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

2023

• Jonathan Hambur & Qazi Haque, 2023. "Can We Use High-Frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!," CAMA Working Papers 2023-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Jonathan Hambur & Qazi Haque, 2023. "Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!," RBA Research Discussion Papers rdp2023-04, Reserve Bank of Australia.
  • Jonathan Hambur & Qazi Haque, 2023. "Can we use high-frequency yield data to better understand the effects of monetary policy and its communication? Yes and no!," School of Economics and Public Policy Working Papers 2023-03 Classification-E4, University of Adelaide, School of Economics and Public Policy.
• Luis Fernando Melo-Velandia & José Vicente Romero & Mahicol Stiben Ramírez-González, 2023. "The Global Financial Cycle and Country Risk in Emerging Markets During Stress Episodes: A Copula-CoVaR Approach," Borradores de Economia 1231, Banco de la Republica de Colombia.
  • Melo-Velandia, Luis Fernando & Romero-Chamorro, José Vicente & Ramírez-González, Mahicol Stiben, 2023. "The Global Financial Cycle and Country Risk in Emerging Markets During Stress Episodes: A Copula-CoVaR Approach," Working papers 105, Red Investigadores de Economía.
• Bampinas, Georgios & Panagiotidis, Theodore & Politsidis, Panagiotis, 2020. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," MPRA Paper 102846, University Library of Munich, Germany.
  • Georgios Bampinas & Theodore Panagiotidis & Panagiotis N. Politsidis, 2023. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Working Paper series 23-09, Rimini Centre for Economic Analysis.
  • Georgios Bampinas & Theodore Panagiotidis & Panagiotis Politsidis, 2023. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Post-Print hal-04164277, HAL.
• Roberto Leon-Gonzalez & Blessings Majoni, 2023. "Exact Likelihood for Inverse Gamma Stochastic Volatility Models," Working Paper series 23-11, Rimini Centre for Economic Analysis.
• Trifonov, Juri, 2023. "Modeling the risk premium in the Russian stock market considering the asymmetry effect," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 71, pages 5-19.
• Vergili, Gizem & Çelik, Mehmet Sinan, 2023. "The Relationship Between the Indices of Volatility (VIX) and Sustainability (DJSEMUP): An ARDL Approach," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 14(1), pages 19-29, January.
• Dionne, Georges & Fenou, Akouété & Mnasri, Mohamed, 2023. "Consolidation of the US property and casualty insurance industry: Is climate risk a causal factor for mergers and acquisitions?," Working Papers 23-1, HEC Montreal, Canada Research Chair in Risk Management.
• Alessandro Giovannelli & Marco Lippi & Tommaso Proietti, 2023. "Band-Pass Filtering with High-Dimensional Time Series," Papers 2305.06618, arXiv.org.
  • Alessandro Giovannelli & Marco Lippi & Tommaso Proietti, 2023. "Band-Pass Filtering with High-Dimensional Time Series," CEIS Research Paper 559, Tor Vergata University, CEIS, revised 15 Jun 2023.
• Martien Lamers & Thomas Present & Nicolas Soenen & Rudi Vander Vennet, 2023. "Does BRRD mitigate the bank-to-sovereign risk channel?," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 23/1060, Ghent University, Faculty of Economics and Business Administration.
• Mohsin Waheed & Zulfiqar Hyder, 2023. "What Explains the Volatility in Pakistan’s Sovereign Bond Yields?," SBP Working Paper Series 112, State Bank of Pakistan, Research Department.
• Ostap Okhrin & Michael Rockinger & Manuel Schmid, 2023. "Distributional properties of continuous time processes: from CIR to bates," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 107(3), pages 397-419, September.
• Huei-Wen Teng & Yu-Hsien Li, 2023. "Can deep neural networks outperform Fama-MacBeth regression and other supervised learning approaches in stock returns prediction with asset-pricing factors?," Digital Finance, Springer, vol. 5(1), pages 149-182, March.
• Leonardo Ieracitano Vieira & Márcio Poletti Laurini, 2023. "Time-varying higher moments in Bitcoin," Digital Finance, Springer, vol. 5(2), pages 231-260, June.
• Simon Hediger & Jeffrey Näf & Marc S. Paolella & Paweł Polak, 2023. "Heterogeneous tail generalized common factor modeling," Digital Finance, Springer, vol. 5(2), pages 389-420, June.
• Jan Patrick Hartkopf, 2023. "Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models," Empirical Economics, Springer, vol. 64(1), pages 393-436, January.
• Tak Kuen Siu, 2023. "Bayesian nonlinear expectation for time series modelling and its application to Bitcoin," Empirical Economics, Springer, vol. 64(1), pages 505-537, January.
• Jiawen Xu & Yixuan Li & Kai Liu & Tao Chen, 2023. "Portfolio selection: from under-diversification to concentration," Empirical Economics, Springer, vol. 64(4), pages 1539-1557, April.
• Farrukh Mahmood & Robert M. Kunst, 2023. "Modeling nonlinear in Bowman’s paradox: the case of Pakistan," Empirical Economics, Springer, vol. 64(5), pages 2357-2372, May.
• Emmanuel Joel Aikins Abakah & Aviral Kumar Tiwari & Imhotep Paul Alagidede & Shawkat Hammoudeh, 2023. "Nonlinearity in the causality and systemic risk spillover between the OPEC oil and GCC equity markets: a pre- and post-financial crisis analysis," Empirical Economics, Springer, vol. 65(3), pages 1027-1103, September.
• Weijia Peng & Chun Yao, 2023. "Sector-level equity returns predictability with machine learning and market contagion measure," Empirical Economics, Springer, vol. 65(4), pages 1761-1798, October.
• Tiago E. Pratas & Filipe R. Ramos & Lihki Rubio, 2023. "Forecasting bitcoin volatility: exploring the potential of deep learning," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(2), pages 285-305, June.
• Ahmed BenSaïda, 2023. "The linkage between Bitcoin and foreign exchanges in developed and emerging markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-27, December.
• Roman Mestre, 2023. "Stock profiling using time–frequency-varying systematic risk measure," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-29, December.
  • Roman Mestre, 2023. "Stock profiling using time–frequency-varying systematic risk measure," Post-Print hal-04058285, HAL.
• Takashi Kanamura, 2023. "An impact assessment of the COVID-19 pandemic on Japanese and US hotel stocks," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-51, December.
• Deniz Erer & Elif Erer & Selim Güngör, 2023. "The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-25, December.
• James Yae & Yang Luo, 2023. "Robust monitoring machine: a machine learning solution for out-of-sample R $$^2$$ 2 -hacking in return predictability monitoring," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-28, December.
• Jinan Liu & Apostolos Serletis, 2023. "Volatility and dependence in energy markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(1), pages 15-37, March.
• Kingstone Nyakurukwa & Yudhvir Seetharam, 2023. "Higher moment connectedness of cryptocurrencies: a time-frequency approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(3), pages 793-814, September.
• Mehmet Sahiner & David G. McMillan & Dimos Kambouroudis, 2023. "Do artificial neural networks provide improved volatility forecasts: Evidence from Asian markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(3), pages 723-762, September.
• Zouheir Mighri & Raouf Jaziri, 2023. "Long-Memory, Asymmetry and Fat-Tailed GARCH Models in Value-at-Risk Estimation: Empirical Evidence from the Global Real Estate Markets," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(1), pages 41-97, March.
• Arnab Chakrabarti & Rituparna Sen, 2023. "Copula Estimation for Nonsynchronous Financial Data," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 116-149, May.
• Takashi Kanamura, 2023. "A difference in COVID-19 impact on bank stocks between Japan and the US," SN Business & Economics, Springer, vol. 3(7), pages 1-23, July.
• Antonio Marsi, 2023. "Predicting European stock returns using machine learning," SN Business & Economics, Springer, vol. 3(7), pages 1-25, July.
• Martien Lamers & Thomas Present & Nicolas Soenen & Rudi Vander Vennet, 2023. "BRRD credibility and the bank-sovereign nexus," Applied Economics Letters, Taylor & Francis Journals, vol. 30(10), pages 1308-1313, June.
  • Martien Lamers & Thomas Present & Rudi Vander Vennet & Nicolas Soenen, 2021. "BRRD credibility and the bank-sovereign nexus," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1024, Ghent University, Faculty of Economics and Business Administration.
• Hoang Nguyen & Trong-Nghia Nguyen & Minh-Ngoc Tran, 2023. "A dynamic leverage stochastic volatility model," Applied Economics Letters, Taylor & Francis Journals, vol. 30(1), pages 97-102, January.
  • Nguyen, Hoang & Nguyen, Trong-Nghia & Tran, Minh-Ngoc, 2021. "A dynamic leverage stochastic volatility model," Working Papers 2021:14, Örebro University, School of Business.
• Oloyede OBAGBUWA & Farai KWENDA & Rajendra RAJARAM, 2022. "Institutional Shareholders' Monitoring Intensity and Executive Remuneration in South Africa," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 6(2), pages 43-67.
• Tshembhani M. HLONGWANE, 2023. "The Spill-Over Effects of Cryptocurrencies on Equity and Bonds Market," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 7(1), pages 43-59.
• Tae-Hwy Lee & Ekaterina Seregina, 2023. "Optimal Portfolio Using Factor Graphical Lasso," Working Papers 202302, University of California at Riverside, Department of Economics.
• Kaczmarek Tomasz & Grobelny Przemysław, 2023. "How to fly to safety without overpaying for the ticket," Economics and Business Review, Sciendo, vol. 9(2), pages 160-183, April.
• Öner Selma & Öner Hakan, 2023. "Symmetric and asymmetric volatility: Forecasting the Borsa Istanbul 100 index return volatility," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 19(1), pages 48-56, March.
• Kowalski Michał J. & Wang Tong & Kazak Jan K., 2023. "The Impact of Covid-19 Pandemic on Value Migration Processes in the Real Estate Sector," Real Estate Management and Valuation, Sciendo, vol. 31(1), pages 10-24, March.
• Suleiman Ahmad Abubakar & Othman Mahmod & Daud Hanita & Abdullah Mohd Lazim & Kadir Evizal Abdul & Kane Ibrahim Lawal & Husin Abdullah, 2023. "Forecasting the Volatility of Real Residential Property Prices in Malaysia: A Comparison of Garch Models," Real Estate Management and Valuation, Sciendo, vol. 31(3), pages 20-31, September.
• Maudud Hassan Uzzal & Robert Ślepaczuk, 2023. "The performance of time series forecasting based on classical and machine learning methods for S&P 500 index," Working Papers 2023-05, Faculty of Economic Sciences, University of Warsaw.
• Marcin Chlebus & Artur Nowak, 2023. "From Alchemy to Analytics: Unleashing the Potential of Technical Analysis in Predicting Noble Metal Price Movement," Working Papers 2023-13, Faculty of Economic Sciences, University of Warsaw.
• Karol Chojnacki & Robert Ślepaczuk, 2023. "Ensembled LSTM with Walk Forward Optimization in Algorithmic Trading," Working Papers 2023-15, Faculty of Economic Sciences, University of Warsaw.
• Damian Ślusarczyk & Robert Ślepaczuk, 2023. "Optimal Markowitz Portfolio Using Returns Forecasted with Time Series and Machine Learning Models," Working Papers 2023-17, Faculty of Economic Sciences, University of Warsaw.
• Paweł Jakubowski & Robert Ślepaczuk & Franciszek Windorbski, 2023. "REnsembling ARIMAX Model in Algorithmic Investment Strategies on Commodities Market," Working Papers 2023-20, Faculty of Economic Sciences, University of Warsaw.
• Francisca Mendonça Souza & Claudia Aline de Souza Ramser & Adriano Mendonça Souza & Claudimar Pereira da Veiga, 2023. "Spillover Effects in the Presence of Structural Breaks, Persistence and Conditioned Heteroscedasticity," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 18(02), pages 1-51, June.
• Jie Jay Cao & Aurelio Vasquez & Xiao Xiao & Xintong Eunice Zhan, 2023. "Why Does Volatility Uncertainty Predict Equity Option Returns?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 1-35, March.
• Cho, Jin Seo & Greenwood-Nimmo, Matthew & Shin, Yongcheol, 2023. "The asymmetric response of dividends to earnings news," Finance Research Letters, Elsevier, vol. 54(C).
  • Jin Seo Cho & Matthew Greenwood-Nimmo & Yongcheol Shin, 2023. "The Asymmetric Response of Dividends to Earnings News," Working papers 2023rwp-210, Yonsei University, Yonsei Economics Research Institute.
• Faria, Gonçalo & Verona, Fabio, 2023. "Forecast combination in the frequency domain," Bank of Finland Research Discussion Papers 1/2023, Bank of Finland.
• Simon, Frederik & Weibels, Sebastian & Zimmermann, Tom, 2023. "Deep parametric portfolio policies," CFR Working Papers 23-01, University of Cologne, Centre for Financial Research (CFR).
• Frank, Johannes, 2023. "Forecasting realized volatility in turbulent times using temporal fusion transformers," FAU Discussion Papers in Economics 03/2023, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
• Lavko, Matus & Klein, Tony & Walther, Thomas, 2023. "Reinforcement Learning and Portfolio Allocation: Challenging Traditional Allocation Methods," QBS Working Paper Series 2023/01, Queen's University Belfast, Queen's Business School.
• Bagnara, Matteo & Goodarzi, Milad, 2023. "Clustering-based sector investing," SAFE Working Paper Series 397, Leibniz Institute for Financial Research SAFE.
• Gianluca De Nard & Robert F. Engle & Bryan Kelly, 2023. "Factor mimicking portfolios for climate risk," ECON - Working Papers 429, Department of Economics - University of Zurich.
• Jonathan Hambur & Qazi Haque, 2023. "Can We Use High-Frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!," CAMA Working Papers 2023-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Jonathan Hambur & Qazi Haque, 2023. "Can we use high-frequency yield data to better understand the effects of monetary policy and its communication? Yes and no!," School of Economics and Public Policy Working Papers 2023-03 Classification-E4, University of Adelaide, School of Economics and Public Policy.
  • Jonathan Hambur & Qazi Haque, 2023. "Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!," RBA Research Discussion Papers rdp2023-04, Reserve Bank of Australia.
• Cem Çakmaklı & Anıl Divar Çakmaklı & Han Özsöylev, 2023. "Getiri Dağılımı Tahmininin Ekonomik Değeri," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 8(1), pages 40-58.
• Turhan Korkmaz & Tuğba Nur, 2023. "The Effect of ESG Sustainability on Firm Performance: A View under Size and Age on BIST Bank Index Firms," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 8(2), pages 208-223.
• Alessandro Giovannelli & Marco Lippi & Tommaso Proietti, 2023. "Band-Pass Filtering with High-Dimensional Time Series," CEIS Research Paper 559, Tor Vergata University, CEIS, revised 15 Jun 2023.
  • Alessandro Giovannelli & Marco Lippi & Tommaso Proietti, 2023. "Band-Pass Filtering with High-Dimensional Time Series," Papers 2305.06618, arXiv.org.
• Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2023. "Latent Factor Analysis in Short Panels," Swiss Finance Institute Research Paper Series 23-44, Swiss Finance Institute.
  • Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2023. "Latent Factor Analysis in Short Panels," Papers 2306.14004, arXiv.org.
• Ahmad Monir Abdullah, 2023. "The Impact of COVID-19 and the Russia-Ukraine Conflict on the Relationship Between the US Islamic Stock Index, Bitcoin, and Commodities," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 4(2), pages 1-6.
• Abhishek Sah & Biswajit Patra, 2023. "Dynamic Linkages Among Cryptocurrencies - The Role of COVID-19," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 4(2), pages 1-6.
• Isiaka Akande Raifu, 2023. "Examining the Time-Varying Causality Between Oil Returns and Stock Returns in Norway," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 4(1), pages 1-9.
• Chinara Azizova & Bruno Feunou & James Kyeong, 2023. "Forecasting Risks to the Canadian Economic Outlook at a Daily Frequency," Discussion Papers 2023-19, Bank of Canada.
• Bruno Feunou, 2023. "Generalized Autoregressive Gamma Processes," Staff Working Papers 23-40, Bank of Canada.
• Lars Winkelmann & Wenying Yao, 2023. "Tests for Jumps in Yield Spreads," BSE Discussion Papers 0024, Berlin School of Economics.
• Melo-Velandia, Luis Fernando & Romero-Chamorro, José Vicente & Ramírez-González, Mahicol Stiben, 2023. "The Global Financial Cycle and Country Risk in Emerging Markets During Stress Episodes: A Copula-CoVaR Approach," Working papers 105, Red Investigadores de Economía.
  • Luis Fernando Melo-Velandia & José Vicente Romero & Mahicol Stiben Ramírez-González, 2023. "The Global Financial Cycle and Country Risk in Emerging Markets During Stress Episodes: A Copula-CoVaR Approach," Borradores de Economia 1231, Banco de la Republica de Colombia.
• Emre BULUT & Ahmed İhsan ŞİMŞEK, 2023. "The Relationship Between the Stock Market Volatility, Liquidity, Exchange Rate Return, and Stock Return During the COVID-19 Period: The case of the BIST 100 Index," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, vol. 7(1), pages 121-135, June.
• Shuping Shi & Peter C.B. Phillips, 2023. "Diagnosing housing fever with an econometric thermometer," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 159-186, February.
  • Shuping Shi & Peter C B Phillips, 2020. "Diagnosing housing fever with an econometric thermometer," CAMA Working Papers 2020-43, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Shuping Shi & Peter C.B. Phillips, 2020. "Diagnosing Housing Fever with an Econometric Thermometer," Cowles Foundation Discussion Papers 2248, Cowles Foundation for Research in Economics, Yale University.
• Tommaso Proietti, 2023. "Peaks, gaps, and time‐reversibility of economic time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 43-68, January.
  • Tommaso Proietti, 2020. "Peaks, Gaps, and Time Reversibility of Economic Time Series," CEIS Research Paper 492, Tor Vergata University, CEIS, revised 17 Jun 2020.
• Hilde C. Bjornland & Yoosoon Chang, 2023. "Oil and the Stock Market Revisited: A Mixed Functional VAR Approach," CAEPR Working Papers 2023-005 Classification-1, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
  • Hilde C. Bjørnland & Yoosoon Chang & Jamie L. Cross, 2023. "Oil and the Stock Market Revisited: A mixed functional VAR approach," Working Papers No 03/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  • Hilde C. Bjørnland & Yoosoon Chang & Jamie L. Cross, 2023. "Oil and the Stock Market Revisited: A Mixed Functional VAR Approach," CAMA Working Papers 2023-18, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Kawakatsu Hiroyuki, 2023. "Simple Factor Realized Stochastic Volatility Models," Journal of Time Series Econometrics, De Gruyter, vol. 15(1), pages 79-110, January.
• Uribe Jorge M. & Chuliá Helena, 2023. "Expected, unexpected, good and bad aggregate uncertainty," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(2), pages 265-284, April.
• Nikola Fabris & Milutin Ješić, 2023. "Are Gold and Bitcoin a Safe Haven for European Indices?," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 12(1), pages 27-44.
• Bauwens, Luc & Xu, Yongdeng, 2023. "The contribution of realized covariance models to the economic value of volatility timing," Cardiff Economics Working Papers E2023/20, Cardiff University, Cardiff Business School, Economics Section.
• Antoine Didisheim & Shikun Ke & Bryan T. Kelly & Semyon Malamud, 2023. "Complexity in Factor Pricing Models," Swiss Finance Institute Research Paper Series 23-19, Swiss Finance Institute.
• Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2023. "Latent Factor Analysis in Short Panels," Papers 2306.14004, arXiv.org.
  • Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2023. "Latent Factor Analysis in Short Panels," Swiss Finance Institute Research Paper Series 23-44, Swiss Finance Institute.
• Alberto Quaini & Fabio Trojani & Ming Yuan, 2023. "Tradable Factor Risk Premia and Oracle Tests of Asset Pricing Models," Swiss Finance Institute Research Paper Series 23-81, Swiss Finance Institute.
• Pérez, Rafaela & Ruiz, Jesús & Guinea, Laurentiu, 2023. "Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix," UC3M Working papers. Economics 36916, Universidad Carlos III de Madrid. Departamento de Economía.
• Damià Rey Miró & Pedro Piffaut & Ricardo Palomo Zurdo, 2023. "¿Los mercados financieros permiten la independencia de los Bancos Centrales?," Revista de Economía y Finanzas (REyF), Asociación Cuadernos de Economía, vol. 1(1), pages 37-48, Enero.
• Antonio Pérez Cambriles & Sonia Benito Muela, 2023. "Assessing the structure dependence between the Spanish stock market and some international financial markets. A time-varying copula analysis," Revista de Economía y Finanzas (REyF), Asociación Cuadernos de Economía, vol. 1(1), pages 87-122, Enero.
• Germann, Maximilian & Kusmierczyk, Piotr & Puyo, Christelle, 2023. "Results of the 2022 climate risk stress test of the Eurosystem balance sheet," Economic Bulletin Boxes, European Central Bank, vol. 2.
• Hermans, Lieven & Kostka, Thomas & Vassallo, Danilo, 2023. "Asset allocation and risk taking under different interest rate regimes," Working Paper Series 2803, European Central Bank.
• Carradori, Olimpia & Giuzio, Margherita & Kapadia, Sujit & Salakhova, Dilyara & Vozian, Katia, 2023. "Financing the low-carbon transition in Europe," Working Paper Series 2813, European Central Bank.
• Nigar Huseynli, 2023. "Analyzing the Relationship between Oil Prices and Gold Prices before and after COVID-19," International Journal of Energy Economics and Policy, Econjournals, vol. 13(2), pages 373-378, March.
• Nurkhodzha Akbulaev, 2023. "The Impact of Energy Prices on Precious Metals: A Comparison of the SARS-COV2 Period and Prior Period," International Journal of Energy Economics and Policy, Econjournals, vol. 13(2), pages 433-440, March.
• Shafa Guliyeva, 2023. "Analysis of the effect of Energy Prices on Stock Indexes During the Epidemic Crisis," International Journal of Energy Economics and Policy, Econjournals, vol. 13(2), pages 526-536, March.
• Elieser Tarigan, 2023. "Financial Analysis of Solar Rooftop PV System: Case Study in Indonesia," International Journal of Energy Economics and Policy, Econjournals, vol. 13(3), pages 15-19, May.
• Imangulu Muradzada & Nurkhodza Akbulev, 2023. "Empirical Analysis of the Relationship between Basic Energy Sources and the Tourism Sector Index," International Journal of Energy Economics and Policy, Econjournals, vol. 13(4), pages 513-521, July.
• Saâdaoui, Foued, 2023. "Skewed multifractal scaling of stock markets during the COVID-19 pandemic," Chaos, Solitons & Fractals, Elsevier, vol. 170(C).
• Ge, Shuyi, 2023. "A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
• Ding, Jing & Jiang, Lei & Liu, Xiaohui & Peng, Liang, 2023. "Nonparametric tests for market timing ability using daily mutual fund returns," Journal of Economic Dynamics and Control, Elsevier, vol. 150(C).
• Arfaoui, Nadia & Yousaf, Imran & Jareño, Francisco, 2023. "Return and volatility connectedness between gold and energy markets: Evidence from the pre- and post-COVID vaccination phases," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 617-634.
• Li, Zhicheng & Chen, Xinyun & Xing, Haipeng, 2023. "A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market," Economic Modelling, Elsevier, vol. 118(C).
• Caldeira, João F. & Santos, André A.P. & Torrent, Hudson S., 2023. "Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics," Economic Modelling, Elsevier, vol. 122(C).
• Bucci, Andrea & Palomba, Giulio & Rossi, Eduardo, 2023. "The role of uncertainty in forecasting volatility comovements across stock markets," Economic Modelling, Elsevier, vol. 125(C).
• Ciciretti, Vito & Bucci, Andrea, 2023. "Building optimal regime-switching portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
• Motegi, Kaiji & Iitsuka, Yoshitaka, 2023. "Inter-regional dependence of J-REIT stock prices: A heteroscedasticity-robust time series approach," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
• Basak, Gopal K. & Das, Pranab Kumar & Marjit, Sugata & Mukherjee, Debashis & Yang, Lei, 2023. "The British Stock Market, currencies, brexit, and media sentiments: A big data analysis," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
• Stafylas, Dimitrios & Andrikopoulos, Athanasios & Tolikas, Konstantinos, 2023. "Hedge fund performance persistence under different business cycles and stock market regimes," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
• Procasky, William J. & Yin, Anwen, 2023. "Identifying the true nature of price discovery and cross-market informational flow in the investment grade CDS and equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
• Mensi, Walid & Hanif, Waqas & Vo, Xuan Vinh & Choi, Ki-Hong & Yoon, Seong-Min, 2023. "Upside/Downside spillovers between oil and Chinese stock sectors: From the global financial crisis to global pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
• Chen, Na & Jin, Xiu, 2023. "Cross-industry asset allocation with the spatial interaction on multiple risk transmission channels," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
• Huang, Zishan & Zhu, Huiming & Hau, Liya & Deng, Xi, 2023. "Time-frequency co-movement and network connectedness between green bond and financial asset markets: Evidence from multiscale TVP-VAR analysis," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
• Agarwal, Shivam & Muckley, Cal B. & Neelakantan, Parvati, 2023. "Countering racial discrimination in algorithmic lending: A case for model-agnostic interpretation methods," Economics Letters, Elsevier, vol. 226(C).
• Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023. "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, vol. 232(2), pages 416-444.
• Ding, Yashuang (Dexter), 2023. "A simple joint model for returns, volatility and volatility of volatility," Journal of Econometrics, Elsevier, vol. 232(2), pages 521-543.
• Sun, Yucheng & Xu, Wen & Zhang, Chuanhai, 2023. "Identifying latent factors based on high-frequency data," Journal of Econometrics, Elsevier, vol. 233(1), pages 251-270.
• Royer, Julien, 2023. "Conditional asymmetry in Power ARCH(∞) models," Journal of Econometrics, Elsevier, vol. 234(1), pages 178-204.
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• Billio, Monica & Caporin, Massimiliano & Panzica, Roberto & Pelizzon, Loriana, 2023. "The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 196-223.
  • 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, Leibniz Institute for Financial Research SAFE.
• Hong, Yanran & Yu, Jize & Su, Yuquan & Wang, Lu, 2023. "Southern oscillation: Great value of its trends for forecasting crude oil spot price volatility," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 358-368.
• Buckle, Mike & Chen, Jing & Guo, Qian & Li, Xiaoxi, 2023. "Does smile help detect the UK's price leadership change after MiFID?," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 756-769.
• Li, Zepei & Huang, Haizhen, 2023. "Challenges for volatility forecasts of US fossil energy spot markets during the COVID-19 crisis," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 31-45.
• Hassan, Kamrul & Hoque, Ariful & Gasbarro, Dominic & Wong, Wing-Keung, 2023. "Are Islamic stocks immune from financial crises? Evidence from contagion tests," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 919-948.
• Abakah, Emmanuel Joel Aikins & Wali Ullah, GM & Adekoya, Oluwasegun B. & Osei Bonsu, Christiana & Abdullah, Mohammad, 2023. "Blockchain market and eco-friendly financial assets: Dynamic price correlation, connectedness and spillovers with portfolio implications," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 218-243.
• Khaki, Audil & Prasad, Mason & Al-Mohamad, Somar & Bakry, Walid & Vo, Xuan Vinh, 2023. "Re-evaluating portfolio diversification and design using cryptocurrencies: Are decentralized cryptocurrencies enough?," Research in International Business and Finance, Elsevier, vol. 64(C).
• Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2023. "COVID-19 and stock returns: Evidence from the Markov switching dependence approach," Research in International Business and Finance, Elsevier, vol. 64(C).
• Awijen, Haithem & Ben Zaied, Younes & Ben Lahouel, Béchir & Khlifi, Foued, 2023. "Machine learning for US cross-industry return predictability under information uncertainty," Research in International Business and Finance, Elsevier, vol. 64(C).
• Silva, Thiago Christiano & Wilhelm, Paulo Victor Berri & Tabak, Benjamin Miranda, 2023. "Trade matters except to war neighbors: The international stock market reaction to 2022 Russia’s invasion of Ukraine," Research in International Business and Finance, Elsevier, vol. 65(C).
• Ghosh, Bikramaditya & Bouri, Elie & Wee, Jung Bum & Zulfiqar, Noshaba, 2023. "Return and volatility properties: Stylized facts from the universe of cryptocurrencies and NFTs," Research in International Business and Finance, Elsevier, vol. 65(C).
• Hilde C. Bjørnland & Yoosoon Chang & Jamie L. Cross, 2023. "Oil and the Stock Market Revisited: A mixed functional VAR approach," Working Papers No 03/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  • Hilde C. Bjørnland & Yoosoon Chang & Jamie L. Cross, 2023. "Oil and the Stock Market Revisited: A Mixed Functional VAR Approach," CAMA Working Papers 2023-18, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Hilde C. Bjornland & Yoosoon Chang, 2023. "Oil and the Stock Market Revisited: A Mixed Functional VAR Approach," CAEPR Working Papers 2023-005 Classification-1, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
• Jonathan Hambur & Qazi Haque, 2023. "Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!," RBA Research Discussion Papers rdp2023-04, Reserve Bank of Australia.
  • Jonathan Hambur & Qazi Haque, 2023. "Can We Use High-Frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!," CAMA Working Papers 2023-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Jonathan Hambur & Qazi Haque, 2023. "Can we use high-frequency yield data to better understand the effects of monetary policy and its communication? Yes and no!," School of Economics and Public Policy Working Papers 2023-03 Classification-E4, University of Adelaide, School of Economics and Public Policy.
• Kingstone Nyakurukwa & Yudhvir Seetharam, 2023. "Investor reaction to ESG news sentiment: evidence from South Africa," EconomiA, Emerald Group Publishing Limited, vol. 24(1), pages 68-85, March.
• Özgür İcan & Taha Buğra Çelik, 2023. "Weak-form market efficiency and corruption: a cross-country comparative analysis," Journal of Capital Markets Studies, Emerald Group Publishing Limited, vol. 7(1), pages 72-90, April.
• Daniel P. Monteiro, 2023. "Common Sovereign Debt Instruments: An Analytical Framework," European Economy - Discussion Papers 2015 - 194, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
• Alejandro Almedia & Antonio A. Golpe & Juan Manuel Martin & José Carlos Vides, 2023. "The Effect of the U.S. Quantitative Easing on the Term Structure. A Spatial Panel Model Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 73(1), pages 2-23, January.
• Jan Sila & Evzen Kocenda & Ladislav Kristoufek & Jiri Kukacka, 2023. "Good vs. Bad Volatility in Major Cryptocurrencies: The Dichotomy and Drivers of Connectedness," Working Papers IES 2023/24, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2023.
• Andrew C. Meldrum & Oleg Sokolinskiy, 2023. "The Effects of Volatility on Liquidity in the Treasury Market," Finance and Economics Discussion Series 2023-028, Board of Governors of the Federal Reserve System (U.S.).
• Andrea Ajello & Diego Silva & Travis Adams & Francisco Vazquez-Grande, 2023. "More than Words: Twitter Chatter and Financial Market Sentiment," Finance and Economics Discussion Series 2023-034, Board of Governors of the Federal Reserve System (U.S.).
• Hitesh Doshi & Hyung Joo Kim & Sang Byung Seo, 2023. "Options on Interbank Rates and Implied Disaster Risk," Finance and Economics Discussion Series 2023-054, Board of Governors of the Federal Reserve System (U.S.).
• Jason Brown & Nida Çakır Melek & Johannes Matschke & Sai Sattiraju, 2023. "The Missing Tail Risk in Option Prices," Research Working Paper RWP 23-02, Federal Reserve Bank of Kansas City.
• Deniz Erdemlioglu & Christopher J. Neely & Xiye Yang, 2023. "Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications," Working Papers 2023-016, Federal Reserve Bank of St. Louis.
• Kirill D. Shilov & Andrei V. Zubarev, 2023. "Factors of Ethereum Profitability as a Platform for Creating Decentrilized Applications," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 127006, Russia, issue 1, pages 95-115, February.
• Marina Yu. Malkina & Rodion V. Balakin, 2023. "The Relation of Financial and Industrial Stresses to Monetary Policy Parameters in the Russian Economy," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 127006, Russia, issue 3, pages 104-121, June.
• Adel Benhamed & Ahlem Selma Messai & Ghassen El Montasser, 2023. "On the Determinants of Bitcoin Returns and Volatility: What We Get from Gets?," Sustainability, MDPI, vol. 15(3), pages 1-21, January.
• Fredy Gamboa-Estrada, 2023. "The Role of Foreign Investors and Local Agents in the Derivatives Market and their Impact on the Exchange Rate in Colombia: A Wavelet Analysis," IHEID Working Papers 12-2023, Economics Section, The Graduate Institute of International Studies.
• John B. Guerard & Dimitrios D. Thomakos & Foteini Kyriazi & Konstantinos Mamais, 2023. "On the Predictability of the DJIA and S&P500 Indices," Working Papers 2023-001, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
• Bampinas, Georgios & Panagiotidis, Theodore & Politsidis, Panagiotis N., 2023. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Journal of International Money and Finance, Elsevier, vol. 137(C).
  • Bampinas, Georgios & Panagiotidis, Theodore & Politsidis, Panagiotis, 2020. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," MPRA Paper 102846, University Library of Munich, Germany.
  • Georgios Bampinas & Theodore Panagiotidis & Panagiotis Politsidis, 2023. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Post-Print hal-04164277, HAL.
  • Georgios Bampinas & Theodore Panagiotidis & Panagiotis N. Politsidis, 2023. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Working Paper series 23-09, Rimini Centre for Economic Analysis.
• Virbickaite, Audrone & Nguyen, Hoang & Tran, Minh-Ngoc, 2023. "Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models," Working Papers 2023:7, Örebro University, School of Business.
• Artem Aganin & Vyacheslav Manevich & Anatoly Peresetsky & Polina Pogorelova, 2023. "Comparison of Cryptocurrency and Stock Market Volatility Forecast Models," HSE Economic Journal, National Research University Higher School of Economics, vol. 27(1), pages 49-77.
• Watanabe, Toshiaki & Nakajima, Jouchi, 2023. "High-frequency realized stochastic volatility model," Discussion paper series HIAS-E-127, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
• Justyna Klejdysz & Robin L. Lumsdaine, 2023. "Shifts in ECB Communication: A Textual Analysis of the Press Conference," International Journal of Central Banking, International Journal of Central Banking, vol. 19(2), pages 473-542, June.
• Hilde C. Bjørnland & Yoosoon Chang & Jamie L. Cross, 2023. "Oil and the Stock Market Revisited: A Mixed Functional VAR Approach," CAMA Working Papers 2023-18, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Hilde C. Bjornland & Yoosoon Chang, 2023. "Oil and the Stock Market Revisited: A Mixed Functional VAR Approach," CAEPR Working Papers 2023-005 Classification-1, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
  • Hilde C. Bjørnland & Yoosoon Chang & Jamie L. Cross, 2023. "Oil and the Stock Market Revisited: A mixed functional VAR approach," Working Papers No 03/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
• Veysel Karagol, 2023. "How Vulnerable is the Turkish Stock Market to the Credit Default Swap? Evidence from the Markov Switching GARCH Model," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 73(73-1), pages 513-531, June.
• Bukre Yildirim Kulekci & Gulden Poyraz & Ismail Gur & Ozan Evkaya, 2023. "Dependence Analysis of the ISE100 Banking Sector Using Vine Copula," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 73(73-1), pages 55-81, June.
• Zongwu Cai & Hongwei Mei & Rui Wang, 2023. "A Model Specification Test for Nonlinear Stochastic Diffusions with Delay," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202301, University of Kansas, Department of Economics, revised Jan 2023.
• Hema Divya Kantamaneni & Vasudeva Reddy Asi, 2023. "Market Efficiency of Commodity Derivatives with Reference to Nonagricultural Commodities," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 247-258, March.
• Tamara Teplova & Mikova Evgeniia & Qaiser Munir & Nataliya Pivnitskaya, 2023. "Black-Litterman model with copula-based views in mean-CVaR portfolio optimization framework with weight constraints," Economic Change and Restructuring, Springer, vol. 56(1), pages 515-535, February.
• Vaishali S. Dhingra, 2023. "Financial development, economic growth, globalisation and environmental quality in BRICS economies: evidence from ARDL bounds test approach," Economic Change and Restructuring, Springer, vol. 56(3), pages 1651-1682, June.
• Mehmet Ulug & Sayım Işık & Mehmet Mert, 2023. "The effectiveness of ultra-loose monetary policy in a high inflation economy: a time-varying causality analysis for Turkey," Economic Change and Restructuring, Springer, vol. 56(4), pages 2855-2887, August.
• Adlane Haffar & Éric Le Fur & Mohamed Khordj, 2023. "Securitization of pandemic risk by using coronabond," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(2), pages 209-229, June.
• Sunil K. Mohanty & Stein Frydenberg & Petter Osmundsen & Sjur Westgaard & Christian Skjøld, 2023. "Risk factors in stock returns of U.S. oil and gas companies: evidence from quantile regression analysis," Review of Quantitative Finance and Accounting, Springer, vol. 60(2), pages 715-746, February.
• Jeffrey R. Stokes, 2023. "A nonlinear inversion procedure for modeling the effects of economic factors on credit risk migration," Review of Quantitative Finance and Accounting, Springer, vol. 61(3), pages 855-878, October.
• Peter Albrecht, 2023. "Spillover effects between commodities and the Australian dollar," MENDELU Working Papers in Business and Economics 2023-88, Mendel University in Brno, Faculty of Business and Economics.
• Andrea Cipollini & Fabio Parla, 2023. "Climate risk and investment in equities in Europe: a Panel SVAR approach," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0093, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
• Bryan T. Kelly & Dacheng Xiu, 2023. "Financial Machine Learning," NBER Working Papers 31502, National Bureau of Economic Research, Inc.
• Turan G. Bali & Bryan T. Kelly & Mathis Mörke & Jamil Rahman, 2023. "Machine Forecast Disagreement," NBER Working Papers 31583, National Bureau of Economic Research, Inc.
• Antoine Didisheim & Shikun (Barry) Ke & Bryan T. Kelly & Semyon Malamud, 2023. "Complexity in Factor Pricing Models," NBER Working Papers 31689, National Bureau of Economic Research, Inc.
• Veselin Mitev, 2023. "Dynamic Deterministic Factor Analysis Using the Averaged Chain Substitution Method," Ikonomiceski i Sotsialni Alternativi, University of National and World Economy, Sofia, Bulgaria, issue 1, pages 131-148, March.
• Petar Rangelov, 2023. "Application of Fractal Geometry in Studies of the Bulgarian Financial Market," Ikonomiceski i Sotsialni Alternativi, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 81-98, June.
• Seok Young Hong & Ingmar Nolte & Stephen J Taylor & Xiaolu Zhao, 2023. "Volatility Estimation and Forecasts Based on Price Durations [Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise]," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 21(1), pages 106-144.
• C Alan Bester & Victor H Martinez & Ioanid Roşu, 2023. "Option Prices and the Probability of Success of Cash Mergers [Empirical Performance of Alternative Option Pricing Models]," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 21(1), pages 145-186.
• Shige Peng & Shuzhen Yang & Jianfeng Yao, 2023. "Improving Value-at-Risk Prediction Under Model Uncertainty [A Comprehensive Review of Value at Risk Methodologies]," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 21(1), pages 228-259.
• Zhao Zhao & Olivier Ledoit & Hui Jiang, 2023. "Risk Reduction and Efficiency Increase in Large Portfolios: Gross-Exposure Constraints and Shrinkage of the Covariance Matrix [Approaching Mean–Variance Efficiency for Large Portfolios]," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 21(1), pages 73-105.
• Sosa Castro, Magnolia Miriam & Ortiz, Edgar & Cabello-Rosales, Alejandra, 2023. "COVID19 Outbreak Impact on International Stock Markets Volatility Contagion [Impacto del estallido de COVID19 en la volatilidad de los mercados de capital internacionales]," 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. 35(1), pages 175-200, June.
• Alonso-Neira, Miguel A. & Sánchez-Bayón, Antonio & Castro-Oliva, Marcos, 2023. "Teoría austriaca del ciclo económico aplicada al caso español: del inicio del euro a la gran recesión y su recuperación [Austrian economic cycle theory applied to the Spanish case: from the begging," 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. 35(1), pages 280-310, June.
• Viviane Naimy & Rim El Khoury & José-María Montero & Jana Souk, 2023. "Post-Brexit exchange rate volatility and its impact on UK exports to eurozone countries: A bounds testing approach," Oeconomia Copernicana, Institute of Economic Research, vol. 14(1), pages 135-168, March.
• Tunio, Mohsin Waheed, 2023. "What Explains the Volatility in Pakistan’s Sovereign Bond Yields?," MPRA Paper 116030, University Library of Munich, Germany.
• Zulu, Thulani & Manguzvane, Mathias Mandla & Bonga-Bonga, Lumengo, 2023. "Assessing the contribution of South African Insurance Firms to Systemic Risk," MPRA Paper 116815, University Library of Munich, Germany.
• Mohajan, Devajit & Mohajan, Haradhan, 2023. "Sensitivity Analysis for Utility Maximization: A Study on Lagrange Multipliers and Commodity Coupons," MPRA Paper 117077, University Library of Munich, Germany, revised 06 Jan 2023.
• Bampinas, Georgios & Panagiotidis, Theodore, 2023. "How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages?," MPRA Paper 117094, University Library of Munich, Germany.
• Mohajan, Devajit & Mohajan, Haradhan, 2023. "Sensitivity Analysis of Inputs of an Organization: A Profit Maximization Exploration," MPRA Paper 117121, University Library of Munich, Germany, revised 12 Mar 2023.
• Fantazzini, Dean, 2023. "Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models," MPRA Paper 117141, University Library of Munich, Germany.
• Mohajan, Devajit & Mohajan, Haradhan, 2023. "Mathematical Model for Nonlinear Budget Constraint: Economic Activities on Increased Budget," MPRA Paper 117299, University Library of Munich, Germany, revised 17 Mar 2023.
• Lee, David, 2023. "An Analytic Solution for Valuing Guaranteed Equity Securities," MPRA Paper 117775, University Library of Munich, Germany.
• Mohajan, Devajit & Mohajan, Haradhan, 2023. "An Economical Study When Cost of Irregular Raw Materials of an Industry Increases for Nonlinear Budget Constraint," MPRA Paper 118176, University Library of Munich, Germany, revised 05 May 2023.
• Fantazzini, Dean & Xiao, Yufeng, 2023. "Detecting Pump-and-Dumps with Crypto-Assets: Dealing with Imbalanced Datasets and Insiders’ Anticipated Purchases," MPRA Paper 118435, University Library of Munich, Germany.
• Li, Chenxing & Zhang, Zehua & Zhao, Ran, 2023. "Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?," MPRA Paper 118459, University Library of Munich, Germany.
• Nicolau, João & Rodrigues, Paulo M.M. & Stoykov, Marian Z., 2023. "Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics," Journal of Econometrics, Elsevier, vol. 235(2), pages 2266-2284.
  • Paulo M.M. Rodrigues & João Nicolau & Marian Z. Stoykov, 2023. "Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics," Working Papers w202306, Banco de Portugal, Economics and Research Department.
• Thorsten V. Koeppl & Jeremy M Kronick & James McNeil, 2023. "Using Functional Shocks to Assess Conventional and Unconventional Monetary Policy in Canada," Working Paper 1499, Economics Department, Queen's University.

2022

• Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022. "A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model," Econometrics, MDPI, vol. 10(3), pages 1-41, August.
  • Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022. "A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model," CREATES Research Papers 2022-01, Department of Economics and Business Economics, Aarhus University.
• Kristoffer Pons Bertelsen, 2022. "The Prior Adaptive Group Lasso and the Factor Zoo," CREATES Research Papers 2022-05, Department of Economics and Business Economics, Aarhus University.
• Teodora Cristina Barbu & Cosmin-Octavian Cepoi & Crina Raluca Petrescu & Mariana Vuta, 2022. "The Assessment of Climate Risk Impact on the Economy: A Panel Data Approach," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 24(61), pages 597-597, August.
• Dan Ioan Topor & Andreea Marin-Pantelescu & Adela Socol & Oana Raluca Ivan, 2022. "Decarbonization of the Romanian Economy: An ARDL and KRLS Approach of Ecological Footprint," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 24(61), pages 664-664, August.
• Mehmet Eraslan & Selahattin Koç, 2022. "Endeks Vadeli İşlemlerin Pay Senedi Endeksleri Üzerindeki Volatilite Etkisi: Asya-Pasifik Ülkeleri Üzerine Bir Araştırma," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 7(2), pages 567-589.
• Hüseyin Özdemir, 2022. "Altının Riskten Korunma Etkinliği: Farklı Dinamik Portföy Yaklaşımları İle Bankacılık Sektörü İçin Bir Analiz," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 7(4), pages 889-908.
• Esengül Salihoğlu, 2022. "Türkiye’de Katılım Bankacılığı Büyüklüğünü Etkileyen Seçilmiş Faktörler Üzerine Bir Analiz," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 7(SI), pages 211-234.
• Ebubekir Mollaahmetoğlu & Burçay Yaşar Akçalı, 2022. "Elektronik Ürün Senedi (ELÜS) Endeksleri ile ABD Dolar Endeksi ve Dolar Kuru Arasındaki İlişkinin Simetrik ve Asimetrik Nedensellik Testleri ile Analizi," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 7(SI), pages 45-60.
• Attila Szora TAMAȘ & Alexandra Delia BUGNARIU & Dan Ioan TOPOR & Dan Mihai MUREȘAN, 2022. "The Impact of Determinant Factors on Production Cost Variation – An Empirical Study," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, vol. 1(24), pages 83-90, November.
• Stefano Giglio & Bryan Kelly & Dacheng Xiu, 2022. "Factor Models, Machine Learning, and Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 14(1), pages 337-368, November.
• Майданов С.Ж. // Maidanov S.Zh. & Табарак Ы.Ж. // Tabarak Y.Zh., 2022. "Совершенствование моделей прогнозирования объема наличных денег в обращении в Республике Казахстан // Improving the models for forecasting the volume of cash in circulation in the Republic of Kazakhst," Economic Review(National Bank of Kazakhstan), National Bank of Kazakhstan, issue 2, pages 4-21.
• Oscar Claveria & Enric Monte & Petar Soric & Salvador Torra, 2022. ""An application of deep learning for exchange rate forecasting"," IREA Working Papers 202201, University of Barcelona, Research Institute of Applied Economics, revised Jan 2022.
  • Oscar Claveria & Enric Monte & Petar Soric & Salvador Torra, 2022. "“An application of deep learning for exchange rate forecasting”," AQR Working Papers 202201, University of Barcelona, Regional Quantitative Analysis Group, revised Jan 2022.
• Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 113096, University Library of Munich, Germany.
  • Victor Olkhov, 2022. "The Market-Based Asset Price Probability," Papers 2205.07256, arXiv.org, revised Aug 2022.
  • Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 115382, University Library of Munich, Germany, revised 16 Nov 2022.
• Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2021. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Swiss Finance Institute Research Paper Series 21-09, Swiss Finance Institute.
  • Gaetan Bakalli & St'ephane Guerrier & Olivier Scaillet, 2022. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Papers 2208.00972, arXiv.org.
• H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022. "Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation," Tinbergen Institute Discussion Papers 22-000/III, Tinbergen Institute.
  • H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022. "Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation," Papers 2210.06217, arXiv.org.
• Carlos Moreno Pérez & Marco Minozzo, 2022. "Natural Language Processing and Financial Markets: Semi-supervised Modelling of Coronavirus and Economic News," Working Papers 2228, Banco de España.
• Alpino, Matteo & Citino, Luca & Zeni, Federica, 2023. "Costs and benefits of the green transitionenvisaged in the Italian NRRP - An evaluation using the social cost of carbon," Energy Policy, Elsevier, vol. 182(C).
  • Matteo Alpino & Luca Citino & Federica Zeni, 2022. "Costs and benefits of the green transition envisaged in the italian NRRP. An evaluation using the Social Cost of Carbon," Questioni di Economia e Finanza (Occasional Papers) 720, Bank of Italy, Economic Research and International Relations Area.
• Giulio Gariano & Gianluca Viggiano, 2022. "Press news and social media in credit risk assessment: the experience of Banca d’Italia’s In-house Credit Assessment System," Temi di discussione (Economic working papers) 24, Bank of Italy, Economic Research and International Relations Area.
• Sara Cecchetti & Adriana Grasso & Marcello Pericoli, 2022. "An analysis of objective inflation expectations and inflation risk premia," Temi di discussione (Economic working papers) 1380, Bank of Italy, Economic Research and International Relations Area.
• Fredy Gamboa-Estrada & José Vicente Romero, 2022. "Modelling CDS Volatility at Different Tenures: An Application for Latin-American Countries," Borradores de Economia 1199, Banco de la Republica de Colombia.
• Ali Cüneyt ÇETİN, 2022. "Kredi Temerrüt Takasları Primi ile BIST 100 Endeksi, Döviz Kuru ve Faiz Arasındaki İlişki Türkiye Örneği," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, vol. 6(1), pages 39-77, August.
• Laura Capota & Margherita Giuzio & Sujit Kapadia & Dilyara Salakhova, 2022. "Are ethical and green investment funds more resilient?," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Statistics for Sustainable Finance, volume 56, Bank for International Settlements.
  • Capotă, Laura-Dona & Giuzio, Margherita & Kapadia, Sujit & Salakhova, Dilyara, 2022. "Are ethical and green investment funds more resilient?," Working Paper Series 2747, European Central Bank.
• Thiago Christiano Silva & Sergio Rubens Stancato de Souza & Solange Maria Guerra, 2022. "Covid-19 and market power in local credit markets: the role of digitalization," BIS Working Papers 1017, Bank for International Settlements.
• Aleksei Kipriyanov, 2022. "Comparison of Models for Growth-at-Risk Forecasting," Russian Journal of Money and Finance, Bank of Russia, vol. 81(1), pages 23-45, March.
• Evgeny Moiseev & Denis Zagorodnev & Alexander Berezinskiy & Roman Tikhonov, 2022. "A Method for Assessing the IT Component of Model Risk and the Economic Capital to Cover It," Russian Journal of Money and Finance, Bank of Russia, vol. 81(3), pages 107-127, September.
• Laurent Barras & Patrick Gagliardini & Olivier Scaillet, 2022. "Skill, Scale, and Value Creation in the Mutual Fund Industry," Journal of Finance, American Finance Association, vol. 77(1), pages 601-638, February.
  • Barras, Laurent & Scaillet, Olivier & Gagliardini, Patrick, 2021. "Skill, scale, and value creation in the mutual fund industry," Working Papers unige:150822, University of Geneva, Geneva School of Economics and Management.
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  • Fantazzini, Dean, 2022. "Crypto Coins and Credit Risk: Modelling and Forecasting their Probability of Death," MPRA Paper 113744, University Library of Munich, Germany.
• Lee, David, 2022. "Pricing Cancellation Product," MPRA Paper 114147, University Library of Munich, Germany.
• Bigerna, Simona & D'Errico, Maria Chiara & Polinori, Paolo & Simshauer, Paul, 2022. "Renewable energy and portfolio volatility spillover effects of GCC oil exporting countries," MPRA Paper 114164, University Library of Munich, Germany.
• Yang, Bill Huajian, 2022. "Modeling Path-Dependent State Transition by a Recurrent Neural Network," MPRA Paper 114188, University Library of Munich, Germany, revised 18 Jul 2022.
• Lee, David, 2022. "Generic Price Model for Commodity Derivatives," MPRA Paper 114283, University Library of Munich, Germany.
• Chaturvedi, Priya & Kumar, Kuldeep, 2022. "Econometric modelling of exchange rate volatility using mixed-frequency data," MPRA Paper 115222, University Library of Munich, Germany.
• Storti, Giuseppe & Wang, Chao, 2022. "A multivariate semi-parametric portfolio risk optimization and forecasting framework," MPRA Paper 115266, University Library of Munich, Germany.
• Victor Olkhov, 2022. "The Market-Based Asset Price Probability," Papers 2205.07256, arXiv.org, revised Aug 2022.
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• Li, Chenxing & Maheu, John M & Yang, Qiao, 2022. "An Infinite Hidden Markov Model with Stochastic Volatility," MPRA Paper 115456, University Library of Munich, Germany.
• Yang, Zixiu & Fantazzini, Dean, 2022. "Using crypto assets pricing methods to build technical oscillators for short-term bitcoin trading," MPRA Paper 115508, University Library of Munich, Germany.
• Gaete, Michael & Herrera, Rodrigo, 2022. "Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach," MPRA Paper 115641, University Library of Munich, Germany.
• Datta, Susanta & Hatekar, Neeraj, 2022. "Range Volatility Spillover across Sectoral Stock Indices during COVID-19 Pandemic: Evidence from Indian Stock Market," MPRA Paper 117285, University Library of Munich, Germany.
• Lycheva, Maria & Mironenkov, Alexey & Kurbatskii, Alexey & Fantazzini, Dean, 2022. "Forecasting oil prices with penalized regressions, variance risk premia and Google data," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 68, pages 28-49.
  • Fantazzini, Dean & Kurbatskii, Alexey & Mironenkov, Alexey & Lycheva, Maria, 2022. "Forecasting oil prices with penalized regressions, variance risk premia and Google data," MPRA Paper 118239, University Library of Munich, Germany.
• Mawuli Segnon & Rangan Gupta & Bernd Wilfling, 2022. "Forecasting Stock Market Volatility with Regime-Switching GARCH-MIDAS: The Role of Geopolitical Risks," Working Papers 202203, University of Pretoria, Department of Economics.
• Xolani Sibande & Riza Demirer & Mehmet Balcilar & Rangan Gupta, 2022. "On the Pricing Effects of Bitcoin Mining in the Fossil Fuel Market: The Case of Coal," Working Papers 202239, University of Pretoria, Department of Economics.
• Zbyněk Revenda & Markéta Arltová, 2022. "Akcie, zlato a inflace - vztahy a souvislosti v posledních 25 letech [Stocks, Gold and Inflation - Relationships and Contexts Over the Last 25 Years]," Politická ekonomie, Prague University of Economics and Business, vol. 2022(3), pages 288-311.
• Sophio Togonidze & Evzen Kocenda, 2022. "Macroeconomic Implications of Oil-Price Shocks to Emerging Economies: A Markov Regime-Switching Approach," Working Papers IES 2022/21, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2022.
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• Caio Almeida & Gustavo Freire & Rafael Azevedo & Kym Ardison, 2022. "Nonparametric Option Pricing with Generalized Entropic Estimators," Working Papers 2022-25, Princeton University. Economics Department..
• Caio Almeida & Jianqing Fan & Gustavo Freire & Francesca Tang, 2022. "Can a Machine Correct Option Pricing Models?," Working Papers 2022-9, Princeton University. Economics Department..
• Roy Havemann & Henk Janse van Vuuren & Daan Steenkamp & Rossouw van Jaarsveld, 2022. "The bond market impact of the South African Reserve Bank bond purchase programme," Working Papers 11024, South African Reserve Bank.
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• Kalima, Bwalya & Gopane, Thabo, 2022. "Portfolio performance under dynamic systematic risk and conditional betas: The South African unit trust market," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 66, pages 85-98.
• Arı, Yakup, 2022. "USD/TRY and foreign banks in Turkey: Evidence by TVP-VAR," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 67, pages 5-26.
• Lycheva, Maria & Mironenkov, Alexey & Kurbatskii, Alexey & Fantazzini, Dean, 2022. "Forecasting oil prices with penalized regressions, variance risk premia and Google data," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 68, pages 28-49.
  • Fantazzini, Dean & Kurbatskii, Alexey & Mironenkov, Alexey & Lycheva, Maria, 2022. "Forecasting oil prices with penalized regressions, variance risk premia and Google data," MPRA Paper 118239, University Library of Munich, Germany.
• Poutré, Cédric & Dionne, Georges & Yergeau, Gabriel, 2022. "The Profitability of Lead-Lag Arbitrage at High-Frequency," Working Papers 22-5, HEC Montreal, Canada Research Chair in Risk Management.
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• Ömer ÖNALAN, 2022. "Joint Modelling of S&P500 and VIX Indices with Rough Fractional Ornstein-Uhlenbeck Volatility Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 68-84, April.
• Ömer ÖNALAN, 2022. "Joint Modelling of S&P500 and VIX Indices with Rough Fractional Ornstein-Uhlenbeck Volatility Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 69-85, April.
• Muhammad Ateeq ur REHMAN & Furman ALI & Shang XIE, 2022. "Impact of Foreign Investment News on the Return, Cost of Equity and Cash Flow Activities," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 112-127, December.
• Dragos HURU & Ioana MANAFI & Ionut PANDELICA & Marilena Carmen UZLAU, 2022. "Nonlinear Dependencies between Green Bonds and General Financial Market Indices," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 169-181, December.
• Ying-Sing LIU & Liza LEE, 2022. "Are Modifications in the ETF's Investment Performance and Risks during the COVID-19 Pandemic Event?," Review of Applied Socio-Economic Research, Pro Global Science Association, vol. 23(1), pages 05-17, June.
• Tom Beernaert & Nicolas Soenen & Rudi Vander Vennet, 2022. "ECB Monetary Policy and the Term Structure of Bank Default Risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 22/1050, Ghent University, Faculty of Economics and Business Administration.
• Chevaughn Van Der Westhuizen & Rene㉠Van Eyden & Goodness C. Aye, 2022. "Contagion Across Financial Markets During Covid-19: A Look At Volatility Spillovers Between The Stock And Foreign Exchange Markets In South Africa," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 17(01), pages 1-46, March.
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• Roy Havemann & Henk Janse van Vuuren & Daan Steenkamp & Rossouw van Jaarsveld, 2022. "The bond market impact of the South African Reserve Bank bond purchase programme," Working Papers 11024, South African Reserve Bank.
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• Hui Zeng & Ben R Marshall & Nhut H Nguyen & Nuttawat Visaltanachoti, 2022. "Are individual stock returns predictable?," Australian Journal of Management, Australian School of Business, vol. 47(1), pages 135-162, February.
• Daitri Tiwary & Khanindra Ch. Das & Jagdish Shettigar & Pooja Misra, 2022. "Exchange Rate Volatility and Financial Stress: Evidence from Developing Asia," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 21(4), pages 355-384, December.
• S S S Kumar, 2022. "Institutional Herding: Causality and Persistence," IIM Kozhikode Society & Management Review, , vol. 11(2), pages 183-194, July.
• Soham Banerjee & Diganta Mukherjee, 2022. "Short Term Stock Price Prediction in Indian Market: A Neural Network Perspective," Studies in Microeconomics, , vol. 10(1), pages 23-49, June.
• Gabriela Brendea & Fanuta Pop & Loredana Mihalca, 2022. "Capital Structure and Firm Performance: The Case of Central and Eastern European Economies," Journal of Economics / Ekonomicky casopis, Institute of Economic Research, Slovak Academy of Sciences, vol. 70(5), pages 430-449, May.
• Zdravka Aljinoviæ & Tea Šestanoviæ & Blanka Škrabiæ Periæ, 2022. "A New Evidence of the Relationship between Cryptocurrencies and other Assets from the COVID-19 Crisis," Journal of Economics / Ekonomicky casopis, Institute of Economic Research, Slovak Academy of Sciences, vol. 70(7-8), pages 603-621, July.
• Marek Gruszczynski, 2022. "On the Use of Quantitative Methods in Accounting Research in Poland," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 2(18), pages 17-29, November.
• Hachmi Ben Ameur & Zied Ftiti & Waël Louhichi, 2022. "Revisiting the relationship between spot and futures markets: evidence from commodity markets and NARDL framework," Annals of Operations Research, Springer, vol. 313(1), pages 171-189, June.
• Syed Kumail Abbas Rizvi & Bushra Naqvi & Nawazish Mirza, 2022. "Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs," Annals of Operations Research, Springer, vol. 313(1), pages 495-524, June.
• Rabeh Khalfaoui & Sakiru Adebola Solarin & Adel Al-Qadasi & Sami Ben Jabeur, 2022. "Dynamic causality interplay from COVID-19 pandemic to oil price, stock market, and economic policy uncertainty: evidence from oil-importing and oil-exporting countries," Annals of Operations Research, Springer, vol. 313(1), pages 105-143, June.
• M. Karanasos & S. Yfanti & J. Hunter, 2022. "Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises," Annals of Operations Research, Springer, vol. 313(2), pages 1077-1116, June.
• Giacomo Toscano & Maria Cristina Recchioni, 2022. "Bias-optimal vol-of-vol estimation: the role of window overlapping," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 137-185, June.
• Charl Maree & Christian W. Omlin, 2022. "Reinforcement learning with intrinsic affinity for personalized prosperity management," Digital Finance, Springer, vol. 4(2), pages 241-262, September.
• Rupel Nargunam & Ananya Lahiri, 2022. "Persistence in daily returns of stocks with highest market capitalization in the Indian market," Digital Finance, Springer, vol. 4(4), pages 341-374, December.
• Galena Pisoni & Alessia Paccagnini & Claudia Tarantola & Alessandra Tanda & Albulena Shala & Kherbouche Meriem, 2022. "SI women in Fintech and AI," Digital Finance, Springer, vol. 4(4), pages 263-264, December.
• Theodoros Daglis & Ioannis G. Melissaropoulos & Konstantinos N. Konstantakis & Panayotis G. Michaelides, 2022. "The impact of COVID-19 on global stock markets: early linear and non-linear evidence for Italy," Evolutionary and Institutional Economics Review, Springer, vol. 19(1), pages 485-495, April.
• Hiroyuki Kawakatsu, 2022. "Local projection variance impulse response," Empirical Economics, Springer, vol. 62(3), pages 1219-1244, March.
• Reinhold Heinlein & Gabriele M. Lepori, 2022. "Do financial markets respond to macroeconomic surprises? Evidence from the UK," Empirical Economics, Springer, vol. 62(5), pages 2329-2371, May.
• Sofiane Aboura, 2022. "A note on the Bitcoin and Fed Funds rate," Empirical Economics, Springer, vol. 63(5), pages 2577-2603, November.
• Masato Ubukata, 2022. "A time-varying jump tail risk measure using high-frequency options data," Empirical Economics, Springer, vol. 63(5), pages 2633-2653, November.
• Aktham Maghyereh & Hussein Abdoh, 2022. "COVID-19 and the volatility interlinkage between bitcoin and financial assets," Empirical Economics, Springer, vol. 63(6), pages 2875-2901, December.
• Resul Aydemir & Huzeyfe Zahit Atan & Bulent Guloglu, 2022. "How do the global equity and bond markets affect Islamic and conventional banks? A comparative cross-country analysis using multivariate regression quantiles," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(1), pages 95-114, March.
• Jens Klose, 2022. "Comparing cryptocurrencies and gold - a system-GARCH-approach," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(4), pages 653-679, December.
• François-Éric Racicot & Raymond Théoret, 2022. "Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
• Onur Özdemir, 2022. "Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-38, December.
• Joseph P. Hughes & Julapa Jagtiani & Choon-Geol Moon, 2022. "Consumer lending efficiency: commercial banks versus a fintech lender," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-39, December.
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  • Joseph P. Hughes & Julapa Jagtiani & Choon-Geol Moon, 2019. "Consumer Lending Efficiency:Commercial Banks Versus A Fintech Lender," Working Papers 19-22, Federal Reserve Bank of Philadelphia.
• Jinxin Cui & Aktham Maghyereh, 2022. "Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
• Noureddine Benlagha & Wael Hemrit, 2022. "Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(1), pages 1-21, January.
• Anna Gloria Billé & Massimiliano Caporin, 2022. "Impact of COVID-19 on financial returns: a spatial dynamic panel data model with random effects," Journal of Spatial Econometrics, Springer, vol. 3(1), pages 1-21, December.
• Dervis Kirikkaleli & Ibrahim Darbaz, 2022. "New insights into an old issue: modelling the U.S. food prices," Letters in Spatial and Resource Sciences, Springer, vol. 15(3), pages 675-689, December.
• Stavros Degiannakis & Christos Floros & Enrique Salvador & Dimitrios Vougas, 2022. "On the stationarity of futures hedge ratios," Operational Research, Springer, vol. 22(3), pages 2281-2303, July.
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• Mehmet Sahiner, 2022. "Forecasting volatility in Asian financial markets: evidence from recursive and rolling window methods," SN Business & Economics, Springer, vol. 2(10), pages 1-74, October.
• Tirngo Dinku & Gardachew Worku, 2022. "Asymmetric GARCH models on price volatility of agricultural commodities," SN Business & Economics, Springer, vol. 2(11), pages 1-17, November.
• Kavya Clanganthuruthil Sajeev & Mohd Afjal, 2022. "Contagion effect of cryptocurrency on the securities market: a study of Bitcoin volatility using diagonal BEKK and DCC GARCH models," SN Business & Economics, Springer, vol. 2(6), pages 1-21, June.
• Hong-Yi Chen & Alice C. Lee & Cheng-Few Lee, 2022. "Alternative Errors-in-Variables Models and Their Applications in Finance Research," Springer Books, in: Cheng-Few Lee & Alice C. Lee (ed.), Encyclopedia of Finance, edition 0, chapter 100, pages 2369-2408, Springer.
• Robert H. Patrick, 2022. "Financial Panel Data Models, Strict Versus Contemporaneous Exogeneity, and Durbin-Wu-Hausman Specification Tests," Springer Books, in: Cheng-Few Lee & Alice C. Lee (ed.), Encyclopedia of Finance, edition 0, chapter 78, pages 1799-1828, Springer.
• Jan Klacso, 2022. "Incorporating Individual Retail Loan Data into the Macro Stress Testing Framework," Working and Discussion Papers OP 2/2022, Research Department, National Bank of Slovakia.
• Michael Mark & Jan Sila & Thomas A. Weber, 2022. "Quantifying endogeneity of cryptocurrency markets," The European Journal of Finance, Taylor & Francis Journals, vol. 28(7), pages 784-799, May.
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• David De Villiers & Andrew Phiri, 2022. "Towards resolving the purchasing power parity (PPP) ‘Puzzle’ in newly industrialized countries (NIC’s)," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 31(2), pages 161-180, February.
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• Arianna Agosto & Daniel Felix Ahelegbey, 2022. "Default count-based network models for credit contagion," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 73(1), pages 139-152, January.
  • Arianna Agosto & Daniel Felix Ahelegbey, 2020. "Default count-based network models for credit contagion," DEM Working Papers Series 180, University of Pavia, Department of Economics and Management.
• Erik Kole & Dick van Dijk, 2022. "Moments, Shocks and Spillovers in Markov-switching VAR Models," Tinbergen Institute Discussion Papers 21-080/III, Tinbergen Institute, revised 11 Jan 2022.
• Jean-Claude Hessing & Rutger-Jan Lange & Daniel Ralph, 2022. "This article establishes the Poisson optional stopping times (POST) method by Lange et al. (2020) as a near-universal method for solving liquidity-constrained American options, or, equivalently, penal," Tinbergen Institute Discussion Papers 22-007/IV, Tinbergen Institute.
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• Goran Mojanoski, 2022. "Long-Run And Short-Run Causality Between Stock Price Indices And Macroeconomic Variables: Evidence Of Panel Vecm Analysis From Bosnia And Herzegovina, Croatia, North Macedonia And Serbia," Economic Review: Journal of Economics and Business, University of Tuzla, Faculty of Economics, vol. 20(2), pages 3-14, November.
• Beatriz de la Flor & Javier Ojea-Ferreiro & Eva Ferreira, 2022. "The Hedging Cost of Forgetting the Exchange Rate," Documentos de Trabajo del ICAE 2022-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Tran, Thuy Nhung, 2022. "The Volatility of the Stock Market and Financial Cycle: GARCH Family Models," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 56(1), pages 151-168.
• Urom, C. & Ndubuisi, Gideon & Guesmi, K., 2022. "Quantile return and volatility connectedness among Non-Fungible Tokens (NFTs) and (un)conventional asset," MERIT Working Papers 2022-017, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
• Fengler, Matthias & Polivka, Jeannine, 2022. "Structural Volatility Impulse Response Analysis," Economics Working Paper Series 2211, University of St. Gallen, School of Economics and Political Science.
• Öner Selma, 2022. "The effects of global risk indicators on the MSCI emerging markets index," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 18(3), pages 1-10, September.
• Enache Calcedonia, 2022. "Macroeconomic Determinants of Household Indebtedness in Romania: An Econometric Approach," Journal of Social and Economic Statistics, Sciendo, vol. 11(1-2), pages 102-117, December.
• Baiquan Ma & Robert Ślepaczuk, 2022. "The profitability of pairs trading strategies on Hong-Kong stock market: distance, cointegration, and correlation methods," Working Papers 2022-02, Faculty of Economic Sciences, University of Warsaw.
• Maciej Wysocki & Paweł Sakowski, 2022. "Investment Portfolio Optimization Based on Modern Portfolio Theory and Deep Learning Models," Working Papers 2022-12, Faculty of Economic Sciences, University of Warsaw.
• Illia Baranochnikov & Robert Ślepaczuk, 2022. "A comparison of LSTM and GRU architectures with novel walk-forward approach to algorithmic investment strategy," Working Papers 2022-21, Faculty of Economic Sciences, University of Warsaw.
• Katarzyna Kryńska & Robert Ślepaczuk, 2022. "Daily and intraday application of various architectures of the LSTM model in algorithmic investment strategies on Bitcoin and the S&P 500 Index," Working Papers 2022-25, Faculty of Economic Sciences, University of Warsaw.
• Thi Thu Giang Nguyen & Robert Ślepaczuk, 2022. "The efficiency of various types of input layers of LSTM model in investment strategies on S&P500 index," Working Papers 2022-29, Faculty of Economic Sciences, University of Warsaw.
• Thi Huyen Tran & Robert Ślepaczuk, 2022. "Quantile regression analysis to predict GDP distribution using data from the US and UK," Working Papers 2022-30, Faculty of Economic Sciences, University of Warsaw.
• Chevaughn Van Der Westhuizen & Rene㉠Van Eyden & Goodness C. Aye, 2022. "Contagion Across Financial Markets During Covid-19: A Look At Volatility Spillovers Between The Stock And Foreign Exchange Markets In South Africa," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 17(01), pages 1-46, March.
• Shoaib Ali & Muhammad Naveed & Aisha Saleem & Muhammad Wajahat Nasir, 2022. "Time-Frequency Co-Movement Between Covid-19 And Pakistan’S Stock Market: Empirical Evidence From Wavelet Coherence Analysis," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 17(04), pages 1-17, December.
• Siyu Liu & Chaoyi Zhao & Lan Wu, 2022. "Order types and natural price change: Model and empirical study of the Chinese market," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(04), pages 1-32, December.
• Giuliana Borello & Francesca Pampurini & Anna Grazia Quaranta, 2022. "Can High-Tech Investments Improve Banking Efficiency?," Journal of Financial Management, Markets and Institutions (JFMMI), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 1-19, June.
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• Christopher Hian-Ann Ting, 2022. "Algorithmic Finance:A Companion to Data Science," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 12315, September.
• Graham L Giller, 2022. "Adventures in Financial Data Science:The Empirical Properties of Financial and Economic Data," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 12678, September.
• Ricardo G Barcelona, 2022. "Dynamic Decisions:Energy PIVOT, Adaptive Moves, Winning BOUnCE," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number q0353, September.
• Ricardo G Barcelona & Franz Heukamp, 2022. "From Impasse to PIVOT," World Scientific Book Chapters, in: Dynamic Decisions Energy PIVOT, Adaptive Moves, Winning BOUnCE, chapter 1, pages 3-73, World Scientific Publishing Co. Pte. Ltd..
• Ricardo G Barcelona & Franz Heukamp, 2022. "Policy and Managerial Actions," World Scientific Book Chapters, in: Dynamic Decisions Energy PIVOT, Adaptive Moves, Winning BOUnCE, chapter 2, pages 75-133, World Scientific Publishing Co. Pte. Ltd..
• Ricardo G Barcelona & Franz Heukamp, 2022. "Articulate a Purpose," World Scientific Book Chapters, in: Dynamic Decisions Energy PIVOT, Adaptive Moves, Winning BOUnCE, chapter 3, pages 137-188, World Scientific Publishing Co. Pte. Ltd..
• Ricardo G Barcelona & Franz Heukamp, 2022. "Bounded Possibilities," World Scientific Book Chapters, in: Dynamic Decisions Energy PIVOT, Adaptive Moves, Winning BOUnCE, chapter 4, pages 189-240, World Scientific Publishing Co. Pte. Ltd..
• Ricardo G Barcelona & Franz Heukamp, 2022. "Calibrate," World Scientific Book Chapters, in: Dynamic Decisions Energy PIVOT, Adaptive Moves, Winning BOUnCE, chapter 5, pages 241-293, World Scientific Publishing Co. Pte. Ltd..
• Ricardo G Barcelona & Franz Heukamp, 2022. "Take Actions to De-risk," World Scientific Book Chapters, in: Dynamic Decisions Energy PIVOT, Adaptive Moves, Winning BOUnCE, chapter 6, pages 295-355, World Scientific Publishing Co. Pte. Ltd..
• Ricardo G Barcelona & Franz Heukamp, 2022. "Cost of Energy," World Scientific Book Chapters, in: Dynamic Decisions Energy PIVOT, Adaptive Moves, Winning BOUnCE, chapter 7, pages 359-412, World Scientific Publishing Co. Pte. Ltd..
• Ricardo G Barcelona & Franz Heukamp, 2022. "Levers of Value," World Scientific Book Chapters, in: Dynamic Decisions Energy PIVOT, Adaptive Moves, Winning BOUnCE, chapter 8, pages 413-467, World Scientific Publishing Co. Pte. Ltd..
• Ricardo G Barcelona & Franz Heukamp, 2022. "Price Taker," World Scientific Book Chapters, in: Dynamic Decisions Energy PIVOT, Adaptive Moves, Winning BOUnCE, chapter 9, pages 469-510, World Scientific Publishing Co. Pte. Ltd..
• Ricardo G Barcelona & Franz Heukamp, 2022. "Oligopolistic Rivalries," World Scientific Book Chapters, in: Dynamic Decisions Energy PIVOT, Adaptive Moves, Winning BOUnCE, chapter 10, pages 511-582, World Scientific Publishing Co. Pte. Ltd..
• Ricardo G Barcelona & Franz Heukamp, 2022. "PIVOT and BOUnCE to Profit," World Scientific Book Chapters, in: Dynamic Decisions Energy PIVOT, Adaptive Moves, Winning BOUnCE, chapter 11, pages 585-640, World Scientific Publishing Co. Pte. Ltd..
• Graham L. Giller, 2022. "Biography and Beginnings," World Scientific Book Chapters, in: Adventures in Financial Data Science The Empirical Properties of Financial and Economic Data, chapter 1, pages 1-30, World Scientific Publishing Co. Pte. Ltd..
• Graham L. Giller, 2022. "Financial Data," World Scientific Book Chapters, in: Adventures in Financial Data Science The Empirical Properties of Financial and Economic Data, chapter 2, pages 31-139, World Scientific Publishing Co. Pte. Ltd..
• Graham L. Giller, 2022. "Economic Data and Other Time-Series Analysis," World Scientific Book Chapters, in: Adventures in Financial Data Science The Empirical Properties of Financial and Economic Data, chapter 3, pages 141-225, World Scientific Publishing Co. Pte. Ltd..
• Graham L. Giller, 2022. "Politics, Schools, Public Health, and Language," World Scientific Book Chapters, in: Adventures in Financial Data Science The Empirical Properties of Financial and Economic Data, chapter 4, pages 227-284, World Scientific Publishing Co. Pte. Ltd..
• Graham L. Giller, 2022. "Demographics and Survey Research," World Scientific Book Chapters, in: Adventures in Financial Data Science The Empirical Properties of Financial and Economic Data, chapter 5, pages 285-346, World Scientific Publishing Co. Pte. Ltd..
• Graham L. Giller, 2022. "Coronavirus," World Scientific Book Chapters, in: Adventures in Financial Data Science The Empirical Properties of Financial and Economic Data, chapter 6, pages 347-394, World Scientific Publishing Co. Pte. Ltd..
• Graham L. Giller, 2022. "Theory," World Scientific Book Chapters, in: Adventures in Financial Data Science The Empirical Properties of Financial and Economic Data, chapter 7, pages 395-447, World Scientific Publishing Co. Pte. Ltd..
• Lucija Benko & Karlo Krstanović & Luka Sovulj, 2022. "Procjena učinaka pandemije koronavirusa na turističke dolaske i noćenja u Republici Hrvatskoj te na vrijednost CROBEXturist indeksa Zagrebačke burze," EFZG Working Papers Series 2201, Faculty of Economics and Business, University of Zagreb.
• Nam, Changwoo, 2022. "Investment and Business Cycles: Focusing on Firms' Capital Adjustment Costs," KDI Journal of Economic Policy, Korea Development Institute (KDI), vol. 44(1), pages 77-98.
• Dudda, Tom L. & Klein, Tony & Nguyen, Duc Khuong & Walther, Thomas, 2022. "Common Drivers of Commodity Futures?," QBS Working Paper Series 2022/05, Queen's University Belfast, Queen's Business School.
• Duan, Fang, 2022. "Forecasting risk measures based on structural breaks in the correlation matrix," Ruhr Economic Papers 945, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
• Fengler, Matthias & Polivka, Jeannine, 2021. "Identifying structural shocks to volatility through a proxy-MGARCH model," Economics Working Paper Series 2103, University of St. Gallen, School of Economics and Political Science, revised May 2021.
  • Fengler, Matthias & Polivka, Jeanine, 2022. "Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model," VfS Annual Conference 2022 (Basel): Big Data in Economics 264010, Verein für Socialpolitik / German Economic Association.

2021

• Gomez-Gonzalez, Jose Eduardo & Gualtero-Briceño, Daniela & Melo-Velandia, Luis Fernando, 2021. "Estimating the Value at Risk of a bank’s portfolio in sovereign bonds using a DCC-Copula model," Working papers 75, Red Investigadores de Economía.
• Christian Conrad & Robert F. Engle, 2021. "Modelling Volatility Cycles: The (MF)2 GARCH Model," Working Paper series 21-05, Rimini Centre for Economic Analysis.
• Kostyrka, Andreï & Malakhov, Dmitry, 2021. "Was there ever a shift: Empirical analysis of structural-shift tests for return volatility," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 61, pages 110-139.
• Potanin, Bogdan & Trifonov, Juri, 2021. "The influence of investors’ expectations on oil prices," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 63, pages 76-90.
• Senol, Zekai, 2021. "Volatility Spillover between the Stock Market, Exchange Rates, Interest Rates and CDS Premiums: Evidence from Turkey (Borsa Endeksi, Döviz Kuru, Faiz Oranları ve CDS Primleri Arasındaki Oynaklık Yayıl," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 12(1), pages 111-126, January.
• Darmawan, Indra & Siregar, Hermanto & Hakim, Dedi B. & Manurung, Adler H., 2021. "Crude Oil Price Movement and Stock Market Trading Activity: Evidence from Indonesia," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 74(1), pages 25-46.
• Dimingo, Roselyn & Muteba Mwamba, John W. & Bonga-Bonga, Lumengo, 2021. "Prediction of Stock Market Direction: Application of Machine Learning Models," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 74(4), pages 499-536.
• Kusumahadi, Teresia Angelia & Permana, Fikri C, 2021. "Impact of COVID-19 on Global Stock Market Volatility," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 36(1), pages 20-45.
• Rezaei, Sadeq & Mehrara, Mohsen, 2021. "Dynamics of Symmetric Informed Trading and Order Flow Shock at Tehran Exchange Stock: A Hidden Markov Model Approach," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 8(1), pages 25-54, June.
• Chao YU & Xujie ZHAO, 2021. "Measuring the Jump Risk Contribution under Market Microstructure Noise – Evidence from Chinese Stock Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 32-47, December.
• Muhammad Ateeq ur REHMAN & Syed Ghulam Meran SHAH & Lucian-Ionel CIOCA & Alin ARTENE, 2021. "Accentuating the Impacts of Political News on the Stock Price, Working Capital and Performance: An Empirical Review of Emerging Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 55-73, June.
• Giuseppe Buccheri & Stefano Grassi & Giorgio Vocalelli, 2021. "Estimating Risk in Illiquid Markets: a Model of Market Friction with Stochastic Volatility," CEIS Research Paper 506, Tor Vergata University, CEIS, revised 08 Nov 2021.
• Proietti, Tommaso & Pedregal, Diego J., 2023. "Seasonality in High Frequency Time Series," Econometrics and Statistics, Elsevier, vol. 27(C), pages 62-82.
  • Tommaso Proietti & Diego J. Pedregal, 2021. "Seasonality in High Frequency Time Series," CEIS Research Paper 508, Tor Vergata University, CEIS, revised 11 Mar 2021.
• Rocco Ciciretti & Ambrogio Dalò & Giovanni Ferri, 2021. "Herding and Anti-Herding Across ESG Funds," CEIS Research Paper 524, Tor Vergata University, CEIS, revised 05 Nov 2021.
• Kirill Dragun & Kris Boudt & Orimar Sauri & Steven Vanduffel, 2021. "Beta-Adjusted Covariance Estimation," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1010, Ghent University, Faculty of Economics and Business Administration.
• Martien Lamers & Thomas Present & Nicolas Soenen & Rudi Vander Vennet, 2023. "BRRD credibility and the bank-sovereign nexus," Applied Economics Letters, Taylor & Francis Journals, vol. 30(10), pages 1308-1313, June.
  • Martien Lamers & Thomas Present & Rudi Vander Vennet & Nicolas Soenen, 2021. "BRRD credibility and the bank-sovereign nexus," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1024, Ghent University, Faculty of Economics and Business Administration.
• George Varghese & Vinodh Madhavan, 2021. "Nonlinearity in Global Crude Oil Benchmarks: Disentangling the Effect of Time Aggregation," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 20(3), pages 290-307, December.
• A. Ovcharov О. & V. Matveev A. & А. Овчаров О. & В. Матвеев А., 2021. "Индекс финансового страха на рынке цифровых финансовых активов // Financial Fear Index in the Digital Financial Assets Market," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 25(4), pages 136-151.
• Reyes García, Nallely Jacqueline & Venegas Martínez, Francisco & Martínez Palacios, María Teresa Verónica, 2021. "Análisis comparativo entre el modelo ARMA y su versión continua CARMA sobre la dinámica del Índice de Precios y Cotizaciones de la Bolsa Mexicana de Valores / Comparative analysis between the ARMA mod," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 11(1), pages 33-57, enero-jun.
• Marcin Borsuk & Błażej Lepczyński, 2021. "Rating implikowany a koszt finansowania banków notowanych na Giełdzie Papierów Wartościowych w Warszawie," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 1, pages 87-109.
• M. Karanasos & S. Yfanti & A. Christopoulos, 2021. "The long memory HEAVY process: modeling and forecasting financial volatility," Annals of Operations Research, Springer, vol. 306(1), pages 111-130, November.
• Yuzhi Cai & Thanaset Chevapatrakul & Danilo V. Mascia, 2021. "How is price explosivity triggered in the cryptocurrency markets?," Annals of Operations Research, Springer, vol. 307(1), pages 37-51, December.
• Giovanni Bonaccolto, 2021. "Quantile– based portfolios: post– model– selection estimation with alternative specifications," Computational Management Science, Springer, vol. 18(3), pages 355-383, July.
• Giuseppe Buccheri & Davide Pirino & Luca Trapin, 2021. "Managing liquidity with portfolio staleness," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 215-239, June.
• Gianna Figá-Talamanca & Sergio Focardi & Marco Patacca, 2021. "Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 863-882, December.
• Suman Das & Saikat Sinha Roy, 2021. "Predicting regime switching in BRICS currency volatility: a Markov switching autoregressive approach," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 48(2), pages 165-180, June.
• Georg Keilbar & Yanfen Zhang, 2021. "On cointegration and cryptocurrency dynamics," Digital Finance, Springer, vol. 3(1), pages 1-23, March.
  • Keilbar, Georg & Zhang, Yanfen, 2020. "On Cointegration and Cryptocurrency Dynamics," IRTG 1792 Discussion Papers 2020-012, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Alla Petukhina & Erin Sprünken, 2021. "Evaluation of multi-asset investment strategies with digital assets," Digital Finance, Springer, vol. 3(1), pages 45-79, March.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Carlos Poza, 2021. "Cycles and Long-Range Behaviour in the European Stock Markets," Dynamic Modeling and Econometrics in Economics and Finance, in: Gilles Dufrénot & Takashi Matsuki (ed.), Recent Econometric Techniques for Macroeconomic and Financial Data, pages 293-302, Springer.
  • Guglielmo Maria Caporale & Luis A. Gil-Alana & Carlos Poza, 2019. "Cycles and Long-Range Behaviour in the European Stock Market," CESifo Working Paper Series 7943, CESifo.
• Marcel Aloy & Floris Laly & Sébastien Laurent & Christelle Lecourt, 2021. "Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs," Dynamic Modeling and Econometrics in Economics and Finance, in: Gilles Dufrénot & Takashi Matsuki (ed.), Recent Econometric Techniques for Macroeconomic and Financial Data, pages 229-264, Springer.
  • Aloy, Marcel & Laly, Floris & Laurent, Sébastien & Lecourt, Christelle, 2021. "Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs," LIDAM Reprints LFIN 2021021, Université catholique de Louvain, Louvain Finance (LFIN).
  • Marcel Aloy & Floris Laly & Sébastien Laurent & Christelle Lecourt, 2021. "Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs," Post-Print hal-03103717, HAL.
• Julius Loermann, 2021. "The impact of CHF/EUR exchange rate uncertainty on Swiss exports to the Eurozone: evidence from a threshold VAR," Empirical Economics, Springer, vol. 60(3), pages 1363-1385, March.
• Verena Monschang & Bernd Wilfling, 2021. "Sup-ADF-style bubble-detection methods under test," Empirical Economics, Springer, vol. 61(1), pages 145-172, July.
  • Monschang, Verena & Wilfling, Bernd, 2019. "Sup-ADF-style bubble detection methods under test," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203568, Verein für Socialpolitik / German Economic Association.
  • 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.
• Jiro Hodoshima, 2021. "Evaluation of performance of stock and real estate investment trust markets in Japan," Empirical Economics, Springer, vol. 61(1), pages 101-120, July.
• Khamis Hamed Al-Yahyaee & Walid Mensi & Hee-Un Ko & Massimiliano Caporin & Sang Hoon Kang, 2021. "Is the Korean housing market following Gangnam style?," Empirical Economics, Springer, vol. 61(4), pages 2041-2072, October.
• Dirk G. Baur & Thomas Dimpfl, 2021. "The volatility of Bitcoin and its role as a medium of exchange and a store of value," Empirical Economics, Springer, vol. 61(5), pages 2663-2683, November.
• Wojciech Grabowski & Ewa Stawasz-Grabowska, 2021. "How have the European central bank’s monetary policies been affecting financial markets in CEE-3 countries?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(1), pages 43-83, March.
• Walid Chkili, 2021. "Modeling Bitcoin price volatility: long memory vs Markov switching," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(3), pages 433-448, September.
• Begüm Yurteri Kösedağlı & Gül Huyugüzel Kışla & A. Nazif Çatık, 2021. "The time-varying effects of oil prices on oil–gas stock returns of the fragile five countries," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-22, December.
• Roman Mestre, 2021. "A wavelet approach of investing behaviors and their effects on risk exposures," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-37, December.
  • Roman Mestre, 2021. "A wavelet approach of investing behaviors and their effects on risk exposures," Post-Print hal-03195190, HAL.
• Ji Ho Kwon, 2021. "On the factors of Bitcoin’s value at risk," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.
• Kanishka Gupta & T. V. Raman, 2021. "The nexus of intellectual capital and operational efficiency: the case of Indian financial system," Journal of Business Economics, Springer, vol. 91(3), pages 283-302, April.
• Ki-Hong Choi & Ron P. McIver & Salvatore Ferraro & Lei Xu & Sang Hoon Kang, 2021. "Dynamic volatility spillover and network connectedness across ASX sector markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(4), pages 677-691, October.
• Nils Bertschinger & Iurii Mozzhorin, 2021. "Bayesian estimation and likelihood-based comparison of agent-based volatility models," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(1), pages 173-210, January.
• Sumon Kumar Bhaumik & Manisha Chakrabarty & Ali M. Kutan & Ekta Selarka, 2021. "How Effective are Stock Market Reforms in Emerging Market Economies? Evidence from a Panel VAR Model of the Indian Stock Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(4), pages 795-818, December.
  • Bhaumik, Sumon Kumar & Chakrabarty, Manisha & Kutan, Ali M. & Selarka, Ekta, 2018. "How Effective are Stock Market Reforms in Emerging Market Economies? Evidence from a Panel VAR Model of the Indian Stock Market," GLO Discussion Paper Series 290, Global Labor Organization (GLO).
• Marta Karaś & Witold Szczepaniak, 2021. "Systemic Risk in Selected Countries of Western and Central Europe," Springer Proceedings in Business and Economics, in: Krzysztof Jajuga & Hermann Locarek-Junge & Lucjan T. Orlowski & Karsten Staehr (ed.), Contemporary Trends and Challenges in Finance, pages 169-185, Springer.
• Shan Wu, 2021. "Co-movement and return spillover: evidence from Bitcoin and traditional assets," SN Business & Economics, Springer, vol. 1(10), pages 1-16, October.
• Ayad Assoil & Ndéné Ka & Jules Sadefo-Kamdem, 2021. "Analysis of the dynamic relationship between liquidity proxies and returns on the French CAC 40 index," SN Business & Economics, Springer, vol. 1(10), pages 1-23, October.
  • Ayad Assoil & Ndéné Ka & Jules Sadefo-Kamdem, 2021. "Analysis of the Dynamic Relationship between Liquidityproxies and returns on French CAC 40 index," Post-Print hal-03282991, HAL.
• Marcela de Marillac Carvalho & Luiz Otávio de Oliveira Pala & Gabriel Rodrigo Gomes Pessanha & Thelma Sáfadi, 2021. "Asymmetric dependence of intraday frequency components in the Brazilian stock market," SN Business & Economics, Springer, vol. 1(6), pages 1-18, June.
• Dooruj Rambaccussing, 2021. "The price–rent ratio inequality in Scottish Cities: fluctuations in discount rates and expected rent growth," SN Business & Economics, Springer, vol. 1(9), pages 1-15, September.
• Giada Adelfio & Arianna Agosto & Marcello Chiodi & Paolo Giudici, 2021. "Financial contagion through space-time point processes," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(2), pages 665-688, June.
• Caner Özdurak & Cengiz KarataÅŸ, 2021. "Covid-19 and the Technology Bubble 2.0: Evidence from DCC-MGARCH and Wavelet Approaches," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 11(2), pages 1-4.
• Roberto Louis Forestal & Shih Ming Pi, 2021. "Dynamic Equicorrelation Analysis of Financial Contagion: Evidence from Latin America Markets," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 11(3), pages 1-2.
• Meglioli, Francesco & Gauci, Stephanie, 2021. "A Multi-level Network Approach to Spillovers Analysis: An Application to the Maltese Domestic Investment Funds Sector," ESRB Working Paper Series 124, European Systemic Risk Board.
• Martin Cesnak & Jan Klacso & Roman Vasil, 2021. "Analysis of the Impact of Borrower-Based Measures," Working and Discussion Papers OP 3/2021, Research Department, National Bank of Slovakia.
• Clements, Adam & Vasnev, Andrey, 2021. "Forecast combination puzzle in the HAR model," Working Papers BAWP-2021-01, University of Sydney Business School, Discipline of Business Analytics.
• Roman Frydman & Nicholas Mangee & Josh Stillwagon, 2021. "How Market Sentiment Drives Forecasts of Stock Returns," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 22(4), pages 351-367, October.
  • Roman Frydman & Nicholas Mangee & Josh Stillwagon, 2020. "How Market Sentiment Drives Forecasts of Stock Returns," Working Papers Series inetwp115, Institute for New Economic Thinking.
• Anne Opschoor & André Lucas & István Barra & Dick van Dijk, 2021. "Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1066-1079, October.
  • Anne Opschoor & André Lucas & Istvan Barra & Dick van Dijk, 2019. "Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings," Tinbergen Institute Discussion Papers 19-013/IV, Tinbergen Institute, revised 23 Oct 2019.
• Gonçalo Faria & Fabio Verona, 2021. "Time-frequency forecast of the equity premium," Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2119-2135, December.
  • Faria, Gonçalo & Verona, Fabio, 2020. "Time-frequency forecast of the equity premium," Bank of Finland Research Discussion Papers 6/2020, Bank of Finland.
• Terri van der Zwan & Erik Hennink & Patrick Tuijp, 2021. "Equity Risk Factors for the Long and Short Run: Pricing and Performance at Different Frequencies," Tinbergen Institute Discussion Papers 21-062/III, Tinbergen Institute.
• Andre Lucas & Anne Opschoor & Luca Rossini, 2021. "Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution," Tinbergen Institute Discussion Papers 21-010/III, Tinbergen Institute, revised 11 Jul 2023.
• Francisco Blasques & Enzo D'Innocenzo & Siem Jan Koopman, 2021. "Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence," Tinbergen Institute Discussion Papers 21-057/III, Tinbergen Institute.
• Thomas Conlon & John Cotter & Iason Kynigakis, 2021. "Machine Learning and Factor-Based Portfolio Optimization," Papers 2107.13866, arXiv.org.
  • Thomas Conlon & John Cotter & Iason Kynigakis, 2021. "Machine Learning and Factor-Based Portfolio Optimization," Working Papers 202111, Geary Institute, University College Dublin.
• Fuertes, Ana-Maria & Robles, Maria-Dolores, 2021. "Bank credit risk events and peers' equity value," International Review of Financial Analysis, Elsevier, vol. 75(C).
  • Ana-Maria Fuertes & Maria-Dolores Robles, 2021. "Bank Credit Risk Events and Peers’ Equity Value," Documentos de Trabajo del ICAE 2021-06, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Ömer Yalçinkaya & Ali Kemal Çelik & Hatira Sadeghzadeh Emsen, 2021. "The relationship between price and financial stability in new monetary policy designs: the case of the US using the TVP-SVAR model," Estudios de Economia, University of Chile, Department of Economics, vol. 48(2 Year 20), pages 249-276, December.
• Mubarok, Faizul & Al Arif, Mohammad Nur Rianto, 2021. "Pandemic Attack and Islamic Stocks Index: A Cross Country Analysis," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 55(1), pages 27-37.
• Hossain, Md. Jamal & Akter, Sadia & Ismail, Mohd Tahir, 2021. "Performance Analysis of GARCH Family Models in Three Time-frames," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 55(2), pages 15-28.
• Mohamed CHIKHI & Claude DIEBOLT, 2022. "Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 13, pages 228-253, June.
  • Claude Diebolt & Mohamed Chikhi, 2021. "Testing The Weak Form Efficiency Of The French Etf Market With Lstar-Anlstgarch Approach Using A Semiparametric Estimation," Working Papers 09-21, Association Française de Cliométrie (AFC).
  • Mohamed CHIKHI & Claude DIEBOLT, 2021. "Testing The Weak Form Efficiency Of The French Etf Market With Lstar-Anlstgarch Approach Using A Semiparametric Estimation," Working Papers of BETA 2021-36, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
  • Mohamed Chikhi & Claude Diebolt, 2022. "Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation," Post-Print hal-03778331, HAL.
• Fengler, Matthias & Polivka, Jeannine, 2021. "Identifying structural shocks to volatility through a proxy-MGARCH model," Economics Working Paper Series 2103, University of St. Gallen, School of Economics and Political Science, revised May 2021.
  • Fengler, Matthias & Polivka, Jeanine, 2022. "Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model," VfS Annual Conference 2022 (Basel): Big Data in Economics 264010, Verein für Socialpolitik / German Economic Association.
• Pietro Saggese & Alessandro Belmonte & Nicola Dimitri & Angelo Facchini & Rainer Bohme, 2021. "Who are the arbitrageurs? Empirical evidence from Bitcoin traders in the Mt. Gox exchange platform," Papers 2109.10958, arXiv.org.
  • Pietro Saggese & Alessandro Belmonte & Nicola Dimitri & Angelo Facchini & Rainer Böhme, 2021. "Who are the arbitrageurs? Empirical evidence from Bitcoin traders in the Mt. Gox exchange platform," Department of Economics University of Siena 860, Department of Economics, University of Siena.
• Billio Monica & Casarin Roberto & Costola Michele & Iacopini Matteo, 2021. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Papers 2101.00422, arXiv.org.
  • Monica Billio & Roberto Casarin & Michele Costola & Matteo Iacopini, 2021. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Working Papers 2021:05, Department of Economics, University of Venice "Ca' Foscari".
• Le Dinh Nghi Corresponding author & Nguyen Minh Kieu, 2021. "Volatility Spillover from the United States and Japanese Stock Markets to the Vietnamese Stock Market: A Frequency Domain Approach," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 68(1), pages 35-52, March.
• Siemaszkiewicz Karolina, 2021. "Safe Haven Instruments – A Comparison Between the Global Financial Crisis and the Covid-19 Pandemic," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 25(4), pages 1-16, December.
• Razali Muhammad Najib & Jalil Rohaya Abdul & Shayuti Ahmad Faisal, 2021. "Assessing the Impact of Outbreaks on Malaysian Listed Property Companies in Mixed-Asset Portfolios," Real Estate Management and Valuation, Sciendo, vol. 29(3), pages 87-93, September.
• Adejare Adegbite Tajudeen, 2021. "Taxation and Transportation: Granger Causality Approach in Nigeria," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 31(3), pages 1-20, September.
• Mateusz Buczyński & Marcin Chlebus, 2021. "GARCHNet - Value-at-Risk forecasting with novel approach to GARCH models based on neural networks," Working Papers 2021-08, Faculty of Economic Sciences, University of Warsaw.
• Michał Woźniak & Marcin Chlebus, 2021. "HCR & HCR-GARCH – novel statistical learning models for Value at Risk estimation," Working Papers 2021-10, Faculty of Economic Sciences, University of Warsaw.
• Kamil Korzeń & Robert Ślepaczuk, 2021. "Enhanced Index Replication Based on Smart Beta and Tail-Risk Asset Allocation," Working Papers 2021-18, Faculty of Economic Sciences, University of Warsaw.
• Jan Grudniewicz & Robert Ślepaczuk, 2021. "Application of machine learning in quantitative investment strategies on global stock markets," Working Papers 2021-23, Faculty of Economic Sciences, University of Warsaw.
• Nguyen Vo & Robert Ślepaczuk, 2021. "Applying Hybrid ARIMA-SGARCH in Algorithmic Investment Strategies on S&P500 Index," Working Papers 2021-25, Faculty of Economic Sciences, University of Warsaw.
• Sergio Castellano Gómez & Robert Ślepaczuk, 2021. "Robust optimisation in algorithmic investment strategies," Working Papers 2021-27, Faculty of Economic Sciences, University of Warsaw.
• Aleksander Schiffers & Marcin Chlebus, 2021. "The effectiveness of Value-at-Risk models in various volatility regimes," Working Papers 2021-28, Faculty of Economic Sciences, University of Warsaw.
• Maaz Khan & Faheem Aslam & Paulo Ferreira, 2021. "Extreme Value Theory and COVID-19 Pandemic: Evidence from India," Economic Research Guardian, Weissberg Publishing, vol. 11(1), pages 2-10, June.
• Hubert Gabrisch, 2021. "GARCH Analyses of Risk and Uncertainty in the Theories of the Interest Rate of Keynes and Kalecki," wiiw Working Papers 191, The Vienna Institute for International Economic Studies, wiiw.
• Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir, 2021. "Dynamic return and volatility spillovers among S&P 500, crude oil, and gold," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 153-170, January.
  • 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.
• Dinghai Xu, 2021. "A study on volatility spurious almost integration effect: A threshold realized GARCH approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4104-4126, July.
  • Dinghai Xu, 2019. "A Study on Volatility Spurious Almost Integration Effect: A Threshold Realized GARCH Approach," Working Papers 1903, University of Waterloo, Department of Economics, revised Dec 2019.
• Ruben Loaiza‐Maya & Gael M. Martin & David T. Frazier, 2021. "Focused Bayesian prediction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 517-543, August.
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• Mohsin Ali & Urooj Anwar & Muhammad Haseeb, 2021. "The Impact Of Covid-19 On Islamic And Conventional Stocks In Indonesia: A Wavelet-Based Study," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 24(Special I), pages 15-32, January.
• Achmad Nurdany & Muhammad Hanif Ibrahim & Muhammad Fathul Romadoni, 2021. "The Asymmetric Volatility Of The Islamic Capital Market During The Covid-19 Pandemic," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 7(Special I), pages 185-202.
• Rodrigo A. Morales Fernández Rafaelly & Roberto J. Santillán-Salgado, 2021. "Oil price effect on sectoral stock returns: A conditional covariance and correlation approach for Mexico," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-15, Enero - M.
• Domingo Rodríguez Benavides & Nancy Muller Durán & José Antonio Climent Hernández, 2021. "Spillovers entre los principales Mercados Accionarios de Latinoamérica, Estados Unidos y el Mercado Petrolero," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-18, Enero - M.
• Rodrigo A. Morales Fernández Rafaelly & Roberto J. Santillán-Salgado, 2021. "Oil price effect on sectoral stock returns: A conditional covariance and correlation approach for Mexico," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-15, Enero - M.
• Domingo Rodríguez Benavides & Nancy Muller Durán & José Antonio Climent Hernández, 2021. "Spillovers entre los principales Mercados Accionarios de Latinoamérica, Estados Unidos y el Mercado Petrolero," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-18, Enero - M.
• Jorge López Villa & Miriam Sosa Castro, 2021. "Contagio en la volatilidad entre los mercados de capital y de divisas en México y Brasil (2000-2020)," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(TNEA), pages 1-28, Septiembr.
• Lizethe Berenice Méndez-Heras & Francisco Venegas-Martínez & Diego Emilio Linthon-Delgado, 2021. "Competencia en el mercado de crédito entre los bancos dominantes en México," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(TNEA), pages 1-25, Septiembr.
• Denisa Banulescu-Radu & Christophe Hurlin & Jérémy Leymarie & Olivier Scaillet, 2021. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Management Science, INFORMS, vol. 67(9), pages 5730-5754, September.
  • Denisa Banulescu & Christophe Hurlin & Jeremy Leymarie & O. Scaillet, 2019. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Swiss Finance Institute Research Paper Series 19-48, Swiss Finance Institute.
  • Denisa Banulescu-Radu & Christophe Hurlin & Jérémy Leymarie & Olivier Scaillet, 2021. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Post-Print hal-03526444, HAL.
  • Banulescu-Radu, Denisa & Hurlin, Christophe & Leymarie, Jeremy & Scaillet, Olivier, 2020. "Backtesting marginal expected shortfalland related systemic risk measures," Working Papers unige:134136, University of Geneva, Geneva School of Economics and Management.
  • Denisa Banulescu & Christophe Hurlin & Jeremy Leymarie & Olivier Scaillet, 2020. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Working Papers halshs-03088668, HAL.
• Ozdemir, Huseyin & Ozdemir, Zeynel Abidin, 2021. "A Survey of Hedge and Safe Havens Assets against G-7 Stock Markets before and during the COVID-19 Pandemic," IZA Discussion Papers 14888, Institute of Labor Economics (IZA).
• David William Witts & Emili Tortosa-Ausina & Iván Arribas, 2021. "The Irrational Market: Considering the effect of the online community Wall Street Bets on Financial Market Variables," Working Papers 2021/13, Economics Department, Universitat Jaume I, Castellón (Spain).
• Fischer Henning & Stolper Oscar, 2021. "The Nonlinear Dynamics of Corporate Bond Spreads: Regime-Dependent Effects of their Determinants," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 241(2), pages 187-238, April.
• Ojea-Ferreiro, Javier & Reboredo, Juan C., 2022. "Exchange rates and the global transmission of equity market shocks," Economic Modelling, Elsevier, vol. 114(C).
  • Ojea-Ferreiro, Javier & Reboredo, Juan C., 2021. "Exchange rates and the global transmission of equity market shocks," Working Papers 2021-05, Joint Research Centre, European Commission.
• Brandon Flores & Blessing Ofori-Atta & Andrey Sarantsev, 2021. "A stock market model based on CAPM and market size," Annals of Finance, Springer, vol. 17(3), pages 405-424, September.
• Jose Arreola Hernandez & Sang Hoon Kang & Ron P. McIver & Seong-Min Yoon, 2021. "Network Interdependence and Optimization of Bank Portfolios from Developed and Emerging Asia Pacific Countries," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(4), pages 613-647, December.
• Isabel Casas & Helena Veiga, 2021. "Exploring Option Pricing and Hedging via Volatility Asymmetry," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1015-1039, April.
  • Casas, Isabel & Lopes Moreira Da Veiga, María Helena, 2019. "Exploring option pricing and hedging via volatility asymmetry," DES - Working Papers. Statistics and Econometrics. WS 28234, Universidad Carlos III de Madrid. Departamento de Estadística.
• Mawuli Segnon & Rangan Gupta & Keagile Lesame & Mark E. Wohar, 2021. "High-Frequency Volatility Forecasting of US Housing Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 62(2), pages 283-317, February.
  • Mawuli Segnon & Rangan Gupta & Keagile Lesame & Mark E. Wohar, 2019. "High-Frequency Volatility Forecasting of US Housing Markets," Working Papers 201977, University of Pretoria, Department of Economics.
• Jinzhi Li, 2021. "Bayesian estimation of the stochastic volatility model with double exponential jumps," Review of Derivatives Research, Springer, vol. 24(2), pages 157-172, July.
• Cem Cakmakli & Verda Ozturk, 2021. "Economic Value of Modeling the Joint Distribution of Returns and Volatility: Leverage Timing," Koç University-TUSIAD Economic Research Forum Working Papers 2110, Koc University-TUSIAD Economic Research Forum.
• Hui Chen & Antoine Didisheim & Simon Scheidegger, 2021. "Deep Structural Estimation:With an Application to Option Pricing," Cahiers de Recherches Economiques du Département d'économie 21.14, Université de Lausanne, Faculté des HEC, Département d’économie.
• Andreï Kostyrka & Dmitry Igorevich Malakhov,, 2021. "The good, the bad, and the asymmetric: Evidence from a new conditional density model," DEM Discussion Paper Series 21-09, Department of Economics at the University of Luxembourg.
• Jens Klose, 2021. "Cryptocurrencies and Gold - Similarities and Differences," MAGKS Papers on Economics 202128, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
• Tehrani , Reza & Veisizadeh , Vahid, 2021. "Dynamic Cross Hedging Effectiveness between Gold and Stock Market Based on Downside Risk Measures: Evidence from Iran Emerging Capital Market," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 16(1), pages 43-70, March.
• Dehghan Khavari , Saeed & Mirjalili , Seyed Hossein & Iraji , Maryam, 2021. "The Asymmetric Impact of Weighting Economic and Political Events on the Fluctuations of Banking Group Index (Case of Tehran Stock Exchange)," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 16(3), pages 399-416, September.
• Sedaghat Parast , Eldar & golzarian pour , siavash & Hajizadeh , Vahid, 2021. "Bank Liquidity and Bank Performance: Looking for a Nonlinear Nexus," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 16(4), pages 417-446, December.
• Jan Hanousek & Christos Pantzalis & Jung Chul Park, 2021. "Political Insider Trading: A narrow versus comprehensive approach," MENDELU Working Papers in Business and Economics 2021-77, Mendel University in Brno, Faculty of Business and Economics.
• Muhammad Mar’i & Turgut Tursoy, 2021. "Exchange Rate Dependency Between Emerging Countries-Case of Black Sea Countries," Capital Markets Review, Malaysian Finance Association, vol. 29(2), pages 43-54.
• Armin Pourkhanali & Jonathan Keith & Xibin Zhang, 2021. "Conditional Heteroscedasticity Models with Time-Varying Parameters: Estimation and Asymptotics," Monash Econometrics and Business Statistics Working Papers 15/21, Monash University, Department of Econometrics and Business Statistics.
• David T. Frazier & Ruben Loaiza-Maya & Gael M. Martin & Bonsoo Koo, 2021. "Loss-Based Variational Bayes Prediction," Papers 2104.14054, arXiv.org, revised May 2022.
  • David T. Frazier & Ruben Loaiza-Maya & Gael M. Martin & Bonsoo Koo, 2021. "Loss-Based Variational Bayes Prediction," Monash Econometrics and Business Statistics Working Papers 8/21, Monash University, Department of Econometrics and Business Statistics.
• David Easley & Marcos López de Prado & Maureen O’Hara & Zhibai Zhang, 2021. "Microstructure in the Machine Age," NBER Chapters, in: Big Data: Long-Term Implications for Financial Markets and Firms, pages 3316-3363, National Bureau of Economic Research, Inc.
• Theis Ingerslev Jensen & Bryan T. Kelly & Lasse Heje Pedersen, 2021. "Is There A Replication Crisis In Finance?," NBER Working Papers 28432, National Bureau of Economic Research, Inc.
• Giglio, Stefano & Xiu, Dacheng & Zhang, Dake, 2021. "Test Assets and Weak Factors," CEPR Discussion Papers 16307, C.E.P.R. Discussion Papers.
  • Stefano Giglio & Dacheng Xiu & Dake Zhang, 2021. "Test Assets and Weak Factors," NBER Working Papers 29002, National Bureau of Economic Research, Inc.
• Laurentiu DROJ & Goran KARANOVIC & Ioan Gheorghe TARA, 2021. "The Impact Of The Covid-19 Pandemics Over The Financial Performance At The Level Of The Main Pharmaceutical Operating In Central And Eastern Europe," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 30(2), pages 283-290, December.
• Amane Saito, 2021. "On Volatility Linkages among Carbon Price, Stock Price, Interest Rate and Exchange Rate," Discussion Papers in Economics and Business 21-20, Osaka University, Graduate School of Economics.
• Atsushi Inoue & Lu Jin & Denis Pelletier, 2021. "Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures [Modelling Volatility by Variance Decomposition]," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 19(1), pages 202-234.
• Bent Jesper Christensen & Rasmus Tangsgaard Varneskov, 2021. "Dynamic Global Currency Hedging [Arbitrage in the Foreign Exchange Market: Turning on the Microscope]," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 19(1), pages 97-127.
  • Bent Jesper Christensen & Rasmus T. Varneskov, 2016. "Dynamic Global Currency Hedging," CREATES Research Papers 2016-03, Department of Economics and Business Economics, Aarhus University.
• Gianluca De Nard & Olivier Ledoit & Michael Wolf, 2021. "Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly [Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High-frequency Data," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 19(2), pages 236-257.
• Francesco Audrino & Robert Huitema & Markus Ludwig, 2021. "An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device [Nonparametric Option Pricing under Shape Restrictions]," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 19(2), pages 291-312.
• Joel Hasbrouck, 2021. "Price Discovery in High Resolution," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 19(3), pages 395-430.
• Giuseppe Buccheri & Giacomo Bormetti & Fulvio Corsi & Fabrizio Lillo, 2021. "Comment on: Price Discovery in High Resolution," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 19(3), pages 439-451.
• Alessio Sancetta, 2021. "Intraday End-of-Day Volume Prediction," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 19(3), pages 472-495.
• Jeremias Bekierman & Bastian Gribisch, 2021. "A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 19(3), pages 496-530.
• Giuseppe Buccheri & Fulvio Corsi, 2021. "HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonlinear Dependencies," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 19(4), pages 614-649.
• Jim Griffin & Jia Liu & John M. Maheu, 2021. "Bayesian Nonparametric Estimation of Ex Post Variance [Out of Sample Forecasts of Quadratic Variation]," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 19(5), pages 823-859.
  • Griffin, Jim & Liu, Jia & Maheu, John M, 2016. "Bayesian Nonparametric Estimation of Ex-post Variance," MPRA Paper 71220, University Library of Munich, Germany.
• Giorgio Calzolari & Roxana Halbleib & Aygul Zagidullina, 2021. "A Latent Factor Model for Forecasting Realized Variances [Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk]," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 19(5), pages 860-909.
• Daniel J Lewis, 2021. "Identifying Shocks via Time-Varying Volatility [First Order Autoregressive Processes and Strong Mixing]," Review of Economic Studies, Oxford University Press, vol. 88(6), pages 3086-3124.
  • Daniel J. Lewis, 2018. "Identifying shocks via time-varying volatility," Staff Reports 871, Federal Reserve Bank of New York.
• Soohun Kim & Robert A Korajczyk & Andreas Neuhierl & Wei JiangEditor, 2021. "Arbitrage Portfolios," Review of Financial Studies, Society for Financial Studies, vol. 34(6), pages 2813-2856.
• David Easley & Marcos López de Prado & Maureen O’Hara & Zhibai Zhang & Wei Jiang, 2021. "Microstructure in the Machine Age [The risk of machine learning]," Review of Financial Studies, Society for Financial Studies, vol. 34(7), pages 3316-3363.
• Alina Barbulescu & Cristian Stefan Dumitriu, 2021. "Markov Switching Model for Financial Time Series," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 193-198, August.
• Alina Barbulescu & Cristian Stefan Dumitriu, 2021. "Artificial Intelligence Models for Financial Time Series," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 685-690, August.
• Fuentes Vélez, Mariana & Pinilla Barrera, Alejandro, 2021. "Transmisión de volatilidad en el Mercado Integrado Latinoamericano (MILA): una evidencia del grado de integración. || Transmission of volatility in the Latin American Integrated Market (MILA): evidenc," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 31(1), pages 301-328, June.
• Rendón, Juan F. & Trespalacios, Alfredo & Cortés, Lina M. & Villada-Medina, Hernán D., 2021. "Modelización de la demanda de energía eléctrica: más allá de la normalidad || Electrical energy demand modeling: beyond normality," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 32(1), pages 83-98, December.
• Carlos A. Abanto-Valle & Gabriel Rodríguez & Luis M. Castro Cepero & Hernán B. Garrafa-Aragón, 2021. "Approximate Bayesian Estimation of Stochastic Volatility in Mean Models using Hidden Markov Models: Empirical Evidence from Stock Latin American Markets," Documentos de Trabajo / Working Papers 2021-502, Departamento de Economía - Pontificia Universidad Católica del Perú.
• Akbulaev, Nurkhodzha & Aliyeva, Basti & Rzayeva, Shehla, 2021. "Analysis of the Influence of the Price of Raw Oil and Natural Gas on the Prices of Indices and Shares of the Turkish Stock Exchange," Public Finance Quarterly, Corvinus University of Budapest, vol. 66(1), pages 151-166.
• Farrukh Mahmood & Muhammad Zakaria, 2021. "Testing the Threshold Asymmetric Co-integration Interest Rate Pass-Through in the Presence of Stylised Properties: Evidence from Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 60(1), pages 17-26.
• Ikeda, Yuki, 2021. "Efficient Computation of Portfolio Credit Risk with Chain Default," MPRA Paper 106652, University Library of Munich, Germany.
• Kumar, Satish & Tiwari, Aviral Kumar & Raheem, Ibrahim Dolapo & Hille, Erik, 2021. "Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach," Resources Policy, Elsevier, vol. 72(C).
  • Kumar, Satish & Tiwari, Aviral & Raheem, Ibrahim & Hille, Erik, 2021. "Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach," MPRA Paper 106684, University Library of Munich, Germany.
• Lemus, Antonio & Pulgar, Carlos, 2021. "Households’ Debt Thresholds: A Market Aspects Approach," MPRA Paper 106958, University Library of Munich, Germany.
• Pincheira, Pablo & Hardy, Nicolas, 2021. "The Mean Squared Prediction Error Paradox," MPRA Paper 107403, University Library of Munich, Germany.
• Pincheira, Pablo & Hardy, Nicolas & Bentancor, Andrea & Henriquez, Cristóbal & Tapia, Ignacio, 2021. "Forecasting Base Metal Prices with an International Stock Index," MPRA Paper 107828, University Library of Munich, Germany.
• Costola, Michele & Lorusso, Marco, 2022. "Spillovers among energy commodities and the Russian stock market," Journal of Commodity Markets, Elsevier, vol. 28(C).
  • Costola, Michele & Lorusso, Marco, 2021. "Spillovers among Energy Commodities and the Russian Stock Market," MPRA Paper 108990, University Library of Munich, Germany.
• Royer, Julien, 2021. "Conditional asymmetry in Power ARCH($\infty$) models," MPRA Paper 109118, University Library of Munich, Germany.
• Rice, Gregory & Wirjanto, Tony & Zhao, Yuqian, 2021. "Exploring volatility of crude oil intra-day return curves: a functional GARCH-X Model," MPRA Paper 109231, University Library of Munich, Germany.
• Mpoha, Salifya & Bonga-Bonga, Lumengo, 2021. "Spillover effects from China and the US to global emerging markets: a dynamic analysis," MPRA Paper 109349, University Library of Munich, Germany.
• Francq, Christian & Zakoian, Jean-Michel, 2021. "Testing the existence of moments and estimating the tail index of augmented garch processes," MPRA Paper 110511, University Library of Munich, Germany.
• Delis, Panagiotis & Degiannakis, Stavros & Giannopoulos, Kostantinos, 2021. "What should be taken into consideration when forecasting oil implied volatility index?," MPRA Paper 110831, University Library of Munich, Germany.
• Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos, 2021. "Autoregressive conditional proportion: A multiplicative-error model for (0,1)-valued time series," MPRA Paper 110954, University Library of Munich, Germany, revised 06 Dec 2021.
• Mestiri, Sami, 2021. "Modelling the volatility of Bitcoin returns using Nonparametric GARCH models," MPRA Paper 111116, University Library of Munich, Germany.
• Dimitris Korobilis & Kenichi Shimizu, 2022. "Bayesian Approaches to Shrinkage and Sparse Estimation," Foundations and Trends(R) in Econometrics, now publishers, vol. 11(4), pages 230-354, June.
  • Dimitris Korobilis & Kenichi Shimizu, 2021. "Bayesian Approaches to Shrinkage and Sparse Estimation," Working Papers 2021_19, Business School - Economics, University of Glasgow.
  • Korobilis, Dimitris & Shimizu, Kenichi, 2021. "Bayesian Approaches to Shrinkage and Sparse Estimation," MPRA Paper 111631, University Library of Munich, Germany.
  • Dimitris Korobilis & Kenichi Shimizu, 2022. "Bayesian Approaches to Shrinkage and Sparse Estimation," Working Paper series 22-02, Rimini Centre for Economic Analysis.
  • Dimitris Korobilis & Kenichi Shimizu, 2021. "Bayesian Approaches to Shrinkage and Sparse Estimation," Papers 2112.11751, arXiv.org.
• G.K., Chetan Kumar & K.B., Rangappa & S., Suchitra, 2021. "Analyzing Interlinkages between Financial and Real Estate Sector in the aftermath of COVID-19's Second wave: An Econometric Approach using VECM model," MPRA Paper 112440, University Library of Munich, Germany.
• Kombarov, Sayan, 2021. "Action in Economics: Mathematical Derivation of Laws of Economics from the Principle of Least Action in Physics," MPRA Paper 112474, University Library of Munich, Germany.
• Raifu, Isiaka Akande & Ogbonna, Ahamuefula E, 2021. "Safe-haven Effectiveness of Cryptocurrency: Evidence from Stock Markets of COVID-19 worst-hit African Countries," MPRA Paper 113139, University Library of Munich, Germany.
• Bradrania, Reza & Pirayesh Neghab, Davood, 2021. "State-dependent asset allocation using neural networks," MPRA Paper 115254, University Library of Munich, Germany.
• Muhammad Yasir & A. Özlem Önder, 2021. "Dynamic Herding Behaviour In the US Stock Market," Prague Economic Papers, Prague University of Economics and Business, vol. 2021(1), pages 115-130.
• Mark Aguiar & Satyajit Chatterjee & Harold Cole & Zachary Stangebye, 2022. "Self-Fulfilling Debt Crises, Revisited," Journal of Political Economy, University of Chicago Press, vol. 130(5), pages 1147-1183.
  • Mark Aguiar & Satyajit Chatterjee & Harold Cole & Zachary Stangebye, 2017. "Self-Fulfilling Debt Crises, Revisited," NBER Working Papers 23312, National Bureau of Economic Research, Inc.
  • Mark Aguiar & Satyajit Chatterjee & Harold Cole & Zachary Stangebye, 2021. "Self-Fulfilling Debt Crises, Revisited," Working Papers 2021-92, Princeton University. Economics Department..
  • Mark Aguiar & Satyajit Chatterjee & Harold L. Cole & Zachary Stangebye, 2020. "Self-Fulfilling Debt Crises, Revisited," Working Papers 20-03, Federal Reserve Bank of Philadelphia.
  • Mark Aguiar & Satyajit Chatterjee & Harold L. Cole & Zachary Stangebye, 2020. "Self-Ful?lling Debt Crises, Revisited," PIER Working Paper Archive 20-003, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
• N'Golo Kone, 2021. "Efficient mean-variance portfolio selection by double regularization," Working Paper 1453, Economics Department, Queen's University.

2020

• Riza Demirer & Rangan Gupta & Asli Yuksel & Aydin Yuksel, 2020. "The US Term Structure and Return Volatility in Global REIT Markets," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(3), pages 84-109, September.
  • Riza Demirer & Rangan Gupta & Asli Yuksel & Aydin Yuksel, 2020. "The U.S. Term Structure and Return Volatility in Global REIT Markets," Working Papers 202069, University of Pretoria, Department of Economics.
• Morten Ørregaard Nielsen & Antoine L. Noël, 2020. "To infinity and beyond: Efficient computation of ARCH(1) models," CREATES Research Papers 2020-13, Department of Economics and Business Economics, Aarhus University.
• Mohammad Imdadul Haque & Afsal Ellath Meethal, 2020. "Volatility and Information Behavior: A Study on Shariah Index and General Index حدة التقلب والاستجابة للمعلومات: دراسة مقارنة بين المؤشر الإسلامي والمؤشر التقليدي," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 33(1), pages 21-33, January.
• Mhamed-Ali El-Aroui & Wafa Snoussi, 2020. "Value-at-Risk in Frontier Markets: Adapted Models and Evidences from Two North-African Stock Exchanges," The African Finance Journal, Africagrowth Institute, vol. 22(1), pages 1-20.
• Edson Zambon Monte & Felipe Fantin Almeida, 2020. "Interrelationships Between The Stock Returns Of Brazilian Companies That Make Up The Sãƒo Paulo Stock Exchange Index," Revista de Economia Mackenzie (REM), Mackenzie Presbyterian University, Social and Applied Sciences Center, vol. 17(1), pages 115-145, January-J.
• Riza Demirer & Rangan Gupta & Asli Yuksel & Aydin Yuksel, 2020. "The US Term Structure and Return Volatility in Global REIT Markets," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(3), pages 84-109, September.
  • Riza Demirer & Rangan Gupta & Asli Yuksel & Aydin Yuksel, 2020. "The US Term Structure and Return Volatility in Global REIT Markets," International Association of Decision Sciences, Asia University, Taiwan, vol. 24(3), pages 84-109, September.
  • Riza Demirer & Rangan Gupta & Asli Yuksel & Aydin Yuksel, 2020. "The U.S. Term Structure and Return Volatility in Global REIT Markets," Working Papers 202069, University of Pretoria, Department of Economics.
• Ceyda Yerdelen Kaygın & Abdulkadir Barut, 2020. "Çifte Kayıtlı Hisse Senetlerinin Fiyatlarını Etkileyen İçsel Faktörlerin Dinamik Panel Veri Analizi İle Belirlenmesi," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 5(3), pages 805-821.
• Marie Ligocká, 2020. "Gender Diversity in Boardrooms and on Supervisory Boards and its Relation to Stock Prices," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 67(2), pages 177-192, June.
• Maja NikÅ¡ić Radić & Hana Paleka, 2020. "Higher Education Funding and Economic Growth: Empirical Evidence from Croatia," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 67(3), pages 409-421, September.
• Daniel Homocianu, 2020. "A Methodology of Discovering Comparable Models. The Case of Investing in Retirement Accounts when Considering Age, Main Residence and Education before 1989 vs. Globalization," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 67(4), pages 19-31, December.
• Allard, Anne-Florence & Iania, Leonardo & Smedts, Kristien, 2020. "Stock-bond return correlations: Moving away from “one-frequency-fits-all” by extending the DCC-MIDAS approach," International Review of Financial Analysis, Elsevier, vol. 71(C).
  • Allard, Anne-Florence & Iania, Leonardo & Smedts, Kristien, 2020. "Stock-bond return correlations: Moving away from "one-frequency-fits-all" by extending the DCC-MIDAS approach," LIDAM Reprints LFIN 2020005, Université catholique de Louvain, Louvain Finance (LFIN).
• Levent Bulut & Islam Rizvanoghlu, 2020. "Is gold a safe haven? The international evidence revisited," Acta Oeconomica, Akadémiai Kiadó, Hungary, vol. 70(4), pages 531-549, December.
• Ekin Ayse Ozsuca Erenoglu & Elif Oznur Acar, 2020. "Can US Wage Increases be Regarded as a Leading Indicator for Bond Rates?," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 6(2), pages 169-176, December.
• Yüksel Akay Ünvan, 2020. "Investigation of Causality Relationships among COVID-19 Cases, ISE100 Index, Dollar, Euro, Gram Gold Prices and 2 Years Bond Rates: The Case of Turkey," Alphanumeric Journal, Bahadir Fatih Yildirim, vol. 8(1), pages 29-42, June.
• La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2023. "A higher-order correct fast moving-average bootstrap for dependent data," Journal of Econometrics, Elsevier, vol. 235(1), pages 65-81.
  • La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2020. "A higher-order correct fast moving-average bootstrap for dependent data," Working Papers unige:129395, University of Geneva, Geneva School of Economics and Management.
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• Erhard Reschenhofer & Thomas Stark & Manveer K. Mangat, 2020. "Robust Estimation of the Memory Parameter," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 9(4), pages 1-5.
• Alessandra Amendola & Marinella Boccia & Vincenzo Candila & Giampiero M. Gallo, 2020. "Energy and non–energy Commodities: Spillover Effects on African Stock Markets," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 9(4), pages 1-7.
• Pauwels, Laurent & Radchenko, Peter & Vasnev, Andrey, 2019. "Higher Moment Constraints for Predictive Density Combinations," Working Papers BAWP-2019-01, University of Sydney Business School, Discipline of Business Analytics.
  • Pauwels, Laurent & Radchenko, Peter & Vasnev, Andrey, 2020. "Higher Moment Constraints for Predictive Density Combinations," Working Papers BAWP-2020-01, University of Sydney Business School, Discipline of Business Analytics.
• Andrea Bastianin, 2020. "Robust measures of skewness and kurtosis for macroeconomic and financial time series," Applied Economics, Taylor & Francis Journals, vol. 52(7), pages 637-670, February.
  • Andrea Bastianin, 2019. "Robust measures of skewness and kurtosis for macroeconomic and financial time series," Working Papers 408, University of Milano-Bicocca, Department of Economics, revised 06 May 2019.
• Christian Conrad & Melanie Schienle, 2020. "Testing for an Omitted Multiplicative Long-Term Component in GARCH Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 229-242, April.
  • Conrad, Christian & Schienle, Melanie, 2019. "Testing for an omitted multiplicative long-term component in GARCH models," Working Paper Series in Economics 121, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Carsten Bormann & Melanie Schienle, 2020. "Detecting Structural Differences in Tail Dependence of Financial Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 380-392, April.
  • Bormann, Carsten & Schienle, Melanie, 2019. "Detecting structural differences in tail dependence of financial time series," Working Paper Series in Economics 122, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Jérôme Lahaye & Christopher Neely, 2020. "The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 410-427, April.
  • Jerome Lahaye & Christopher J. Neely, 2014. "The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited," Working Papers 2014-034, Federal Reserve Bank of St. Louis.
• Gajurel, Dinesh & Chowdhury, Biplob, 2020. "Realized volatility, jump and beta: evidence from Canadian stock market," Working Papers 2020-11, University of Tasmania, Tasmanian School of Business and Economics.
• Roman Frydman & Nicholas Mangee & Josh Stillwagon, 2021. "How Market Sentiment Drives Forecasts of Stock Returns," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 22(4), pages 351-367, October.
  • Roman Frydman & Nicholas Mangee & Josh Stillwagon, 2020. "How Market Sentiment Drives Forecasts of Stock Returns," Working Papers Series inetwp115, Institute for New Economic Thinking.
• Paolo Gorgi & Siem Jan Koopman, 2020. "Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects," Tinbergen Institute Discussion Papers 20-004/III, Tinbergen Institute.
• Dennis Umlandt, 2020. "Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models," Working Paper Series 2020-06, University of Trier, Research Group Quantitative Finance and Risk Analysis.
• Kim, Jihyun & Park, Joon & Wang, Bin, 2020. "Estimation of Volatility Functions in Jump Diffusions Using Truncated Bipower Increments," TSE Working Papers 20-1096, Toulouse School of Economics (TSE).
• Luis Miguel Cruz Lázaro & Felipe Abelardo Pérez Sosa, 2020. "Análisis del impacto de las reformas financieras de 2014 en las sociedades cooperativas de ahorro y préstamo de México [Analysis of the impact of the 2014 financial reforms on Mexican cooperative f," REVESCO: Revista de estudios cooperativos, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Escuela de Estudios Cooperativos, issue 135, pages 69190-69190.
• Tae-Hwy Lee & Ekaterina Seregina, 2020. "Optimal Portfolio Using Factor Graphical Lasso," Papers 2011.00435, arXiv.org, revised Apr 2023.
  • Tae-Hwy Lee & Ekaterina Seregina, 2020. "Optimal Portfolio Using Factor Graphical Lasso," Working Papers 202025, University of California at Riverside, Department of Economics.
• Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2020. "Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting," Working Papers 202056, University of Pretoria, Department of Economics.
  • Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2020. "Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting," Working papers 2020-10, University of Connecticut, Department of Economics.
• Ilya V. Naumov, 2020. "A scenario-based model of the reproduction of institutional sectors’ investment potential in Sverdlovsk oblast," Upravlenets, Ural State University of Economics, vol. 11(5), pages 17-28, November.
• Mesias Alfeus & Christina Sklibosios Nikitopoulos, 2020. "Forecasting Commodity Markets Volatility: HAR or Rough?," Research Paper Series 415, Quantitative Finance Research Centre, University of Technology, Sydney.
• Mwampashi, Muthe Mathias & Nikitopoulos, Christina Sklibosios & Konstandatos, Otto & Rai, Alan, 2021. "Wind generation and the dynamics of electricity prices in Australia," Energy Economics, Elsevier, vol. 103(C).
  • Muthe Mathias Mwampashi & Christina Sklibosios Nikitopoulos & Otto Konstandatos & Alan Rai, 2020. "Wind Generation and the Dynamics of Electricity Prices in Australia," Research Paper Series 416, Quantitative Finance Research Centre, University of Technology, Sydney.
• Christina Sklibosios Nikitopoulos & Alice Thomas & Jianxin Wang, 2020. "The Economic Impact of Volatility Persistence on Energy Markets," Research Paper Series 417, Quantitative Finance Research Centre, University of Technology, Sydney.
• 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".
  • Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2020. "Networks in risk spillovers: A multivariate GARCH perspective," Working Papers 2020:16, Department of Economics, University of Venice "Ca' Foscari".
  • Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2018. "Networks in risk spillovers: A multivariate GARCH perspective," SAFE Working Paper Series 225, Leibniz Institute for Financial Research SAFE.
• Rachele Foschi & Francesca Lilla & Cecilia Mancini, 2020. "Warnings about future jumps: properties of the exponential Hawkes model," Working Papers 13/2020, University of Verona, Department of Economics.
• CELIK, Ismail, 2020. "Can Bitcoin Be A Stable Investment?," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 24(2), pages 19-36, June.
• CELIK, Ismail & YILMAZ, Tayfun & EMIR, Suleyman & SAK, Ahmet Furkan, 2020. "The Effects Of Covid-19 Outbreak On Financial Markets," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 24(4), pages 6-28, December.
• AILINCA, Alina Georgeta, 2020. "Links Between Tax Regimes And Political Regimes In European Union Countries In The Period 2000-2019," Journal of Financial and Monetary Economics, Centre of Financial and Monetary Research "Victor Slavescu", vol. 8(1), pages 6-14, October.
• Arnerić Josip, 2020. "Realized density estimation using intraday prices," Croatian Review of Economic, Business and Social Statistics, Sciendo, vol. 6(1), pages 1-9, May.
• Homa Magdalena, 2020. "Mathematical Reserves vs Longevity Risk in Life Insurances," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 24(1), pages 23-38, March.
• Gürsakal Necmi & Yilmaz Fırat Melih & Uğurlu Erginbay, 2020. "Finding Opportunity Windows in Time Series Data Using the Sliding Window Technique: the Case of Stock Exchanges," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 24(3), pages 1-19, September.
• Pražák Tomáš, 2020. "The Role of Main Microeconomic Factors on the Stock Prices of Selected Swiss Companies," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 16(1), pages 67-74, March.
• Bashir Zahid & Arshad Muhammad Usman & Asif Muhammad & Abbas Muhammad & Ali Hasnain, 2020. "Role of Business Age, Scale & Risk in Debt Financing Choices for the Pakistani Textile & Apparel Industry," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 16(3), pages 119-136, September.
• Brzeszczyński Janusz & Gajdka Jerzy & Schabek Tomasz, 2020. "Bitcoin as a New Currency," Folia Oeconomica Stetinensia, Sciendo, vol. 20(2), pages 49-65, December.
• Krupa Tadeusz, 2020. "Virtual Center for the Paradigmatic Studies," Foundations of Management, Sciendo, vol. 12(1), pages 181-192, January.
• Krupa Tadeusz, 2020. "Virtual Center for the Paradigmatic Studies," Foundations of Management, Sciendo, vol. 12(1), pages 181-192, January.
• Kowalski Michał J. & Kazak Jan K., 2020. "Value-Based Management for Real Estate Developers’ Activities," Real Estate Management and Valuation, Sciendo, vol. 28(4), pages 48-62, December.
• Duda Jarosław & Gurgul Henryk & Syrek Robert, 2020. "Modelling bid-ask spread conditional distributions using hierarchical correlation reconstruction," Statistics in Transition New Series, Polish Statistical Association, vol. 21(5), pages 99-118, December.
• Ngozi E. Egbuna (PhD) & Maimuna John-Sowe & Dauda Mohammed (PhD) & Hissan Abubakari & Eric L. Sambolah & Kormay Adams, 2020. "Uncertainty And Economic Performance In The West African Monetary Zone (Wamz): A Fixed Effect Panel Threshold Approach," Working Papers 19, West African Monetary Institute.
• Gilbert Mbara, 2020. "Price Transmission across Commodity Markets: Physical to Futures," Working Papers 2020-07, Faculty of Economic Sciences, University of Warsaw.
• Mateusz Buczyński & Marcin Chlebus, 2020. "Size does matter. A study on the required window size for optimal quality market risk models," Working Papers 2020-09, Faculty of Economic Sciences, University of Warsaw.
• Maciej Wysocki & Robert Ślepaczuk, 2020. "Artificial Neural Networks Performance in WIG20 Index Options Pricing," Working Papers 2020-19, Faculty of Economic Sciences, University of Warsaw.
• Mateusz Kijewski & Robert Ślepaczuk, 2020. "Predicting prices of S&P500 index using classical methods and recurrent neural networks," Working Papers 2020-27, Faculty of Economic Sciences, University of Warsaw.
• Karol Kielak & Robert Ślepaczuk, 2020. "Value-at-risk — the comparison of state-of-the-art models on various assets," Working Papers 2020-28, Faculty of Economic Sciences, University of Warsaw.
• Mateusz Heba & Marcin Chlebus, 2020. "Impact of using industry benchmark financial ratios on performance of bankruptcy prediction logistic regression model," Working Papers 2020-30, Faculty of Economic Sciences, University of Warsaw.
• Bartłomiej Bollin & Robert Ślepaczuk, 2020. "Variance Gamma Model in Hedging Vanilla and Exotic Options," Working Papers 2020-31, Faculty of Economic Sciences, University of Warsaw.
• Robert Ślepaczuk & Igor Wabik, 2020. "The impact of the results of football matches on the stock prices of soccer clubs," Working Papers 2020-35, Faculty of Economic Sciences, University of Warsaw.
• Quynh Bui & Robert Ślepaczuk, 2020. "Applying Hurst Exponent in Pair Trading Strategies," Working Papers 2020-39, Faculty of Economic Sciences, University of Warsaw.
• Xu, Dinghai, 2022. "Canadian stock market volatility under COVID-19," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 159-169.
  • Dinghai Xu, 2020. "Canadian Stock Market Volatility under COVID-19," Working Papers 2001, University of Waterloo, Department of Economics, revised May 2020.
• Duc Khuong Nguyen & Thomas Walther, 2020. "Modeling and forecasting commodity market volatility with long‐term economic and financial variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 126-142, March.
  • Nguyen, Duc Khuong & Walther, Thomas, 2017. "Modeling and forecasting commodity market volatility with long-term economic and financial variables," MPRA Paper 84464, University Library of Munich, Germany, revised Jan 2018.
  • Thomas Walther & Duc Khuong Nguyen, 2018. "Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Variables," Working Papers on Finance 1824, University of St. Gallen, School of Finance.
• Mingyang Li & Linlin Niu & Andrew Pua, 2020. "Market Pricing of Fundamentals at the Shanghai Stock Exchange: Evidence from a Dividend Discount Model with Adaptive Expectations," Working Papers 2020-12-30, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
• Faria, Gonçalo & Verona, Fabio, 2020. "Frequency-domain information for active portfolio management," Bank of Finland Research Discussion Papers 2/2020, Bank of Finland.
• Gonçalo Faria & Fabio Verona, 2021. "Time-frequency forecast of the equity premium," Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2119-2135, December.
  • Faria, Gonçalo & Verona, Fabio, 2020. "Time-frequency forecast of the equity premium," Bank of Finland Research Discussion Papers 6/2020, Bank of Finland.
• Lux, Thomas, 2020. "Bayesian estimation of agent-based models via adaptive particle Markov chain Monte Carlo," Economics Working Papers 2020-01, Christian-Albrechts-University of Kiel, Department of Economics.
• Theissen, Erik & Yilanci, Can, 2020. "Momentum? What Momentum?," CFR Working Papers 20-09, University of Cologne, Centre for Financial Research (CFR).
• Winkelmann, Lars & Yao, Wenying, 2020. "Cojump anchoring," Discussion Papers 2020/17, Free University Berlin, School of Business & Economics.
• Timo Dimitriadis & Xiaochun Liu & Julie Schnaitmann, 2020. "Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary," Papers 2009.07341, arXiv.org.
  • Dimitriadis, Timo & Liu, Xiaochun & Schnaitmann, Julie, 2020. "Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary," Hohenheim Discussion Papers in Business, Economics and Social Sciences 11-2020, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
• Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2021. "Long- and short-run components of factor betas: Implications for stock pricing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  • Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2020. "Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing," IRTG 1792 Discussion Papers 2020-020, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Reh, Laura & Krüger, Fabian & Liesenfeld, Roman, 2020. "Predicting the global minimum variance portfolio," Working Paper Series in Economics 141, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Grammig, Joachim & Hanenberg, Constantin & Schlag, Christian & Sönksen, Jantje, 2020. "Diverging roads: Theory-based vs. machine learning-implied stock risk premia," University of Tübingen Working Papers in Business and Economics 130, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
• Gavard, Claire & Kirat, Djamel, 2020. "Short-term impacts of carbon offsetting on emissions trading schemes: Empirical insights from the EU experience," ZEW Discussion Papers 20-058, ZEW - Leibniz Centre for European Economic Research.
• De Nard, Gianluca & Engle, Robert F. & Ledoit, Olivier & Wolf, Michael, 2022. "Large dynamic covariance matrices: Enhancements based on intraday data," Journal of Banking & Finance, Elsevier, vol. 138(C).
  • Gianluca De Nard & Robert F. Engle & Olivier Ledoit & Michael Wolf, 2020. "Large dynamic covariance matrices: enhancements based on intraday data," ECON - Working Papers 356, Department of Economics - University of Zurich, revised Jan 2022.

2019

• Efrosiniya Karatetskaya & Valeriya Lakshina, 2019. "Volatility spillovers with spatial effects in the oil and gas market (in Russian)," Quantile, Quantile, issue 14, pages 83-95, June.
• Christian Bucio Pacheco & Raul de Jesus Gutierrez & Magnolia Miriam Sosa Castro, 2019. "Contagio via copulas dinamicas en los mercados de capitales del TLCAN de 2000 a 2016," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 16(2), pages 65-87, Julio-Dic.
• Clements, Adam & Preve, Daniel P.A., 2021. "A Practical Guide to harnessing the HAR volatility model," Journal of Banking & Finance, Elsevier, vol. 133(C).
  • A Clements & D Preve, 2019. "A Practical Guide to Harnessing the HAR Volatility Model," NCER Working Paper Series 120, National Centre for Econometric Research.
• Nivín, Rafael & Pérez, Fernando, 2019. "Estimación de un Índice de Condiciones Financieras para el Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 37, pages 49-64.
  • Nivín, Rafael & Pérez, Fernando, 2019. "Estimación de un Índice de Condiciones Financieras para el Perú," Working Papers 2019-006, Banco Central de Reserva del Perú.
• Nivín, Rafael & Pérez, Fernando, 2019. "Estimación de un Índice de Condiciones Financieras para el Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 37, pages 49-64.
  • Nivín, Rafael & Pérez, Fernando, 2019. "Estimación de un Índice de Condiciones Financieras para el Perú," Working Papers 2019-006, Banco Central de Reserva del Perú.
• Humala, Alberto, 2019. "Corporate earnings sensitivity to FX volatility and currency exposure: evidence from Peru," Working Papers 2019-021, Banco Central de Reserva del Perú.
• Angelini, Giovanni & De Angelis, Luca & Singleton, Carl, 2022. "Informational efficiency and behaviour within in-play prediction markets," International Journal of Forecasting, Elsevier, vol. 38(1), pages 282-299.
  • Giovanni Angelini & Luca De Angelis & Carl Singleton, 2019. "Informational efficiency and behaviour within in-play prediction markets," Economics Discussion Papers em-dp2019-20, Department of Economics, University of Reading, revised 01 Apr 2021.
• Sima Siami-Namini, 2019. "Volatility Transmission Among Oil Price, Exchange Rate and Agricultural Commodities Prices," Applied Economics and Finance, Redfame publishing, vol. 6(4), pages 41-61, July.
• Josip Arneriæ & Mario Matkoviæ, 2019. "Challenges of integrated variance estimation in emerging stock markets," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 37(2), pages 713-739.
• Senarathne, Chamil W, 2019. "The Information Flow Interpretation of Margin Debt Value Data: Evidence from New York Stock Exchange," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, vol. 26(1), pages 45-70, June.
• Borzykh, Dmitriy & Yazykov, Artem, 2019. "The new KS method for a structural break detection in GARCH(1,1) models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 54, pages 90-104.
• Tastan, Huseyin & Gungor, Arifenur, 2019. "Macroeconomic Fundamentals of Turkey Stock Market Volatility," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 10(4), pages 823-832, July.
• Gaies, Brahim & Nabi2, Mahmoud-Sami, 2019. "Financial Openness and Growth in Developing Countries: Why Does the Type of External Financing Matter?," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 34(3), pages 426-464.
• Hasan, Md Abu, 2019. "Co-Movement and Volatility Transmission between Islamic and Conventional Equity Index in Bangladesh," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 26, pages 43-71.
• Lobão, Júlio, 2019. "Seasonal anomalies in the market for American depository receipts," Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 24(48), pages 241-265.
• Khalil, Adeela & Farooq, Umar, 2019. "Determinants of Net Interest Margins in Emerging Markets:A Generalized Method of Moments Approach," Journal of Quantitative Methods, University of Management and Technology, Lahore, Pakistan, vol. 3(1), pages 39-56.
• Sadeghi Shahdani, Mahdi & Mohseni, Hossein, 2019. "Exchange Rate Volatility Spillovers to Iran Capital Market," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 6(1), pages 77-96, May.
• Miraskari, Seyed Reza & Ranji, Fariborz & Mousavini, Sayedmorteza, 2019. "Analyzing the Effect of Macroeconomic Variables on the Insolvency Risk of Iranian Bank," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 6(2), pages 29-46, August.
• Hasan Murat ERTUGRUL & Alper OZUN & Dervis KIRIKKALELI, 2019. "How is Financial Stability Impacted by Political and Economic Stabilities in Emerging Markets? A Dynamic Panel Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 148-159, December.
• Adriana Daniela CIUREL & Tiberiu STOICA, 2019. "Determining Impacts on Non-Performing Loan Ratio in Romania," REVISTA DE MANAGEMENT COMPARAT INTERNATIONAL/REVIEW OF INTERNATIONAL COMPARATIVE MANAGEMENT, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 20(2), pages 155-170, March.
• Theshne Kisten, 2019. "A financial stress index for South Africa: A time-varying correlation approach," Working Papers 805, Economic Research Southern Africa.
  • Theshne Kisten, 2020. "A Financial Stress Index for South Africa: A Time-Varying Correlation Approach," Working Papers 202011, University of Pretoria, Department of Economics.
• Sylvester Ohiomu & Sunday Ade Oluyemi, 2019. "Resolving Revenue Allocation Challenges in Nigeria: Implications for Sustainable National Development," The American Economist, Sage Publications, vol. 64(1), pages 142-153, March.
• Harshita & Shveta Singh & Surendra S. Yadav, 2019. "Unique Calendar Effects in the Indian Stock Market: Evidence and Explanations," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1_suppl), pages 35-58, April.
• Dilip Kumar, 2019. "Structural Breaks in Volatility Transmission from Developed Markets to Major Asian Emerging Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(2), pages 172-209, August.
• Gagan Sharma & Parthajit Kayal & Piyush Pandey, 2019. "Information Linkages Among BRICS Countries: Empirical Evidence from Implied Volatility Indices," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(3), pages 263-289, December.
• Ma?gorzata Just & Aleksandra ?uczak, 2019. "Assessment of conditional dependence structure in commodity futures markets using copula-GARCH models and fuzzy clustering methods," Proceedings of International Academic Conferences 9912191, International Institute of Social and Economic Sciences.
• Ma?gorzata Just & Agnieszka Kozera & Aleksandra ?uczak, 2019. "Conditional Dependence Structure in the Precious Metals Futures Market," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, vol. 8(1), pages 81-93, June.
• Fonseca-Ramírez, Alejandro & Santillán-Salgado, Roberto J. & López-Herrera, Francisco, 2019. "Incidencia de las fluctuaciones del índice VIX en la volatilidad de los mercados bursátiles latinoamericanos / VIX Index Spillover on Latin American Stock Markets Volatility," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 9(1), pages 97-123, enero-jun.
• Alex Karagrigoriou & George-Jason Siouris & Despoina Skilogianni, 2019. "Adjusted Evaluation Measures for Asymmetrically Important Data," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 4(1), pages 41-66, June.
• Chelsey Hill & B. D. McCullough, 2019. "On The Accuracy of GARCH Estimation in R Packages," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 4(2), pages 133-156, December.
• Yang Mestre-Zhou, 2019. "Reforms’ Effects on Chinese stock markets world integration - An Empirical analysis with t-DCCGARCH model," Cahiers de recherche 19-06, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.
• Benjamin Anderegg & Didier Sornette & Florian Ulmann, 2019. "Quantification of feedback effects in FX options markets," Working Papers 2019-03, Swiss National Bank.
• Berhan ÇOBAN & Esin FİRUZAN, 2019. "Convergence and Cointegration Analysis under Structural Breaks: Application of Turkey Tourism Markets," Sosyoekonomi Journal, Sosyoekonomi Society, issue 27(39).
• Mehtap TUNÇ & Abdullah AÇI, 2019. "The Impact of Steel Price on Ship Demolition Prices: Evidence from Heterogeneous Panel of Developing Countries," Sosyoekonomi Journal, Sosyoekonomi Society, issue 27(42).
• Margherita Giuzio & Sandra Paterlini, 2019. "Un-diversifying during crises: Is it a good idea?," Computational Management Science, Springer, vol. 16(3), pages 401-432, July.
  • Margherita Giuzio & Sandra Paterlini, 2016. "Undiversifying during Crises: Is It a Good Idea?," Working Papers (Old Series) 1628, Federal Reserve Bank of Cleveland.
• Gianna Figá-Talamanca & Marco Patacca, 2019. "Does market attention affect Bitcoin returns and volatility?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 135-155, June.
• Jean Jacod, 2019. "Estimation of volatility in a high-frequency setting: a short review," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 351-385, December.
• Giulia Livieri & Maria Elvira Mancino & Stefano Marmi, 2019. "Asymptotic results for the Fourier estimator of the integrated quarticity," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 471-502, December.
• Jonathan Haynes & Daniel Schmitt & Lukas Grimm, 2019. "Estimating stochastic volatility: the rough side to equity returns," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 449-469, December.
• Stefano Bistarelli & Alessandra Cretarola & Gianna Figà-Talamanca & Marco Patacca, 2019. "Model-based arbitrage in multi-exchange models for Bitcoin price dynamics," Digital Finance, Springer, vol. 1(1), pages 23-46, November.
• Paolo Pagnottoni & Thomas Dimpfl, 2019. "Price discovery on Bitcoin markets," Digital Finance, Springer, vol. 1(1), pages 139-161, November.
  • Pagnottoni, Paolo & Baur, Dirk G. & Dimpfl, Thomas, 2018. "Price Discovery on Bitcoin Markets," IRTG 1792 Discussion Papers 2018-014, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Matthew F. Dixon & Cuneyt Gurcan Akcora & Yulia R. Gel & Murat Kantarcioglu, 2019. "Blockchain analytics for intraday financial risk modeling," Digital Finance, Springer, vol. 1(1), pages 67-89, November.
• Joscha Beckmann & Theo Berger & Robert Czudaj & Thi-Hong-Van Hoang, 2019. "Tail dependence between gold and sectorial stocks in China: perspectives for portfolio diversification," Empirical Economics, Springer, vol. 56(3), pages 1117-1144, March.
  • Joscha Beckmann & Theo Berger & Robert Czudaj & Thi-Hong-Van Hoang, 2016. "Tail dependence between gold and sectorial stocks in China: perspectives for portfolio diversification," Post-Print hal-02053864, HAL.
  • Joscha Beckmann & Theo Berger & Robert Czudaj & Thi-Hong-Van Hoang, 2017. "Tail dependence between gold and sectorial stocks in China: Perspectives for portfolio diversication," Chemnitz Economic Papers 012, Department of Economics, Chemnitz University of Technology, revised Jul 2017.
• Peter N. Posch & Daniel Ullmann & Dominik Wied, 2019. "Detecting structural changes in large portfolios," Empirical Economics, Springer, vol. 56(4), pages 1341-1357, April.
• Sercan Demiralay & Selcuk Bayraci & H. Gaye Gencer, 2019. "Time-varying diversification benefits of commodity futures," Empirical Economics, Springer, vol. 56(6), pages 1823-1853, June.
• Bo Tang, 2019. "Does the currency exposure affect stock returns of Chinese automobile firms?," Empirical Economics, Springer, vol. 57(1), pages 53-77, July.
  • Tang, Bo, 2018. "Does the currency exposure affect stock returns of Chinese automobile firms?," MPRA Paper 85125, University Library of Munich, Germany.
• Marinela Adriana Finta & Bart Frijns & Alireza Tourani-Rad, 2019. "Time-varying contemporaneous spillovers during the European Debt Crisis," Empirical Economics, Springer, vol. 57(2), pages 423-448, August.
• Ole Martin & Mathias Vetter, 2019. "Laws of large numbers for Hayashi–Yoshida-type functionals," Finance and Stochastics, Springer, vol. 23(3), pages 451-500, July.
• Miroslav Mateev & Elena Marinova, 2019. "Relation between Credit Default Swap Spreads and Stock Prices: A Non-linear Perspective," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(1), pages 1-26, January.
• Charbel Bassil & Hassan Hamadi & Patrick Mardini, 2019. "Gold and oil prices: stable or unstable long-run relationship," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(1), pages 57-72, January.
• Miroslav Mateev, 2019. "Volatility relation between credit default swap and stock market: new empirical tests," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(4), pages 681-712, October.
• Muneer Shaik & S. Maheswaran, 2019. "Robust Volatility Estimation with and Without the Drift Parameter," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(1), pages 57-91, March.
• Chinnadurai Kathiravan & Murugesan Selvam & Desti Kannaiah & Kasilingam Lingaraja & Vadivel Thanikachalam, 2019. "On the relationship between weather and Agricultural Commodity Index in India: a study with reference to Dhaanya of NCDEX," Quality & Quantity: International Journal of Methodology, Springer, vol. 53(2), pages 667-683, March.
• Astrid Ayala & Szabolcs Blazsek, 2019. "Score-driven currency exchange rate seasonality as applied to the Guatemalan Quetzal/US Dollar," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 10(1), pages 65-92, March.
• Lisa Crosato & Luigi Grossi, 2019. "Correcting outliers in GARCH models: a weighted forward approach," Statistical Papers, Springer, vol. 60(6), pages 1939-1970, December.
• Pauwels, Laurent & Radchenko, Peter & Vasnev, Andrey, 2019. "Higher Moment Constraints for Predictive Density Combinations," Working Papers BAWP-2019-01, University of Sydney Business School, Discipline of Business Analytics.
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• 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.
• Mathias Manguzvane & John Weirstrass Muteba Mwamba, 2019. "Modelling systemic risk in the South African banking sector using CoVaR," International Review of Applied Economics, Taylor & Francis Journals, vol. 33(5), pages 624-641, September.
• Yacine Aït-Sahalia & Dacheng Xiu, 2019. "Principal Component Analysis of High-Frequency Data," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(525), pages 287-303, January.
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• Robert F. Engle & Olivier Ledoit & Michael Wolf, 2019. "Large Dynamic Covariance Matrices," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(2), pages 363-375, April.
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• Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2019. "Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(3), pages 419-435, July.
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• Joscha Beckmann & Theo Berger & Robert Czudaj, 2019. "Gold price dynamics and the role of uncertainty," Quantitative Finance, Taylor & Francis Journals, vol. 19(4), pages 663-681, April.
  • Joscha Beckmann & Theo Berger & Robert Czudaj, 2017. "Gold Price Dynamics and the Role of Uncertainty," Chemnitz Economic Papers 006, Department of Economics, Chemnitz University of Technology, revised May 2017.
• Riza Demirer & Guilherme Demos & Rangan Gupta & Didier Sornette, 2019. "On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators," Quantitative Finance, Taylor & Francis Journals, vol. 19(5), pages 843-858, May.
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• Chowdhury, Biplob & Jeyasreedharan, Nagaratnam, 2019. "An empirical examination of the jump and diffusion aspects of asset pricing: Japanese evidence," Working Papers 2019-02, University of Tasmania, Tasmanian School of Business and Economics.
• Francisco Blasques & Vladim'ir Hol'y & Petra Tomanov'a, 2018. "Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros," Papers 1812.07318, arXiv.org, revised Jan 2022.
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• Anne Opschoor & André Lucas & István Barra & Dick van Dijk, 2021. "Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1066-1079, October.
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• Anne Opschoor & André Lucas, 2019. "Time-varying tail behavior for realized kernels," Tinbergen Institute Discussion Papers 19-051/IV, Tinbergen Institute.
• Anne Opschoor & André Lucas, 2019. "Observation-driven Models for Realized Variances and Overnight Returns," Tinbergen Institute Discussion Papers 19-052/IV, Tinbergen Institute.
• Borowska, Agnieszka & Hoogerheide, Lennart & Koopman, Siem Jan & van Dijk, Herman K., 2020. "Partially censored posterior for robust and efficient risk evaluation," Journal of Econometrics, Elsevier, vol. 217(2), pages 335-355.
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• Sander Barendse & Erik Kole & Dick van Dijk, 2019. "Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error," Tinbergen Institute Discussion Papers 19-058/III, Tinbergen Institute.
• Almeida, Caio & Ardison, Kym & Garcia, René, 2020. "Nonparametric assessment of hedge fund performance," Journal of Econometrics, Elsevier, vol. 214(2), pages 349-378.
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• Audrone Virbickaite & Christoph Frey & Demian N. Macedo, 2019. "Sequential Stock Return Prediction Through Copulas," DEA Working Papers 91, Universitat de les Illes Balears, Departament d'Economía Aplicada.
• Abhinav Anand & John Cotter, 2019. "Integration Among US Banks," Working Papers 201913, Geary Institute, University College Dublin.
• Laura Garcia-Jorcano & Alfonso Novales, 2020. "A dominance approach for comparing the performance of VaR forecasting models," Computational Statistics, Springer, vol. 35(3), pages 1411-1448, September.
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• Alfonso Novales & Alvaro Chamizo, 2019. "Splitting Credit Risk into Systemic, Sectorial and Idiosyncratic Components," JRFM, MDPI, vol. 12(3), pages 1-33, August.
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• Moreno, Manuel & Novales, Alfonso & Platania, Federico, 2018. "A term structure model under cyclical fluctuations in interest rates," Economic Modelling, Elsevier, vol. 72(C), pages 140-150.
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• Asim Rafiq & Shahbib Hassan, 2019. "Macro-Economic Determinant And Interdependence Of The Stock Markets," Economic Journal of Emerging Markets, Universitas Islam Indonesia, Department of Economics, vol. 11(1), pages 104-112, April.
• Mohamed Chikhi & Claude Diebolt, 2019. "Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors," Working Papers 03-19, Association Française de Cliométrie (AFC).
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• Mohamed CHIKHI & Claude DIEBOLT & Tapas MISHRA, 2019. "Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model," Working Papers 07-19, Association Française de Cliométrie (AFC).
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• Gaye Del Lo, 2019. "About the relationship between renewable energy and oil markets," Working Papers of BETA 2019-31, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
• Mohamed CHIKHI & Claude DIEBOLT & Tapas MISHRA, 2019. "Does Predictive Ability of an Asset Price Rest in 'Memory'? Insights from a New Approach," Working Papers of BETA 2019-43, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
• Fousseni Chabi-Yo & Markus Huggenberger & Florian Weigert, 2019. "Multivariate Crash Risk," Working Papers on Finance 1901, University of St. Gallen, School of Finance.
• Kang, Boda & Nikitopoulos, Christina Sklibosios & Prokopczuk, Marcel, 2020. "Economic determinants of oil futures volatility: A term structure perspective," Energy Economics, Elsevier, vol. 88(C).
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• Szubzda Filip & Chlebus Marcin, 2019. "Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions," Central European Economic Journal, Sciendo, vol. 6(53), pages 70-85, January.
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• Szubzda Filip & Chlebus Marcin, 2019. "Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions," Central European Economic Journal, Sciendo, vol. 6(53), pages 70-85, January.
  • Szubzda Filip & Chlebus Marcin, 2019. "Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions," Central European Economic Journal, Sciendo, vol. 6(53), pages 70-85, January.
• Jańska Anna & Kędra Arleta, 2019. "Factors Determining the Purchase of Insurance Products," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 23(1), pages 19-28, March.
• Jańska Anna & Kędra Arleta, 2019. "Factors Determining the Purchase of Insurance Products," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 23(1), pages 19-28, March.
• Szczepocki Piotr, 2019. "Clustering Companies Listed on the Warsaw Stock Exchange According to Time-Varying Beta," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 23(2), pages 63-79, June.
• Senarathne Chamil W. & Šoja Tijana, 2019. "Heteroskedasticity in Excess Bitcoin Return Data: Google Trend vs. Garch Effects," Financial Sciences. Nauki o Finansach, Sciendo, vol. 24(3), pages 35-45, September.
• Senarathne Chamil W., 2019. "The Impact of Internet Information Flow Regarding ‘Innovation’ on Common Stock Returns: Volume vs Google Search Quarries," Management of Sustainable Development, Sciendo, vol. 11(1), pages 43-49, June.
• Nageri Kamaldeen Ibraheem, 2019. "Evaluating Good and Bad News During Pre and Post Financial Meltdown: Nigerian Stock Market Evidence," Studia Universitatis Babeș-Bolyai Oeconomica, Sciendo, vol. 64(3), pages 1-22, December.
• Nageri Kamaldeen Ibraheem & Abdulkadir Rihanat Idowu, 2019. "Is the Nigerian Stock Market Efficient? Pre and Post 2007-2009 Meltdown Analysis," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 29(3), pages 38-63, September.
• Mateusz Buczyński & Marcin Chlebus, 2019. "Old-fashioned parametric models are still the best. A comparison of Value-at-Risk approaches in several volatility states," Working Papers 2019-12, Faculty of Economic Sciences, University of Warsaw.
• Dinghai Xu, 2021. "A study on volatility spurious almost integration effect: A threshold realized GARCH approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4104-4126, July.
  • Dinghai Xu, 2019. "A Study on Volatility Spurious Almost Integration Effect: A Threshold Realized GARCH Approach," Working Papers 1903, University of Waterloo, Department of Economics, revised Dec 2019.
• C. Gouriéroux & A. Monfort & J.‐M. Zakoïan, 2019. "Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations," Econometrica, Econometric Society, vol. 87(1), pages 327-345, January.
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• Xin Jin & John M. Maheu & Qiao Yang, 2019. "Bayesian parametric and semiparametric factor models for large realized covariance matrices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 641-660, August.
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• Rangan Gupta & Tahir Suleman & Mark E. Wohar, 2019. "The role of time‐varying rare disaster risks in predicting bond returns and volatility," Review of Financial Economics, John Wiley & Sons, vol. 37(3), pages 327-340, July.
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• Robert Jarrow & Arkadev Chatterjea, 2019. "An Introduction to Derivative Securities, Financial Markets, and Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number y0018, February.
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Derivatives and Risk Management," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 1, pages 2-21, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Interest Rates," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 2, pages 22-52, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Stocks," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 3, pages 53-71, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Forwards and Futures," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 4, pages 72-91, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Options," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 5, pages 92-111, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Arbitrage and Trading," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 6, pages 112-128, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Financial Engineering and Swaps," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 7, pages 129-151, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Forwards and Futures Markets," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 8, pages 154-171, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Futures Trading," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 9, pages 172-191, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Futures Regulations," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 10, pages 192-208, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "The Cost-of-Carry Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 11, pages 209-228, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "The Extended Cost-of-Carry Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 12, pages 229-255, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Futures Hedging," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 13, pages 256-285, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Options Markets and Trading," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 14, pages 288-309, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Option Trading Strategies," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 15, pages 310-335, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Option Relations," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 16, pages 336-366, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Single-Period Binomial Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 17, pages 367-391, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Multiperiod Binomial Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 18, pages 392-421, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "The Black–Scholes–Merton Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 19, pages 422-461, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Using the Black–Scholes–Merton Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 20, pages 462-493, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Yields and Forward Rates," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 21, pages 496-537, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Interest Rate Swaps," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 22, pages 538-557, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Single-Period Binomial Heath–Jarrow–Morton Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 23, pages 558-591, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Multiperiod Binomial HJM Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 24, pages 592-617, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "The Heath–Jarrow–Morton Libor Model," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 25, pages 618-654, World Scientific Publishing Co. Pte. Ltd..
• Robert A. Jarrow & Arkadev Chatterjea, 2019. "Risk Management Models," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 26, pages 655-683, World Scientific Publishing Co. Pte. Ltd..
• Fischer, Henning & Stolper, Oscar, 2019. "The nonlinear dynamics of corporate bond spreads: Regime-dependent effects of their determinants," Discussion Papers 08/2019, Deutsche Bundesbank.
• Dumitru, Ana-Maria & Hizmeri, Rodrigo & Izzeldin, Marwan, 2019. "Forecasting the Realized Variance in the Presence of Intraday Periodicity," EconStor Preprints 193631, ZBW - Leibniz Information Centre for Economics.
• Dumitru, Ana-Maria & Holden, Thomas, 2019. "Quantifying the transmission of European sovereign default risk," EconStor Preprints 193632, ZBW - Leibniz Information Centre for Economics.
• Pele, Daniel Traian & Mazurencu-Marinescu-Pele, Miruna, 2019. "Metcalfe's law and herding behaviour in the cryptocurrencies market," Economics Discussion Papers 2019-16, Kiel Institute for the World Economy (IfW Kiel).
• Śmiech, Sławomir & Papież, Monika & Fijorek, Kamil & Dąbrowski, Marek A., 2019. "What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-32.
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• Pele, Daniel Traian & Mazurencu-Marinescu-Pele, Miruna, 2019. "Metcalfe's law and log-period power laws in the cryptocurrencies market," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-26.
• Qian, Ya & Tu, Jun & Härdle, Wolfgang Karl, 2019. "Information Arrival, News Sentiment, Volatilities and Jumps of Intraday Returns," IRTG 1792 Discussion Papers 2019-002, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
• Christian Conrad & Melanie Schienle, 2020. "Testing for an Omitted Multiplicative Long-Term Component in GARCH Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 229-242, April.
  • Conrad, Christian & Schienle, Melanie, 2019. "Testing for an omitted multiplicative long-term component in GARCH models," Working Paper Series in Economics 121, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Carsten Bormann & Melanie Schienle, 2020. "Detecting Structural Differences in Tail Dependence of Financial Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 380-392, April.
  • Bormann, Carsten & Schienle, Melanie, 2019. "Detecting structural differences in tail dependence of financial time series," Working Paper Series in Economics 122, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Buse, Rebekka & Schienle, Melanie, 2019. "Measuring connectedness of euro area sovereign risk," International Journal of Forecasting, Elsevier, vol. 35(1), pages 25-44.
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  • Buse, Rebekka & Schienle, Melanie, 2019. "Measuring connectedness of euro area sovereign risk," Working Paper Series in Economics 123, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
• Verena Monschang & Bernd Wilfling, 2021. "Sup-ADF-style bubble-detection methods under test," Empirical Economics, Springer, vol. 61(1), pages 145-172, July.
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  • Monschang, Verena & Wilfling, Bernd, 2019. "Sup-ADF-style bubble detection methods under test," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203568, Verein für Socialpolitik / German Economic Association.
• Olivier Ledoit & Michael Wolf, 2019. "The power of (non-)linear shrinking: a review and guide to covariance matrix estimation," ECON - Working Papers 323, Department of Economics - University of Zurich, revised Feb 2020.
• Zhao Zhao & Olivier Ledoit & Hui Jiang, 2019. "Risk reduction and efficiency increase in large portfolios: leverage and shrinkage," ECON - Working Papers 328, Department of Economics - University of Zurich, revised Jan 2020.
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• Michael McAleer, 2019. "What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity, and (Non-) Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model," JRFM, MDPI, vol. 12(2), pages 1-9, April.
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• Alfonso Novales & Alvaro Chamizo, 2019. "Splitting Credit Risk into Systemic, Sectorial and Idiosyncratic Components," JRFM, MDPI, vol. 12(3), pages 1-33, August.
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• Hernandez, Jose Areola & Shahzad, Syed Jawad Hussain & Uddin, Gazi Salah & Kang, Sang Hoon, 2019. "Can agricultural and precious metal commodities diversify and hedge extreme downside and upside oil market risk? An extreme quantile approach," Resources Policy, Elsevier, vol. 62(C), pages 588-601.
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• Hoang, Thi-Hong-Van & Zhu, Zhenzhen & El Khamlichi, Abdelbari & Wong, Wing-Keung, 2019. "Does the Shari’ah screening impact the gold-stock nexus? A sectorial analysis," Resources Policy, Elsevier, vol. 61(C), pages 617-626.
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• Becker, Janis & Hollstein, Fabian & Prokopczuk, Marcel & Sibbertsen, Philipp, 2019. "The Memory of Beta Factors," Hannover Economic Papers (HEP) dp-661, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Farago, Adam & Hjalmarsson, Erik, 2019. "Compound Returns," Working Papers in Economics 767, University of Gothenburg, Department of Economics.
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