## Research classified by
*Journal of
Economic Literature* (JEL) codes

Top JEL

/ C: Mathematical and Quantitative Methods

/ / C5: Econometric Modeling

/ / /

**C58: Financial Econometrics**

**This topic is covered by the following reading lists:**

Most recent items first, undated at the end.

**An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors**

*by*Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang

**Estimación de la volatilidad del tipo de cambio en México y Brasil. Un enfoque con modelos Markov Switching Garch**

*by*Caballero Martínez, Rolando & Caballero Claure, Benigno

**Credit Risk Decomposition for Asset Allocation**

*by*Chamizo Cana, Álvaro & Novales Cinca, Alfonso

**Joint distribution of stock indices: Methodological aspects of construction and selection of copula models**

*by*Knyazev, Alexander & Lepekhin, Oleg & Shemyakin, Arkady

**Large dynamic covariance matrices**

*by*Robert F. Engle & Olivier Ledoit & Michael Wolf

**Systemic co-jumps**

*by*Caporin, Massimiliano & Kolokolov, Alexey & Renò, Roberto

**Beyond dimension two: A test for higher-order tail risk**

*by*Bormann, Carsten & Schaumburg, Julia & Schienle, Melanie

**Multivariate GARCH for a large number of stocks**

*by*Raddant, Matthias & Wagner, Friedrich

**Die Bewertung von Aktienanleihen mit Barriere: Eine Fallstudie für die Easy-Aktienanleihe der Deutschen Bank**

*by*Hofmann, Maurice & Rottmann, Horst

**Measuring the frequency dynamics of financial and macroeconomic connectedness**

*by*Barunik, Jozef & Krehlik, Tomas

**Asymmetric Exchange Rate Exposure of Stock Returns: Empirical Evidence from Chinese Industries**

*by*Cuestas, Juan Carlos & Tang, Bo

**One-Day Prediction of State of Turbulence for Portfolio. Models for Binary Dependent Variable**

*by*Marcin Chlebus

**Networks in risk spillovers: a multivariate GARCH perspective**

*by*Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon

**Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events**

*by*David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh

**Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers**

*by*Manabu Asai & Chia-Lin Chang & Michael McAleer

**Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes**

*by*Manabu Asai & Michael McAleer

**An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors**

*by*Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang

**Volatility spillovers for spot, futures, and ETF prices in energy and agriculture**

*by*Chia-Lin Chang & Michael McAleer & Chia-Ping Liu

**Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances**

*by*Chia-Lin Chang & Michael McAleer & Yanghuiting Wang

**Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China**

*by*Chia-Lin Chang & Michael McAleer & Jiarong Tian

**Estimating and forecasting generalized fractional Long memory stochastic volatility models**

*by*Shelton Peiris & Manabu Asai & Michael McAleer

**Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models**

*by*Jinghui Chen & Masahito Kobayashi & Michael McAleer

**Modelling volatility spillovers for bio-ethanol, sugarcane and corn**

*by*Chia-Lin Chang & Michael McAleer & Yu-Ann Wang

**How are VIX and Stock Index ETF Related?**

*by*Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer

**Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?**

*by*Massimiliano Caporin & Chia-Lin Chang & Michael McAleer

**Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events**

*by*David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh

**Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models**

*by*Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger

**Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers**

*by*Manabu Asai & Chia-Lin Chang & Michael McAleer

**Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes**

*by*Manabu Asai & Michael McAleer

**Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns**

*by*Andre Lucas & Anne Opschoor

**A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics**

*by*Manabu Asai & Michael McAleer

**Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model**

*by*Peter Reinhard Hansen & Pawel Janus & Siem Jan Koopman

**Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China**

*by*Chia-Lin Chang & Michael McAleer & Jiarong Tian

**Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances**

*by*Chia-Lin Chang & Michael McAleer & Yanghuiting Wang

**Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture**

*by*Chia-Lin Chang & Chia-Ping Liu & Michael McAleer

**Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models**

*by*Shelton Peiris & Manabu Asai & Michael McAleer

**Bayesian Dynamic Modeling of High-Frequency Integer Price Changes**

*by*Istvan Barra & Siem Jan Koopman

**Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models**

*by*Jinghui Chen & Masahito Kobayashi & Michael McAleer

**Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn**

*by*Chia-Lin Chang & Michael McAleer & Yu-Ann Wang

**How are VIX and Stock Index ETF related?**

*by*Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer

**Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?**

*by*Massimiliano Caporin & Chia-Lin Chang & Michael McAleer

**Does the Yuan's Overseas Expansion Increase the Currency Exposure of Chinese Financial Firms?**

*by*Juan Carlos Cuestas & Ying Sophie Huang & Bo Tang

**Impact Of The Global Financial Crises On The Major Asian Countries And Usa Stock Markets And Inter-Linkages Among Them**

*by*Cenk Gokce ADAS & Bibigul Tussupova

**Stylized Facts And Weak-Form Efficiency In Turkish Stock Market**

*by*Hasan AÄŸan Karaduman

**How Do Exchange Rate Movements Affect Stock Prices? The Case of Turkey**

*by*Fela Ã–zbey & Erhan Ä°ÅŸcan & Mehmet Fatih TraÅŸ

**Measuring Agency Costs and the Value of Investment Opportunities of U.S. Bank Holding Companies with Stochastic Frontier Estimation**

*by*Joseph P. Hughes & Loretta J. Mester & Choon-Geol Moon

**Estimation Of Star-Garch Models With Iteratively Weighted Least Squares**

*by*Murat Midilic

**Forecast Combinations For Realized Volatility In Presence Of Structural Breaks**

*by*Davide De Gaetano

**The Linear Regression Of Weighted Segments**

*by*Mateescu, Dan

**Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets**

*by*Chris Bardgett & Elise Gourier & Markus Leippold

**Testing Non-Linear Dynamics, Long Memory and Chaotic Behaviour of Energy Commodities**

*by*Gencer, Murat & Unal, Gazanfer

**Nonparametric Dynamic Conditional Beta**

*by*Maheu, John M & Shamsi, Azam

**Ispitivanje kalendarskih sezonaliteta na hrvatskom tržištu kapitala**

*by*Tomić, Bojan

**Risk adjustment of the credit-card augmented Divisia monetary aggregates**

*by*Barnett, William & Su, Liting

**Nowcasting nominal gdp with the credit-card augmented Divisia monetary aggregates**

*by*Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting

**The credit-card-services augmented Divisia monetary aggregates**

*by*Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting

**Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility**

*by*Escribano, Alvaro & Sucarrat, Genaro

**Evidence of cross-country portfolio diversification benefits: The case of Saudi Arabia**

*by*Ali, Hakim & Masih, Mansur

**Do changes in shariah screening methodology make islamic indices substitutes or complements? an application of MGARCH-DCC and markov switching analysis**

*by*Mantai, Mohammed Mahmoud & Masih, Mansur

**Fast profits in a fasting month? A markov regime switching approach in search of ramadan effect on stock markets**

*by*Hasbullah, Faruq & Masih, Mansur

**Does microfinance affect economic growth? Evidence from Bangladesh based on ARDL approach**

*by*Sultan, Yousuf & Masih, Mansur

**Is financial sector development an engine of economic growth? evidence from India**

*by*Ziaurrahman, Muhammad & Masih, Mansur

**What drives banks’ willingness to lend to SMEs? An ARDL approach**

*by*Lokman, Azarahiah & Masih, Mansur

**The impact of real estate, inequality and current account imbalances on excessive credit: A cross country analysis**

*by*Halim, Asyraf Abdul & Ariff, Muhammad & Masih, A. Mansur M.

**Role of instability in affecting capital flight magnitude: An ARDL bounds testing approach**

*by*Hasnul, Al Gifari & Masih, Mansur

**Socioeconomic Development and Its Effect on Performance of Islamic Banks: Dynamic Panel Approaches**

*by*Chowdhury, M. Ashraful Ferdous & Haque, M. Mahmudul & Alhabshi, Syed Othman & Masih, Abul Mansur M.

**A New Factor to Explain Implied Volatility Smirk**

*by*fajardo, José

**How is the European debt crisis affecting islamic equity? challenges in portfolio diversification within the eurozone: A markov switching and continuous wavelet transform analysis**

*by*Shakir, Zeeniya & Masih, Mansur

**Shariah stocks as an inflation hedge in Malaysia**

*by*Haniff, Norazza Mohd & Masih, Mansur

**Risk-sharing deposits in islamic banks: do interest rates have any influence on them?**

*by*Tariq, Anam & Masih, Mansur

**War and peace: why is political stability pivotal for economic growth of OIC countries?**

*by*Uddin, Md Akther & Masih, Mansur

**Bayesian Nonparametric Estimation of Ex-post Variance**

*by*Griffin, Jim & Liu, Jia & Maheu, John M

**Does the Yuan’s Overseas Expansion Increase the Currency Exposure of Chinese Financial Firms?**

*by*Cuestas, Juan Carlos & Huang, Ying & Tang, Bo

**On the reactions of sectoral equity returns to oil price in France: Implications for portfolio allocation**

*by*Bouoiyour, Jamal & Selmi, Refk & Miftah, Amal

**The infernal couple China-Oil Price and the Responses of G7 Equities: A QQ Approach**

*by*Bouoiyour, Jamal & Selmi, Refk

**Do spot and future palm oil prices influence the stock market prices of a major palm oil producer? the Malaysian experience**

*by*Mohammad Nor, Karina & Masih, Mansur

**Impact of Oil Price and Its Volatility on CPI of Pakistan: Bivariate EGARCH Model**

*by*Naurin, Abida & Qayyum, Abdul

**Home financing loans and their relationship to real estate bubble: An analysis of the U.S. mortgage market**

*by*Asadov, Alam & Masih, Mansur

**Exploring the nexus between income inequality and financial indicators: endemic to the Indian economy?**

*by*Ahsan, Zainab Fida & Masih, Mansur

**Does consumer sentiment predict consumer spending in Malaysia? an autoregressive distributed lag (ARDL) approach**

*by*Mohd Haniff, NorAzza & Masih, Mansur

**An empirical investigation of causal linkages between domestic terrorism and macroeconomic variables: a case for Pakistan**

*by*Bukhari, Naseem & Masih, Mansur

**Dutch disease or Nigerian disease: a prima facie? New evidence from ARDL bound test analysis**

*by*Mustapha, Ishaq Muhammad & Masih, Mansur

**Is energy a stimulus for economic growth? A focused study on Malaysia using the auto regressive distributed lag technique**

*by*Abarahan, Amnisuhailah Binti & Masih, Mansur

**Models of Financial Return With Time-Varying Zero Probability**

*by*Sucarrat, Genaro & Grønneberg, Steffen

**Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan**

*by*Naqi Shah, Sadia & Qayyum, Abdul

**Application of DCC-GARCH Model for Analysis of Interrelations Among Capital Markets of Poland, Czech Republic and Germany**

*by*Marek Zinecker & Adam P. Balcerzak & Marcin Faldzinski & Michal Bernad Pietrzak & Tomáš Meluzín

**Interdependence among Capital Markets of Germany, Poland and Baltic States**

*by*Tomas Meluzin & Marek Zinecker & Michal Bernard Pietrzak & Marcin Faldzinski & Adam P. Balcerzak

**Value-at-Risk with Application of DCC-GARCH Model**

*by*Tomas Meluzin & Marek Zinecker & Michal Bernard Pietrzak & Marcin Faldzinski & Adam P. Balcerzak

**Cointegration of Interdependencies Among Capital Markets of Chosen Visegrad Countries and Germany**

*by*Marcin Faldzinski & Adam P. Balcerzak & Tomas Meluzin & Michal Bernard Pietrzak & Marek Zinecker

**Do WTO Rulings Really Matter? Evidence from the Rare Earth Elements Market**

*by*Juliane Proelss & Denis Schweizer & Volker Seiler

**Do WTO Rulings Really Matter? Evidence from the Rare Earth Elements Market**

*by*Juliane Proelss & Denis Schweizer & Volker Seiler

**The multivariate nature of systemic risk: direct and common exposures**

*by*Paolo Giudici & Peter Sarlin & Alessandro Spelta

**European lending channel: differences in transmission mechanisms due to the global financial crisis**

*by*Tomáš Heryán & Panayiotis G. Tzeremes & Roman Matousek

**Term Structure of Uncertainty in the Macroeconomy**

*by*Jaroslav Borovička & Lars Peter Hansen

**A critical appraisal of studies analyzing co-movement of international stock markets with a focus on East-Asian indices**

*by*Jan F. Kiviet & Zhenxi Chen

**Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures**

*by*Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin

**Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models**

*by*Gael M. Martin & Brendan P.M. McCabe & David T. Frazier & Worapree Maneesoonthorn & Christian P. Robert

**A note on normalization schemes:The case of generalized forecast error variance decompositions**

*by*Francesco Giuseppe Caloia & Andrea Cipollini & Silvia Muzzioli

**The impact of credit supply shocks and a new FCI based on a FAVAR approach**

*by*Zsuzsanna Hosszú

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

*by*Shin Kanaya

**Networks of volatility spillovers among stock markets**

*by*Eduard Baumohl & Evzen Kocenda & Stefan Lyocsa & Tomas Vyrost

**Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates**

*by*William Barnett & Liting Su

**Nowcasting Nominal GDP with the Credit-Card Augmented Divisia Monetary Aggregates**

*by*William Barnett & Marcelle Chauvet & Danilo Leiva-Leon & Liting Su

**The Credit-Card-Services Augmented Divisia Monetary Aggregates**

*by*William Barnett & Marcelle Chauvet & Danilo Leiva-Leon & Liting Su

**Risk and Return Spillovers among the G10 Currencies**

*by*Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Barry Rafferty

**Leveraged ETF options implied volatility paradox: a statistical study**

*by*Wolfgang Karl Härdle & Sergey Nasekin & Zhiwu Hong &

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

*by*Kanaya, Shin

**Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations**

*by*Liu, Yuna

**Stock exchange integration and price jump risks - The case of the OMX Nordic exchange mergers**

*by*Liu, Yuna

**Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets**

*by*Green, Rikard & Larsson, Karl & Lunina, Veronika & Nilsson, Birger

**A Dynamic Analysis of the Determinants of the Greek Credit Default Swaps**

*by*Maria do Rosario Correia & Christian Gokus & Andrew Hughes Hallett & Christian Richter

**Copula--based Specification of vector MEMs**

*by*Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo

**Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears**

*by*Francesco Calvori & Matteo Dentella & Giampiero M. Gallo

**Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM**

*by*Giampiero M. Gallo & Edoardo Otranto

**Median Response to Shocks: A Model for VaR Spillovers in East Asia**

*by*Fabrizio Cipollini & Giampiero Gallo & Andrea Ugolini

**Global variance term premia and intermediary risk appetite**

*by*Van Tassel, Peter & Vogt, Erik

**Simple Estimators for ARCH Models**

*by*Prono, Todd

**Time-varying Volatility and the Power Law Distribution of Stock Returns**

*by*Missaka Warusawitharana

**Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes**

*by*Asai, M. & McAleer, M.J.

**A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics**

*by*Asai, M. & McAleer, M.J.

**An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors**

*by*Chang, C-L. & McAleer, M.J. & Wang, C-H.

**Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China**

*by*Chang, C-L. & McAleer, M.J. & Tian, J.

**Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances**

*by*Chang, C-L. & McAleer, M.J. & Wang, Y.

**Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture**

*by*Chang, C-L. & Liu, C-P. & McAleer, M.J.

**Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models**

*by*Peiris, S. & Asai, M. & McAleer, M.J.

**Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models**

*by*Chen, J. & Kobayashi, M. & McAleer, M.J.

**Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn**

*by*Chang, C-L. & McAleer, M.J. & Wang, Y-A.

**How are VIX and Stock Index ETF Related?**

*by*Chang, C-L. & Hsieh, T-L. & McAleer, M.J.

**Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?**

*by*Caporin, M. & Chang, C-L. & McAleer, M.J.

**Causalidad en Segundos Momentos: Una aplicación a la volatilidad bursátil en México, Estados Unidos y Australia**

*by*Omar Alejandro González Rivas

**Relaciones entre los mercados bursátiles de México y Estados Unidos: Evidencia de cointegración y Causalidad de Granger**

*by*Juan Carlos Bonifacio Ramírez

**Analysing the Determinants of Credit Risk for General Insurance Firms in the UK**

*by*Guglielmo Maria Caporale & Mario Cerrato & Xuan Zhang

**Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility**

*by*Sucarrat, Genaro & Escribano, Álvaro

**Modelling the Impacts of a Cut to Company Tax in Australia**

*by*J.M. Dixon & J. Nassios

**Pronóstico del volumen de negociación del mercado secundario de renta fija en Colombia: a través de la modelación no lineal star**

*by*Miller Ariza

**Network externalities across financial institutions**

*by*Carlos Castro & Juan S. Ordoñez & Sergio Preciado

**Analysing the Determinants of Credit Risk for General Insurance Firms in the UK**

*by*Guglielmo Maria Caporale & Mario Cerrato & Xuan Zhang

**Stylized Facts and Simulating Long Range Financial Data**

*by*Laurie Davies & Walter Kraemer

**A Semiparametric Intraday GARCH Model**

*by*Peter Malec

**Asymptotic Theory for Beta-t-GARCH**

*by*Ryoko Ito

**Spline-DCS for Forecasting Trade Volume in High-Frequency Finance**

*by*Ryoko Ito

**Realised Variance Forecasting Under Box-Cox Transformations**

*by*Nick Taylor

**The re-pricing of sovereign risks following the global financial crisis**

*by*Dimitris Malliaropulos & Petros M. Migiakis

**Contagion, spillover and interdependence**

*by*Rigobon, Roberto

**Exchange Rate Risk Premium: An Analysis of its Determinants for the Mexican Peso-USD**

*by*Benavides Guillermo

**Measuring Systemic Risk Across Financial Market Infrastructures**

*by*Fuchun Li & Héctor Pérez Saiz

**Credit Risk and Collateral Demand in a Retail Payment System**

*by*Héctor Pérez Saiz & Gabriel Xerri

**Long and short-run components in explanatory variables and different panel-data estimates**

*by*Alfonso Ugarte

**The Drift Burst Hypothesis**

*by*Kim Christensen & Roel Oomen & Roberto Renò

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

*by*Shin Kanaya

**Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach**

*by*Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante

**Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions**

*by*Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg

**Dynamic Global Currency Hedging**

*by*Bent Jesper Christensen & Rasmus T. Varneskov

**Cointegration of Interdependencies Among Capital Markets of Chosen Visegrad Countries and Germany**

*by*Marcin Faldzinski & Adam P. Balcerzak & Tomas Meluzin & Michal Bernard Pietrzak & Marek Zinecker

**Application of DCC-GARCH model for analysis of Interrelations among Capital Markets of Poland, Czech Republic and Germany**

*by*Marek Zinecker & Adam P. Balcerzak & Marcin Faldzinski & Tomas Meluzin & Michal Bernard Pietrzak

**Agrarrohstoffpreise und Lebensmittelpreise in armen Ländern**

*by*Holtemöller, Oliver

**Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models**

*by*Siem Jan Koopman & André Lucas & Marcel Scharth

**On the relationship between healthcare expenditure and longevity: evidence from the continuous wavelet analyses**

*by*Wen-Yi Chen & Miin-Jye Wen & Yu-Hui Lin & Yia-Wun Liang

**Modeling Jumps and Volatility of the Indian Stock Market Using High-Frequency Data**

*by*Rituparna Sen & Pulkit Mehrotra

**A learning-augmented approach to pricing risk in South Africa**

*by*Jacques Peeperkorn & Yudhvir Seetharam

**Asymmetry with respect to the memory in stock market volatilities**

*by*Carl Lönnbark

**The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets**

*by*Mehmet Fatih Öztek & Nadir Öcal

**Ripple effect and contagious effect in the US regional housing markets**

*by*Ming-Chu Chiang & I-Chun Tsai

**Impact Of The Global Financial Crises On The Major Asian Countries And Usa Stock Markets And Inter-Linkages Among Them**

*by*Cenk Gokce ADAS

**Statistical Assessment of the Value Relevance of Financial Information Reported by Romanian Listed Companies**

*by*Elisabeta Jaba & Ioan-Bogdan Robu & Costel Istrate & Christiana Brigitte Balan & Mihai Roman

**Long-Memory in Volatilities of CDS Spreads: Evidences from the Emerging Markets**

*by*Samet Günay & Yanlin Shi

**Determining the Firm Specific Factors Affecting the Capital Increase**

*by*Tuna, İsmail & Karaca, Süleyman Serdar

**Investigating a Fund Return Distribution when the Value of the Fund under Management is Irregularly Observed**

*by*KiHoon Jimmy Hong & Stephen Satchell

**The UHF-GARCH-Type Model in the Analysis of Intraday Volatility and Price Durations – the Bayesian Approach**

*by*Roman Huptas

**Shluková analýza skoků na kapitálových trzích**

*by*Jan Hanousek & Evžen Kočenda & Jan Novotný

**Exchange Rate Volatility and Uncovered Interest Rate Parity in the European Emerging Economies**

*by*Dejan Živkov & Jovan Njegić & Mirela Momčilović & Ivan Milenković

**Volatility Of Yields Of Government Bonds Among Giips Countries During The Sovereign Debt Crisis In The Euro Area**

*by*Tomas Heryan & Jan Ziegelbauer

**Analysis of Correlation Between Gross Domestic Product and Corporate Income Tax in the European Union Countries**

*by*Ionela Cornelia Cioca

**A Dynamic Analysis of the Determinants of the Greek Credit Default Swaps**

*by*Maria do Rosario CORREIA & Christian GOKUS & Andrew Hughes HALLETT & Christian R. RICHTER

**A befektetői túlreagálás empirikus vizsgálata a Budapesti Értéktőzsdén**

*by*Lakatos, Máté

**A nonparametric approach to measuring the sensitivity of an asset’s return to the market**

*by*Thomas A. Severini

**A Quantile Regression Approach to the Multiple Period Value at Risk Estimation**

*by*Chi Ming Wong & Lei Lam Olivia Ting

**Dependence between stock market and foreign exchange market in South Asia: A Copula-Garch approach**

*by*Javed Bin Kamal & A.K. Enamul Haque

**Predicted Possibility of Implementing Financial Potential at Agricultural Micro-Level**

*by*Nataliya Trusova

**Volatilidad cambiaria estocástica: un enfoque Switching Garch para Bolivia**

*by*Benigno Caballero Claure & Rolando Caballero Martínez

**Online Monitoring of Russia's Economic Outlook**

*by*Arseny Mamedov & Evgenia Fomina & Mikhail Khromov & Natalia Shagaida & Natalia Zubarevich & Pavel Pavlov & Vasily Uzun

**Online Monitoring of Russia's Economic Outlook**

*by*Arseny Mamedov & Evgenia Fomina & Alexandra Bozhechkova & Sergey Tsukhlo & Pavel Trunin & Victor Lyashok

**Online Monitoring of Russia's Economic Outlook**

*by*Arseny Mamedov & Evgenia Fomina & Mikhail Khromov & Andrei Kaukin & Natalia Shagaida & Natalia Zubarevich & Pavel Pavlov & Vasily Uzun

**Online Monitoring of Russia's Economic Outlook**

*by*Arseny Mamedov & Evgenia Fomina & Alexandra Bozhechkova & Sergey Tsukhlo & Pavel Trunin & Victor Lyashok

**Dinámicas del tipo de cambio nominal y del IPC, 1991-2014: una especificación que combina los modelos ARFIMA y GARCH**

*by*Héctor F. Salazar-Núñez. & Francisco Venegas Martínez.

**Is the Effect of Risk on Stock Returns Different in Up and Down Markets? A Multi-Country Study**

*by*Srikanta Kundu & Nityananda Sarkar

**Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study**

*by*M. Hakan Eratalay

**Isletmelerin Finansal Basarili ve Basarisiz Olma Durumlarinin Veri Madenciligi ve Lojistik Regresyon Analizi Ile Tahmin Edilebilirligi**

*by*Ceyda YERDELEN KAYGIN & Alper TAZEGUL & Hakan YAZARKAN

**Are there profit (returns) in Shariah-compliant exchange traded funds? The multiscale propensity**

*by*Farouk, Faizal & Masih, Mansur

**An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries**

*by*Yavas, Burhan F. & Dedi, Lidija

**Time-varying co-movements and volatility spillovers among financial sector CDS indexes in the UK**

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