of Glasgow.
• Estrada, Fernando, 2014. "Rescue costs and financial risk," MPRA Paper 59066, University Library of Munich, Germany.
• Akcay, Belgin & Yucel, Eray, 2014. "Unveiling the House Price Movements and Financial Development," MPRA Paper 59377, University Library of Munich, Germany, revised 19 Oct 2014.
• Dewandaru, Ginanjar & Rizvi, Syed Aun & Sarkar, Kabir & Bacha, Obiyathulla & Masih, Mansur, 2014. "How do Macroeconomic Changes Impact Islamic and Conventional Equity Prices? Evidence from Developed and Emerging Countries," MPRA Paper 59587, University Library of Munich, Germany.
• el Alaoui, AbdelKader & Diwandaru, Ginanjar & Rosly, Saiful Azhar & Masih, Mansur, 2014. "What Drives Profitability of Banks: Do Interest rate, and Fee and Commissions impact the profitability of Banks? Evidence from the European Countries," MPRA Paper 59606, University Library of Munich, Germany.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014. "On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 57084, University Library of Munich, Germany.
  • Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014. "On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 59770, University Library of Munich, Germany.
• Mehta, Anirudh & Kanishka, Kunal, 2014. "Modeling and Forecasting Volatility – How Reliable are modern day approaches?," MPRA Paper 59788, University Library of Munich, Germany.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014. "On the fundamentals of winning virtuous strategies creation toward leveraged buyout transactions implementation during private equity investment in conditions of resonant absorption of discrete inform," MPRA Paper 61805, University Library of Munich, Germany.
  • Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014. "On the fundamentals of winning virtuous strategies creation toward leveraged buyout transactions implementation during private equity investment in conditions of resonant absorption of discrete inform," MPRA Paper 60055, University Library of Munich, Germany.
  • Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014. "On the fundamentals of winning virtuous strategies creation toward leveraged buyout transactions implementation during private equity investment in conditions of resonant absorption of discrete inform," MPRA Paper 60106, University Library of Munich, Germany.
• Jin, Xin & Maheu, John M., 2016. "Bayesian semiparametric modeling of realized covariance matrices," Journal of Econometrics, Elsevier, vol. 192(1), pages 19-39.
  • Xin Jin & John M. Maheu, 2014. "Bayesian Semiparametric Modeling of Realized Covariance Matrices," Working Paper series 34_14, Rimini Centre for Economic Analysis.
  • Jin, Xin & Maheu, John M, 2014. "Bayesian Semiparametric Modeling of Realized Covariance Matrices," MPRA Paper 60102, University Library of Munich, Germany.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014. "On the fundamentals of winning virtuous strategies creation toward leveraged buyout transactions implementation during private equity investment in conditions of resonant absorption of discrete inform," MPRA Paper 61805, University Library of Munich, Germany.
  • Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014. "On the fundamentals of winning virtuous strategies creation toward leveraged buyout transactions implementation during private equity investment in conditions of resonant absorption of discrete inform," MPRA Paper 60106, University Library of Munich, Germany.
  • Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014. "On the fundamentals of winning virtuous strategies creation toward leveraged buyout transactions implementation during private equity investment in conditions of resonant absorption of discrete inform," MPRA Paper 60055, University Library of Munich, Germany.
• Valli, Mohammed & Masih, Mansur, 2014. "Is there any causality between inflation and FDI in an ‘inflation targeting’ regime? Evidence from South Africa," MPRA Paper 60246, University Library of Munich, Germany.
• Kamaruzdin, Thaqif & Masih, Mansur, 2014. "An inquiry into the stability of Islamic Financial Services Institutions in terms of volatility, risk and correlations: A case study of Malaysia employing M-GARCH t-DCC and MODWT Wavelet approaches," MPRA Paper 60248, University Library of Munich, Germany.
• Yaremenko, Nataliia, 2014. "Bank investment attractiveness and the methodology for its assessment at mergers and acquisitions," MPRA Paper 60635, University Library of Munich, Germany.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014. "On the fundamentals of winning virtuous strategies creation toward leveraged buyout transactions implementation during private equity investment in conditions of resonant absorption of discrete inform," MPRA Paper 60106, University Library of Munich, Germany.
  • Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014. "On the fundamentals of winning virtuous strategies creation toward leveraged buyout transactions implementation during private equity investment in conditions of resonant absorption of discrete inform," MPRA Paper 61805, University Library of Munich, Germany.
  • Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014. "On the fundamentals of winning virtuous strategies creation toward leveraged buyout transactions implementation during private equity investment in conditions of resonant absorption of discrete inform," MPRA Paper 60055, University Library of Munich, Germany.
• Mobin, Mohammad Ashraful & Masih, Mansur, 2014. "Do the macroeconomic variables have any impact on the Islamic bank deposits?An application of ARDL approach to the Malaysian market," MPRA Paper 62342, University Library of Munich, Germany.
• Jaffar, Yusuf & Masih, Mansur, 2014. "Exploring portfolio diversification opportunities through venture capital financing," MPRA Paper 62351, University Library of Munich, Germany.
• Rahman, Sharezan & Masih, Mansur, 2014. "Increasing household debts and its relation to GDP, interest rate and house price: Malaysia’s perspective," MPRA Paper 62365, University Library of Munich, Germany.
• Hashim, Khairul & Masih, Mansur, 2014. "What causes economic growth in Malaysia: exports or imports ?," MPRA Paper 62366, University Library of Munich, Germany.
• Abdi, Zeinab & Masih, Mansur, 2014. "Which type of government revenue leads government expenditure?," MPRA Paper 62367, University Library of Munich, Germany.
• Mukhoti, Sujay, 2014. "Non-Stationary Stochastic Volatility Model for Dynamic Feedback and Skewness," MPRA Paper 62532, University Library of Munich, Germany.
• Harri Pönkä, 2017. "Predicting the direction of US stock markets using industry returns," Empirical Economics, Springer, vol. 52(4), pages 1451-1480, June.
  • Pönkä, Harri, 2014. "Predicting the direction of US stock markets using industry returns," MPRA Paper 62942, University Library of Munich, Germany.
• Alaa Alaabed & Mansur Masih, 2016. "Finance-growth nexus: Insights from an application of threshold regression model to Malaysia's dual financial system," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 16(2), pages 63-71, June.
  • Alaaabed, Alaa & Masih, Mansur, 2014. "Finance-growth nexus: insights from an application of threshold regression model to Malaysia’s dual financial system," MPRA Paper 62990, University Library of Munich, Germany.
• Alaabed, Alaa & Masih, Mansur, 2014. "Size and Volatility: new evidence from an application of wavelet approach to the emerging Islamic mutual funds’ industry," MPRA Paper 62991, University Library of Munich, Germany.
• Othman, Arshad Nuval & Masih, Mansur, 2014. "The different impact of conventional interest rates on Islamic stock market, Islamic banking and Islamic insurance: evidence from Malaysia," MPRA Paper 63285, University Library of Munich, Germany.
• Muteba Mwamba, John & Thabo, Lethaba & Uwilingiye, Josine, 2014. "Modelling the short-term interest rate with stochastic differential equation in continuous time: linear and nonlinear models," MPRA Paper 64386, University Library of Munich, Germany.
• Bo Tang, 2015. "Exchange Rate Exposure of Chinese Firms at the Industry and Firm Level," Review of Development Economics, Wiley Blackwell, vol. 19(3), pages 592-607, August.
  • Tang, Bo, 2014. "Exchange Rate Exposure of Chinese Firms at the Industry and Firm level," MPRA Paper 66008, University Library of Munich, Germany, revised Apr 2015.
• Tao Zou & Song Xi Chen, 2017. "Enhancing Estimation for Interest Rate Diffusion Models With Bond Prices," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(3), pages 486-498, July.
  • Zou, Tao & Chen, Song Xi, 2014. "Enhancing Estimation for Interest Rate Diffusion Models with Bond Prices," MPRA Paper 67073, University Library of Munich, Germany, revised Apr 2015.
• Youssef, Ahmed H. & El-Sheikh, Ahmed A. & Abonazel, Mohamed R., 2014. "New GMM Estimators for Dynamic Panel Data Models," MPRA Paper 68676, University Library of Munich, Germany.
• Izatov, Asset, 2014. "Testing the Effect of the Conflict in Georgia in 2008 on Energy Market," MPRA Paper 70787, University Library of Munich, Germany.
• Muteba Mwamba, John Weirstrass & Webb, Daniel, 2014. "The predictability of asset returns in the BRICS countries: a nonparametric approach," MPRA Paper 72880, University Library of Munich, Germany, revised 15 Nov 2014.
• BEKHALED, Aicha & DADENE, Abdelghani & CHIKHI, Mohamed, 2014. "اختبار القدرة على التنبؤ بعوائد مؤشر سوق الدار البيضاء المالي من 2007 إلى 2011
  [Testing the Predictability of Casablanca Stock Exchange Returns (2007-2011)]," MPRA Paper 76629, University Library of Munich, Germany, revised 2014.
• Ben Naceur, Hassen, 2014. "Stock Market Indexes: A random walk test with ARCH (q) disturbances," MPRA Paper 78978, University Library of Munich, Germany.
• Shijaku, Gerti, 2014. "Fiscal policy, output and financial stress in the case of developing and emerging European economies: a threshold VAR approach," MPRA Paper 79139, University Library of Munich, Germany.

2013

• Brännäs, Kurt, 2013. "The Number of Traded Shares: A Time Series Modelling Approach," Umeå Economic Studies 860, Umeå University, Department of Economics.
• Kurozumi, Eiji & Aono, Kohei, 2013. "Estimation And Inference In Predictive Regressions," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 54(2), pages 231-250, December.
  • Eiji Kurozumi & Kohei Aono, 2011. "Estimation and Inference in Predictive Regressions," Global COE Hi-Stat Discussion Paper Series gd11-192, Institute of Economic Research, Hitotsubashi University.
• Matthias Bauer, 2013. "Political Aversion To a Multilateral Fiscal Rule: The Dynamic Commitment Problem in European Fiscal Governance," Global Financial Markets Working Paper Series 44-2013, Friedrich-Schiller-University Jena.
• Markus Bibinger & Per A. Mykland, 2013. "Inference for Multi-Dimensional High-Frequency Data: Equivalence of Methods, Central Limit Theorems, and an Application to Conditional Independence Testing," SFB 649 Discussion P