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Research classified by Journal of Economic Literature (JEL) codes


Top JEL
/ C: Mathematical and Quantitative Methods
/ / C5: Econometric Modeling
/ / / C58: Financial Econometrics
This topic is covered by the following reading lists:
  1. SOEP based publications
  2. Socio-Economics of Innovation

Most recent items first, undated at the end.
  • 2016 An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors
    by Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang

  • 2016 Estimación de la volatilidad del tipo de cambio en México y Brasil. Un enfoque con modelos Markov Switching Garch
    by Caballero Martínez, Rolando & Caballero Claure, Benigno

  • 2016 Credit Risk Decomposition for Asset Allocation
    by Chamizo Cana, Álvaro & Novales Cinca, Alfonso

  • 2016 Joint distribution of stock indices: Methodological aspects of construction and selection of copula models
    by Knyazev, Alexander & Lepekhin, Oleg & Shemyakin, Arkady

  • 2016 Large dynamic covariance matrices
    by Robert F. Engle & Olivier Ledoit & Michael Wolf

  • 2016 Beyond dimension two: A test for higher-order tail risk
    by Bormann, Carsten & Schaumburg, Julia & Schienle, Melanie

  • 2016 Die Bewertung von Aktienanleihen mit Barriere: Eine Fallstudie für die Easy-Aktienanleihe der Deutschen Bank
    by Hofmann, Maurice & Rottmann, Horst

  • 2016 Measuring the frequency dynamics of financial and macroeconomic connectedness
    by Barunik, Jozef & Krehlik, Tomas

  • 2016 Asymmetric Exchange Rate Exposure of Stock Returns: Empirical Evidence from Chinese Industries
    by Cuestas, Juan Carlos & Tang, Bo

  • 2016 One-Day Prediction of State of Turbulence for Portfolio. Models for Binary Dependent Variable
    by Marcin Chlebus

  • 2016 Networks in risk spillovers: a multivariate GARCH perspective
    by Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon

  • 2016 Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
    by Manabu Asai & Chia-Lin Chang & Michael McAleer

  • 2016 Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes
    by Manabu Asai & Michael McAleer

  • 2016 An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors
    by Chia-Lin Chang & Michael McAleer & Chien-Hsun Wang

  • 2016 Volatility spillovers for spot, futures, and ETF prices in energy and agriculture
    by Chia-Lin Chang & Michael McAleer & Chia-Ping Liu

  • 2016 Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances
    by Chia-Lin Chang & Michael McAleer & Yanghuiting Wang

  • 2016 Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China
    by Chia-Lin Chang & Michael McAleer & Jiarong Tian

  • 2016 Estimating and forecasting generalized fractional Long memory stochastic volatility models
    by Shelton Peiris & Manabu Asai & Michael McAleer

  • 2016 Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models
    by Jinghui Chen & Masahito Kobayashi & Michael McAleer

  • 2016 Modelling volatility spillovers for bio-ethanol, sugarcane and corn
    by Chia-Lin Chang & Michael McAleer & Yu-Ann Wang

  • 2016 How are VIX and Stock Index ETF Related?
    by Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer

  • 2016 Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?
    by Massimiliano Caporin & Chia-Lin Chang & Michael McAleer

  • 2016 Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
    by Manabu Asai & Chia-Lin Chang & Michael McAleer

  • 2016 Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes
    by Manabu Asai & Michael McAleer

  • 2016 Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns
    by Andre Lucas & Anne Opschoor

  • 2016 A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics
    by Manabu Asai & Michael McAleer

  • 2016 Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model
    by Peter Reinhard Hansen & Pawel Janus & Siem Jan Koopman

  • 2016 Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China
    by Chia-Lin Chang & Michael McAleer & Jiarong Tian

  • 2016 Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances
    by Chia-Lin Chang & Michael McAleer & Yanghuiting Wang

  • 2016 Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture
    by Chia-Lin Chang & Chia-Ping Liu & Michael McAleer

  • 2016 Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
    by Shelton Peiris & Manabu Asai & Michael McAleer

  • 2016 Bayesian Dynamic Modeling of High-Frequency Integer Price Changes
    by Istvan Barra & Siem Jan Koopman

  • 2016 Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models
    by Jinghui Chen & Masahito Kobayashi & Michael McAleer

  • 2016 Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn
    by Chia-Lin Chang & Michael McAleer & Yu-Ann Wang

  • 2016 How are VIX and Stock Index ETF related?
    by Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer

  • 2016 Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?
    by Massimiliano Caporin & Chia-Lin Chang & Michael McAleer

  • 2016 Does the Yuan's Overseas Expansion Increase the Currency Exposure of Chinese Financial Firms?
    by Juan Carlos Cuestas & Ying Sophie Huang & Bo Tang

  • 2016 Impact Of The Global Financial Crises On The Major Asian Countries And Usa Stock Markets And Inter-Linkages Among Them
    by Cenk Gokce ADAS & Bibigul Tussupova

  • 2016 Stylized Facts And Weak-Form Efficiency In Turkish Stock Market
    by Hasan AÄŸan Karaduman

  • 2016 How Do Exchange Rate Movements Affect Stock Prices? The Case of Turkey
    by Fela Özbey & Erhan İşcan & Mehmet Fatih Traş

  • 2016 Measuring Agency Costs and the Value of Investment Opportunities of U.S. Bank Holding Companies with Stochastic Frontier Estimation
    by Joseph P. Hughes & Loretta J. Mester & Choon-Geol Moon

  • 2016 Estimation Of Star-Garch Models With Iteratively Weighted Least Squares
    by Murat Midilic

  • 2016 Forecast Combinations For Realized Volatility In Presence Of Structural Breaks
    by Davide De Gaetano

  • 2016 The Linear Regression Of Weighted Segments
    by Mateescu, Dan

  • 2016 Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets
    by Chris Bardgett & Elise Gourier & Markus Leippold

  • 2016 Nonparametric Dynamic Conditional Beta
    by Maheu, John M & Shamsi, Azam

  • 2016 Ispitivanje kalendarskih sezonaliteta na hrvatskom tržištu kapitala
    by Tomić, Bojan

  • 2016 Risk adjustment of the credit-card augmented Divisia monetary aggregates
    by Barnett, William & Su, Liting

  • 2016 Nowcasting nominal gdp with the credit-card augmented Divisia monetary aggregates
    by Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting

  • 2016 The credit-card-services augmented Divisia monetary aggregates
    by Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting

  • 2016 Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility
    by Escribano, Alvaro & Sucarrat, Genaro

  • 2016 Evidence of cross-country portfolio diversification benefits: The case of Saudi Arabia
    by Ali, Hakim & Masih, Mansur

  • 2016 Do changes in shariah screening methodology make islamic indices substitutes or complements? an application of MGARCH-DCC and markov switching analysis
    by Mantai, Mohammed Mahmoud & Masih, Mansur

  • 2016 Fast profits in a fasting month? A markov regime switching approach in search of ramadan effect on stock markets
    by Hasbullah, Faruq & Masih, Mansur

  • 2016 Does microfinance affect economic growth? Evidence from Bangladesh based on ARDL approach
    by Sultan, Yousuf & Masih, Mansur

  • 2016 Is financial sector development an engine of economic growth? evidence from India
    by Ziaurrahman, Muhammad & Masih, Mansur

  • 2016 What drives banks’ willingness to lend to SMEs? An ARDL approach
    by Lokman, Azarahiah & Masih, Mansur

  • 2016 The impact of real estate, inequality and current account imbalances on excessive credit: A cross country analysis
    by Halim, Asyraf Abdul & Ariff, Muhammad & Masih, A. Mansur M.

  • 2016 Role of instability in affecting capital flight magnitude: An ARDL bounds testing approach
    by Hasnul, Al Gifari & Masih, Mansur

  • 2016 Socioeconomic Development and Its Effect on Performance of Islamic Banks: Dynamic Panel Approaches
    by Chowdhury, M. Ashraful Ferdous & Haque, M. Mahmudul & Alhabshi, Syed Othman & Masih, Abul Mansur M.

  • 2016 A New Factor to Explain Implied Volatility Smirk
    by fajardo, José

  • 2016 How is the European debt crisis affecting islamic equity? challenges in portfolio diversification within the eurozone: A markov switching and continuous wavelet transform analysis
    by Shakir, Zeeniya & Masih, Mansur

  • 2016 Shariah stocks as an inflation hedge in Malaysia
    by Haniff, Norazza Mohd & Masih, Mansur

  • 2016 Risk-sharing deposits in islamic banks: do interest rates have any influence on them?
    by Tariq, Anam & Masih, Mansur

  • 2016 War and peace: why is political stability pivotal for economic growth of OIC countries?
    by Uddin, Md Akther & Masih, Mansur

  • 2016 Bayesian Nonparametric Estimation of Ex-post Variance
    by Griffin, Jim & Liu, Jia & Maheu, John M

  • 2016 Does the Yuan’s Overseas Expansion Increase the Currency Exposure of Chinese Financial Firms?
    by Cuestas, Juan Carlos & Huang, Ying & Tang, Bo

  • 2016 On the reactions of sectoral equity returns to oil price in France: Implications for portfolio allocation
    by Bouoiyour, Jamal & Selmi, Refk & Miftah, Amal

  • 2016 The infernal couple China-Oil Price and the Responses of G7 Equities: A QQ Approach
    by Bouoiyour, Jamal & Selmi, Refk

  • 2016 Do spot and future palm oil prices influence the stock market prices of a major palm oil producer? the Malaysian experience
    by Mohammad Nor, Karina & Masih, Mansur

  • 2016 Impact of Oil Price and Its Volatility on CPI of Pakistan: Bivariate EGARCH Model
    by Naurin, Abida & Qayyum, Abdul

  • 2016 Home financing loans and their relationship to real estate bubble: An analysis of the U.S. mortgage market
    by Asadov, Alam & Masih, Mansur

  • 2016 Exploring the nexus between income inequality and financial indicators: endemic to the Indian economy?
    by Ahsan, Zainab Fida & Masih, Mansur

  • 2016 Does consumer sentiment predict consumer spending in Malaysia? an autoregressive distributed lag (ARDL) approach
    by Mohd Haniff, NorAzza & Masih, Mansur

  • 2016 An empirical investigation of causal linkages between domestic terrorism and macroeconomic variables: a case for Pakistan
    by Bukhari, Naseem & Masih, Mansur

  • 2016 Dutch disease or Nigerian disease: a prima facie? New evidence from ARDL bound test analysis
    by Mustapha, Ishaq Muhammad & Masih, Mansur

  • 2016 Is energy a stimulus for economic growth? A focused study on Malaysia using the auto regressive distributed lag technique
    by Abarahan, Amnisuhailah Binti & Masih, Mansur

  • 2016 Models of Financial Return With Time-Varying Zero Probability
    by Sucarrat, Genaro & Grønneberg, Steffen

  • 2016 Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan
    by Naqi Shah, Sadia & Qayyum, Abdul

  • 2016 Application of DCC-GARCH Model for Analysis of Interrelations Among Capital Markets of Poland, Czech Republic and Germany
    by Marek Zinecker & Adam P. Balcerzak & Marcin Faldzinski & Michal Bernad Pietrzak & Tomáš Meluzín

  • 2016 Interdependence among Capital Markets of Germany, Poland and Baltic States
    by Tomas Meluzin & Marek Zinecker & Michal Bernard Pietrzak & Marcin Faldzinski & Adam P. Balcerzak

  • 2016 Value-at-Risk with Application of DCC-GARCH Model
    by Tomas Meluzin & Marek Zinecker & Michal Bernard Pietrzak & Marcin Faldzinski & Adam P. Balcerzak

  • 2016 Cointegration of Interdependencies Among Capital Markets of Chosen Visegrad Countries and Germany
    by Marcin Faldzinski & Adam P. Balcerzak & Tomas Meluzin & Michal Bernard Pietrzak & Marek Zinecker

  • 2016 Do WTO Rulings Really Matter? Evidence from the Rare Earth Elements Market
    by Juliane Proelss & Denis Schweizer & Volker Seiler

  • 2016 Do WTO Rulings Really Matter? Evidence from the Rare Earth Elements Market
    by Juliane Proelss & Denis Schweizer & Volker Seiler

  • 2016 The multivariate nature of systemic risk: direct and common exposures
    by Paolo Giudici & Peter Sarlin & Alessandro Spelta

  • 2016 European lending channel: differences in transmission mechanisms due to the global financial crisis
    by Tomáš Heryán & Panayiotis G. Tzeremes & Roman Matousek

  • 2016 Term Structure of Uncertainty in the Macroeconomy
    by Jaroslav Borovička & Lars Peter Hansen

  • 2016 A critical appraisal of studies analyzing co-movement of international stock markets with a focus on East-Asian indices
    by Jan F. Kiviet & Zhenxi Chen

  • 2016 Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
    by Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin

  • 2016 Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models
    by Gael M. Martin & Brendan P.M. McCabe & David T. Frazier & Worapree Maneesoonthorn & Christian P. Robert

  • 2016 A note on normalization schemes:The case of generalized forecast error variance decompositions
    by Francesco Giuseppe Caloia & Andrea Cipollini & Silvia Muzzioli

  • 2016 The impact of credit supply shocks and a new FCI based on a FAVAR approach
    by Zsuzsanna Hosszú

  • 2016 Convergence rates of sums of α-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes
    by Shin Kanaya

  • 2016 Networks of volatility spillovers among stock markets
    by Eduard Baumohl & Evzen Kocenda & Stefan Lyocsa & Tomas Vyrost

  • 2016 Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates
    by William Barnett & Liting Su

  • 2016 Nowcasting Nominal GDP with the Credit-Card Augmented Divisia Monetary Aggregates
    by William Barnett & Marcelle Chauvet & Danilo Leiva-Leon & Liting Su

  • 2016 The Credit-Card-Services Augmented Divisia Monetary Aggregates
    by William Barnett & Marcelle Chauvet & Danilo Leiva-Leon & Liting Su

  • 2016 Risk and Return Spillovers among the G10 Currencies
    by Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Barry Rafferty

  • 2016 Leveraged ETF options implied volatility paradox: a statistical study
    by Wolfgang Karl Härdle & Sergey Nasekin & Zhiwu Hong &

  • 2016 Convergence rates of sums of α-mixing triangular arrays : with an application to non-parametric drift function estimation of continuous-time processes
    by Kanaya, Shin

  • 2016 Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations
    by Liu, Yuna

  • 2016 Stock exchange integration and price jump risks - The case of the OMX Nordic exchange mergers
    by Liu, Yuna

  • 2016 Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets
    by Green, Rikard & Larsson, Karl & Lunina, Veronika & Nilsson, Birger

  • 2016 A Dynamic Analysis of the Determinants of the Greek Credit Default Swaps
    by Maria do Rosario Correia & Christian Gokus & Andrew Hughes Hallett & Christian Richter

  • 2016 Copula--based Specification of vector MEMs
    by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo

  • 2016 Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears
    by Francesco Calvori & Matteo Dentella & Giampiero M. Gallo

  • 2016 Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM
    by Giampiero M. Gallo & Edoardo Otranto

  • 2016 Median Response to Shocks: A Model for VaR Spillovers in East Asia
    by Fabrizio Cipollini & Giampiero Gallo & Andrea Ugolini

  • 2016 Global variance term premia and intermediary risk appetite
    by Van Tassel, Peter & Vogt, Erik

  • 2016 Time-varying Volatility and the Power Law Distribution of Stock Returns
    by Missaka Warusawitharana

  • 2016 An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors
    by Chang, C-L. & McAleer, M.J. & Wang, C-H.

  • 2016 Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China
    by Chang, C-L. & McAleer, M.J. & Tian, J.

  • 2016 Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances
    by Chang, C-L. & McAleer, M.J. & Wang, Y.

  • 2016 Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture
    by Chang, C-L. & Liu, C-P. & McAleer, M.J.

  • 2016 Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
    by Peiris, S. & Asai, M. & McAleer, M.J.

  • 2016 Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models
    by Chen, J. & Kobayashi, M. & McAleer, M.J.

  • 2016 Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn
    by Chang, C-L. & McAleer, M.J. & Wang, Y-A.

  • 2016 How are VIX and Stock Index ETF Related?
    by Chang, C-L. & Hsieh, T-L. & McAleer, M.J.

  • 2016 Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?
    by Caporin, M. & Chang, C-L. & McAleer, M.J.

  • 2016 Causalidad en Segundos Momentos: Una aplicación a la volatilidad bursátil en México, Estados Unidos y Australia
    by Omar Alejandro González Rivas

  • 2016 Relaciones entre los mercados bursátiles de México y Estados Unidos: Evidencia de cointegración y Causalidad de Granger
    by Juan Carlos Bonifacio Ramírez

  • 2016 Analysing the Determinants of Credit Risk for General Insurance Firms in the UK
    by Guglielmo Maria Caporale & Mario Cerrato & Xuan Zhang

  • 2016 Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility
    by Sucarrat, Genaro & Escribano, Álvaro

  • 2016 Modelling the Impacts of a Cut to Company Tax in Australia
    by J.M. Dixon & J. Nassios

  • 2016 Pronóstico del volumen de negociación del mercado secundario de renta fija en Colombia: a través de la modelación no lineal star
    by Miller Ariza

  • 2016 Network externalities across financial institutions
    by Carlos Castro & Juan S. Ordoñez & Sergio Preciado

  • 2016 Analysing the Determinants of Credit Risk for General Insurance Firms in the UK
    by Guglielmo Maria Caporale & Mario Cerrato & Xuan Zhang

  • 2016 Stylized Facts and Simulating Long Range Financial Data
    by Laurie Davies & Walter Kraemer

  • 2016 A Semiparametric Intraday GARCH Model
    by Peter Malec

  • 2016 Asymptotic Theory for Beta-t-GARCH
    by Ryoko Ito

  • 2016 Spline-DCS for Forecasting Trade Volume in High-Frequency Finance
    by Ryoko Ito

  • 2016 The re-pricing of sovereign risks following the global financial crisis
    by Dimitris Malliaropulos & Petros M. Migiakis

  • 2016 Contagion, spillover and interdependence
    by Rigobon, Roberto

  • 2016 Exchange Rate Risk Premium: An Analysis of its Determinants for the Mexican Peso-USD
    by Benavides Guillermo

  • 2016 Measuring Systemic Risk Across Financial Market Infrastructures
    by Fuchun Li & Héctor Pérez Saiz

  • 2016 Credit Risk and Collateral Demand in a Retail Payment System
    by Héctor Pérez Saiz & Gabriel Xerri

  • 2016 Long and short-run components in explanatory variables and different panel-data estimates
    by Alfonso Ugarte

  • 2016 Convergence rates of sums of a-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes
    by Shin Kanaya

  • 2016 Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach
    by Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante

  • 2016 Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions
    by Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg

  • 2016 Dynamic Global Currency Hedging
    by Bent Jesper Christensen & Rasmus T. Varneskov

  • 2016 Application of DCC-GARCH model for analysis of Interrelations among Capital Markets of Poland, Czech Republic and Germany
    by Marek Zinecker & Adam P. Balcerzak & Marcin Faldzinski & Tomas Meluzin & Michal Bernard Pietrzak

  • 2016 Agrarrohstoffpreise und Lebensmittelpreise in armen Ländern
    by Holtemöller, Oliver

  • 2016 On the relationship between healthcare expenditure and longevity: evidence from the continuous wavelet analyses
    by Wen-Yi Chen & Miin-Jye Wen & Yu-Hui Lin & Yia-Wun Liang

  • 2016 Modeling Jumps and Volatility of the Indian Stock Market Using High-Frequency Data
    by Rituparna Sen & Pulkit Mehrotra

  • 2016 A learning-augmented approach to pricing risk in South Africa
    by Jacques Peeperkorn & Yudhvir Seetharam

  • 2016 Asymmetry with respect to the memory in stock market volatilities
    by Carl Lönnbark

  • 2016 The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets
    by Mehmet Fatih Öztek & Nadir Öcal

  • 2016 Ripple effect and contagious effect in the US regional housing markets
    by Ming-Chu Chiang & I-Chun Tsai

  • 2016 Impact Of The Global Financial Crises On The Major Asian Countries And Usa Stock Markets And Inter-Linkages Among Them
    by Cenk Gokce ADAS

  • 2016 Statistical Assessment of the Value Relevance of Financial Information Reported by Romanian Listed Companies
    by Elisabeta Jaba & Ioan-Bogdan Robu & Costel Istrate & Christiana Brigitte Balan & Mihai Roman

  • 2016 Long-Memory in Volatilities of CDS Spreads: Evidences from the Emerging Markets
    by Samet Günay & Yanlin Shi

  • 2016 Determining the Firm Specific Factors Affecting the Capital Increase
    by Tuna, İsmail & Karaca, Süleyman Serdar

  • 2016 Investigating a Fund Return Distribution when the Value of the Fund under Management is Irregularly Observed
    by KiHoon Jimmy Hong & Stephen Satchell

  • 2016 The UHF-GARCH-Type Model in the Analysis of Intraday Volatility and Price Durations – the Bayesian Approach
    by Roman Huptas

  • 2016 Shluková analýza skoků na kapitálových trzích
    by Jan Hanousek & Evžen Kočenda & Jan Novotný

  • 2016 Exchange Rate Volatility and Uncovered Interest Rate Parity in the European Emerging Economies
    by Dejan Živkov & Jovan Njegić & Mirela Momčilović & Ivan Milenković

  • 2016 Volatility Of Yields Of Government Bonds Among Giips Countries During The Sovereign Debt Crisis In The Euro Area
    by Tomas Heryan & Jan Ziegelbauer

  • 2016 A Dynamic Analysis of the Determinants of the Greek Credit Default Swaps
    by Maria do Rosario CORREIA & Christian GOKUS & Andrew Hughes HALLETT & Christian R. RICHTER

  • 2016 A befektetői túlreagálás empirikus vizsgálata a Budapesti Értéktőzsdén
    by Lakatos, Máté

  • 2016 A nonparametric approach to measuring the sensitivity of an asset’s return to the market
    by Thomas A. Severini

  • 2016 A Quantile Regression Approach to the Multiple Period Value at Risk Estimation
    by Chi Ming Wong & Lei Lam Olivia Ting

  • 2016 Dependence between stock market and foreign exchange market in South Asia: A Copula-Garch approach
    by Javed Bin Kamal & A.K. Enamul Haque

  • 2016 Predicted Possibility of Implementing Financial Potential at Agricultural Micro-Level
    by Nataliya Trusova

  • 2016 Volatilidad cambiaria estocástica: un enfoque Switching Garch para Bolivia
    by Benigno Caballero Claure & Rolando Caballero Martínez

  • 2016 Online Monitoring of Russia's Economic Outlook
    by Arseny Mamedov & Evgenia Fomina & Mikhail Khromov & Natalia Shagaida & Natalia Zubarevich & Pavel Pavlov & Vasily Uzun

  • 2016 Online Monitoring of Russia's Economic Outlook
    by Arseny Mamedov & Evgenia Fomina & Alexandra Bozhechkova & Sergey Tsukhlo & Pavel Trunin & Victor Lyashok

  • 2016 Online Monitoring of Russia's Economic Outlook
    by Arseny Mamedov & Evgenia Fomina & Mikhail Khromov & Andrei Kaukin & Natalia Shagaida & Natalia Zubarevich & Pavel Pavlov & Vasily Uzun

  • 2016 Online Monitoring of Russia's Economic Outlook
    by Arseny Mamedov & Evgenia Fomina & Alexandra Bozhechkova & Sergey Tsukhlo & Pavel Trunin & Victor Lyashok

  • 2016 Dinámicas del tipo de cambio nominal y del IPC, 1991-2014: una especificación que combina los modelos ARFIMA y GARCH
    by Héctor F. Salazar-Núñez. & Francisco Venegas Martínez.

  • 2016 Isletmelerin Finansal Basarili ve Basarisiz Olma Durumlarinin Veri Madenciligi ve Lojistik Regresyon Analizi Ile Tahmin Edilebilirligi
    by Ceyda YERDELEN KAYGIN & Alper TAZEGUL & Hakan YAZARKAN

  • 2016 Are there profit (returns) in Shariah-compliant exchange traded funds? The multiscale propensity
    by Farouk, Faizal & Masih, Mansur

  • 2016 An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries
    by Yavas, Burhan F. & Dedi, Lidija

  • 2016 Time-varying co-movements and volatility spillovers among financial sector CDS indexes in the UK
    by Tamakoshi, Go & Hamori, Shigeyuki

  • 2016 Option-implied probability distributions: How reliable? How jagged?
    by Taboga, Marco

  • 2016 Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach
    by Reboredo, Juan C. & Uddin, Gazi Salah

  • 2016 Facts or fates of investors' losses during crises? Evidence from REIT-stock volatility and tail dependence structures
    by Huang, MeiChi & Wu, Chih-Chiang & Liu, Shih-Min & Wu, Chang-Che

  • 2016 Analyzing an elder’s desire for a reverse mortgage using an economic model that considers house bequest motivation, random death time and stochastic house price
    by Chiang, Shu Ling & Tsai, Ming Shann

  • 2016 Gold, oil, and stocks: Dynamic correlations
    by Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš

  • 2016 Realized correlation analysis of contagion
    by Vortelinos, Dimitrios I.

  • 2016 Do global financial distress and uncertainties impact GCC and global sukuk return dynamics?
    by Naifar, Nader & Hammoudeh, Shawkat

  • 2016 The informative role of trading volume in an expanding spot and futures market
    by Bhaumik, S. & Karanasos, M. & Kartsaklas, A.

  • 2016 Exact and asymptotic tests on a factor model in low and large dimensions with applications
    by Bodnar, Taras & Reiß, Markus

  • 2016 Does variance risk have two prices? Evidence from the equity and option markets
    by Barras, Laurent & Malkhozov, Aytek

  • 2016 Short interest and aggregate stock returns
    by Rapach, David E. & Ringgenberg, Matthew C. & Zhou, Guofu

  • 2016 Systemic risk and the macroeconomy: An empirical evaluation
    by Giglio, Stefano & Kelly, Bryan & Pruitt, Seth

  • 2016 Price and volatility co-jumps
    by Bandi, F.M. & Renò, R.

  • 2016 When does the stock market listen to economic news? New evidence from copulas and news wires
    by Medovikov, Ivan

  • 2016 Forecasting realized volatility in a changing world: A dynamic model averaging approach
    by Wang, Yudong & Ma, Feng & Wei, Yu & Wu, Chongfeng

  • 2016 Downside and upside risk spillovers between exchange rates and stock prices
    by Reboredo, Juan C. & Rivera-Castro, Miguel A. & Ugolini, Andrea

  • 2016 Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds
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  • 2016 Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers
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  • 2016 Risk-adjusting the returns of private equity using the CAPM and multi-factor extensions
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  • 2016 Are Japanese margin buyers informed?
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  • 2016 A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility
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  • 2016 Quantile dependence of oil price movements and stock returns
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  • 2016 Evolution of the world crude oil market integration: A graph theory analysis
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  • 2016 Duality in mean-variance frontiers with conditioning information
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  • 2016 Strict stationarity, persistence and volatility forecasting in ARCH(∞) processes
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  • 2016 Stochastic correlation and risk premia in term structure models
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  • 2016 Dynamic conditional correlation multiplicative error processes
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  • 2016 The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility
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  • 2016 Linkages in the term structure of interest rates across sovereign bond markets
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  • 2016 Robust inference of risks of large portfolios
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  • 2016 Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
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  • 2016 The large-sample distribution of the maximum Sharpe ratio with and without short sales
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  • 2016 Modeling covariance breakdowns in multivariate GARCH
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  • 2016 High-dimensional copula-based distributions with mixed frequency data
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  • 2016 Exploiting the errors: A simple approach for improved volatility forecasting
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  • 2016 Long memory affine term structure models
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  • 2016 Tail relation between return and volume in the US stock market: An analysis based on extreme value theory
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  • 2016 Fractional integration in daily stock market indices at Jordan's Amman stock exchange
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  • 2016 Solvency capital requirement for a temporal dependent losses in insurance
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  • 2016 How is China's coke price related with the world oil price? The role of extreme movements
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  • 2016 Evidence of cross-asset contagion in U.S. markets
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  • 2016 Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach
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  • 2016 A new approach to risk-return trade-off dynamics via decomposition
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  • 2016 Tax reforms and stock return volatility: The case of Japan
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  • 2016 Oil Price and Exchange Rates: A Wavelet Analysis for Organisation of Oil Exporting Countries Members
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  • 2016 The Effect of Crude Oil Price Moments on Socially Responsible Firms in Eurozone
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  • 2016 Indexing Oil from a Financial Point of View: A Comparison between Brent and West Texas Intermediate
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  • 2016 Market Interactions in Gold and Stock Markets: Evidences from Saudi Arabia
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  • 2016 Exploration of the Foreign Exchange Forward Premiums and the Spot Exchange Return: A Multivariate Approach
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  • 2016 Investigation of Turkey Credit Default Swaps with Entropy Concept
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  • 2016 The Informational Content of Trades on Foreign Exchange Futures: an Application to the Brazilian Market
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  • 2016 Unit root modeling for trending stock market series
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  • 2016 Finance-growth nexus: Insights from an application of threshold regression model to Malaysia's dual financial system
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  • 2016 A Potential Contradiction Between Economic Theory and Applied Finance
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  • 2016 The Effect of the Auditors’ Rotation on the Accounting Quality in the Case of Romanian Listed Companies under the Transition to IFRS
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  • 2015 The Impact of Economic Policy Uncertainty on US Real Housing Returns and their Volatility: A Nonparametric Approach
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  • 2015 On Economic Uncertainty, Stock Market Predictability and Nonlinear Spillover Effects
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  • 2015 Predicting Stock Returns and Volatility Using Consumption-Aggregate Wealth Ratios: A Nonlinear Approach
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  • 2015 Time-varying conditional Johnson Su density in Value-at-Risk methodology
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  • 2015 Misspecification Testing in GARCH-MIDAS Models
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  • 2015 Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets
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  • 2015 Time-scale analysis of sovereign bonds market co-movement in the EU
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  • 2015 Modeling and forecasting persistent financial durations
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  • 2015 Systemic risk of UCITS investment funds and financial market stability tested using MRS model
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  • 2015 Volatility spillovers across petroleum markets
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  • 2015 Bivariate GARCH models for single asset returns
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  • 2015 Something in the Air: Information Density, News Surprises, and Price Jumps
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  • 2015 Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models
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  • 2015 Testing the lag structure of assets’ realized volatility dynamics
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  • 2015 Identification of Mixed Causal-Noncausal Models : How Fat Should We Go?
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  • 2015 Long memory through marginalization of large systems and hidden cross-section dependence
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  • 2015 Multivariate Volatility Impulse Response Analysis of GFC News Events
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  • 2015 Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice
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  • 2015 Frontiers in Time Series and Financial Econometrics: An Overview
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  • 2015 On the Invertibility of EGARCH(p,q)
    by Guillaume Gaetan Martinet & Michael McAleer

  • 2015 The Impact of Jumps and Leverage in Forecasting Co-Volatility
    by Manabu Asai & Michael McAleer

  • 2015 The Fundamental Equation in Tourism Finance
    by Michael McAleer

  • 2015 Multivariate Volatility Impulse Response Analysis of GFC News Events
    by David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh

  • 2015 Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice
    by Chia-Lin Chang & Yiying Li & Michael McAleer

  • 2015 Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model
    by Siem Jan Koopman & Rutger Lit & Andre Lucas

  • 2015 Cyclicality in Losses on Bank Loans
    by Bart Keijsers & Bart Diris & Erik Kole

  • 2015 Testing for Stock Market Contagion: A Quantile Regression Approach
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  • 2015 In-Sample Bounds for Time-Varying Parameters of Observation Driven Models
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  • 2015 Frontiers in Time Series and Financial Econometrics: An Overview
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  • 2015 On the Invertibility of EGARCH(p,q)
    by Guillaume Gaetan Martinet & Michael McAleer

  • 2015 The Impact of Jumps and Leverage in Forecasting Co-Volatility
    by Manabu Asai & Michael McAleer

  • 2015 Importance of Foreign Ownership and Staggered Adjustment of Capital Outflows
    by Ozgur Ozel & Mustafa Utku Ozmen & Erdal Yilmaz

  • 2015 The Dynamic Relationship Between Stock, Bond and Foreign Exchange Markets
    by Suleyman Hilmi Kal & Ferhat Arslaner & Nuran Arslaner

  • 2015 The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements
    by Yao, Wenying & Tian, Jing

  • 2015 High frequency characterization of Indian banking stocks
    by Sayaeed, Mohammad Abu & Dungey, Mardi & Yao, Wenying

  • 2015 Limit Theory for Continuous Time Systems with Mildly Explosive Regressors
    by Peter C. B. Phillips & Ye Chen & Jun Yu

  • 2015 Macro-Micro Models
    by John Cockburn & Luc Savard & Luca Tiberti

  • 2015 Inflation targeting or Exchange Rate Targeting: Which Framework Supports The Goal of Price Stability in Emerging Market Economics?
    by Nora Abu Asab & Juan Carlos Cuestas & Alberto Montagnoli

  • 2015 Exchange Rate Changes and Stock Returns in China: A Markov Switching SVAR Approach
    by Juan Carlos Cuestas & Bo Tang

  • 2015 Asymmetric Exchange Rate Exposure of Stock Returns: Empirical Evidence from Chinese Industries
    by Juan Carlos Cuestas & Bo Tang

  • 2015 Effect of Housing on Net Error Omissions: An Application to Turkey Case
    by Dilek ALTAS & Gulen Arikan

  • 2015 Time-varying Multivariate Extension of the Linear Market Model for Developed and Emerging Markets
    by SERDAR NESLÄ°HANOÄžLU

  • 2015 Linear and Non-linear Market Model Specifications for Developed and Emerging Markets
    by SERDAR NESLÄ°HANOÄžLU

  • 2015 Portfolio Optimization of Global REITs Returns: High-Dimensional Copula-Based Approach
    by ROENGCHAI TANSUCHAT

  • 2015 Modeling Dependency and Conditional Volatility between Asian Economic Community (AEC) Country Exchange Rate and Inflation Using the Copula-GARCH Model
    by KANTA TANNIYOM & Paponpat Taveeapiradeecharoen & Prapatchon Jariyapan

  • 2015 The Performance of Conditional CAPMs based on Evidence from the European Union’s (EU) Financial Stock Markets before and after the Eurozone Financial Crisis
    by Serdar Neslihanoglu

  • 2015 Financial Stock Market Co-movement and Correlation: Evidence in the European Union (EU) Area Before and After the October 2008 Financial Crisis
    by Serdar Neslihanoglu

  • 2015 The Relationship Between Credit Default Swap Spreads, Equity Indices and Sector Equity Indices: An Empirical Study on Istanbul Stock Exchange
    by AYBEN KOY

  • 2015 Capital Structure Dynamics and Sensitivity Analysis: A Case of Developing Countryâ€
    by Muhammad Naveed

  • 2015 Large Scale Covariance Estimates for Portfolio Selection
    by Francesco Lautizi

  • 2015 On the Selection of Common Factors for Macroeconomic Forecasting
    by Alessandro Giovannelli & Tommaso Proietti

  • 2015 A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices
    by Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith

  • 2015 A New Regression-Based Tail Index Estimator: An Application to Exchange Rates
    by João Nicolau & Paulo M.M. Rodrigues

  • 2015 Causal Effects of the United States and Japan on Pacific-Rim Stock Markets: Nonparametric Quantile Causality Approach
    by Mehmet Balcilar & Rangan Gupta & Duc K. Nguyen & Mark E. Wohar

  • 2015 The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk
    by Giovanni Bonaccolto & Massimiliano Caporin & Rangan Gupta

  • 2015 Analysing correlation between the MSE index and global stock markets
    by Ellul, Reuben

  • 2015 Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models
    by Fengler, Matthias R. & Herwartz, Helmut

  • 2015 Improving Markov switching models using realized variance
    by Liu, Jia & Maheu, John M

  • 2015 Gold-oil prices co-movements and portfolio diversification implications
    by Chkili, Walid

  • 2015 Joint inference on market and estimation risks in dynamic portfolios
    by Francq, Christian & Zakoian, Jean-Michel

  • 2015 On The Term Structure of South African Interest Rates: Cointegration and Threshold Adjustment
    by Njindan Iyke, Bernard

  • 2015 Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets
    by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

  • 2015 Tests for sphericity in multivariate garch models
    by Francq, Christian & Jiménez Gamero, Maria Dolores & Meintanis, Simos

  • 2015 On Capturing the Spreading Dynamics over Trading Prices in the Market
    by Situngkir, Hokky

  • 2015 Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels
    by Francq, Christian & Zakoian, Jean-Michel

  • 2015 Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns
    by Francq, Christian & Sucarrat, Genaro

  • 2015 Macroeconomic risk and firms financing decision: An empirical panel data investigation using system GMM
    by Sinha, Pankaj & Agnihotri, Shalini

  • 2015 Quantum microeconomics theory
    by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

  • 2015 Sukuk pricing dynamics - factors influencing yield curve of the Malaysian Sukuk
    by Awaludin, Fadhlee & Masih, Mansur

  • 2015 Uncovering equity market contagion among BRICS countries: an application of the multivariate GARCH model
    by Bonga-Bonga, Lumengo

  • 2015 Determining the relationship between financial development and economic growth: An application of ARDL technique to Singapore
    by Jailani, Mohamad Zaky & Masih, Mansur

  • 2015 Does the conventional benchmark prop up non-performing loans in Islamic banks? A case study of Malaysia with ARDL Approach
    by Shamsudheen, Shinaj Valangattil & Masih, Mansur

  • 2015 Islamic banking: 40 years later, still interest-based? Evidence from Malaysia
    by Gulzar, Rosana & Masih, Mansur

  • 2015 Remittances and economic growth nexus: Do financial development and investment act as transmission channels? An ARDL bounds approach
    by Najibullah, Syed & Masih, Mansur

  • 2015 Do US policy uncertainty, leveraging costs and global risk aversion impact emerging market equities? An application of bounds testing approach to the BRICS
    by Momin, Ebaad & Masih, Mansur

  • 2015 Causality between financial development and economic growth, and the Islamic finance imperative: A case study of Indonesia
    by Ismail, Mohamed Ayaz Mohamed & Masih, Mansur

  • 2015 Socially responsible investment and Shariah-compliant investment compared: Can investors benefit from diversification? An ARDL approach
    by Chowdhury, Mohammad Ashraful Ferdous & Masih, Mansur

  • 2015 Analyzing the impact of financial sector growth on female empowerment: A focus on the United States of America
    by Tariq, Anam & Masih, Mansur

  • 2015 Finance, growth and human development: An Islamic economic development perspective
    by Uddin, Md Akther & Masih, Mansur

  • 2015 New Fractional Dickey and Fuller Test
    by Bensalma, Ahmed

  • 2015 Should investors diversify their portfolios with stocks from major trading countries? A comparative multivariate GARCH-DCC and wavelet correlation analysis
    by Dwihasri, Dhaifina & Masih, Mansur

  • 2015 Islamic versus conventional stock market and its co-movement with crude oil: a wavelet analysis
    by Kamarudin, Eka Azrin & Masih, Mansur

  • 2015 Is Islamic stock index secured against interest rate risk? Evidence from Wavelet analysis
    by Rahim, Yasmin Abd & Masih, Mansur

  • 2015 Religiosity and threshold effect in social and financial performance of microfinance institutions: System GMM and non-linear threshold approaches
    by Mobin, Mohammad Ashraful & Alhabshi, Syed Othman & Masih, Mansur

  • 2015 Islamic REIT response to macroeconomic factors: a markov regime switching auto regressive approach
    by Morad, Shahidah Nailul & Masih, Mansur

  • 2015 Stock market volatility and exchange rates: MGARCH-DCC and wavelet approaches
    by Hashim, Khairul Khairiah & Masih, Mansur

  • 2015 Impact of Arab uprising on Portfolio diversification benefits at different investment horizons for the Turkish investors in relation to the regional stock markets: Multivariate GARCH-DCC and Wavelet coherence approaches
    by Buriev, Abdul Aziz & Masih, Mansur

  • 2015 Risk sharing financing of Islamic banks: interest free or interest based?
    by Seho, Mirzet & Masih, Mansur

  • 2015 Do profit and loss sharing (PLS) deposits also affect PLS financing? Evidence from Malaysia based on DOLS, FMOLS and system GMM techniques
    by Othman, Arshad Nuval & Masih, Mansur

  • 2015 Testing for the Presence of Asymmetric Information in the Oil Market: A VAR Approach
    by Troug, Haytem Ahmed & Sbia, Rashid

  • 2015 The Relationship between Banking Competition and Stability in Developing Countries: The Case of Libya
    by Troug, Haytem Ahmed & Sbia, Rashid

  • 2015 Autocorrelation in an unobservable global trend: Does it help to forecast market returns?
    by Peresetsky, Anatoly & Yakubov, Ruslan

  • 2015 Influence of Macroeconomic Variable on Indian Stock Movement: Cointegration Approach
    by Vardhan, Harsh & Sinha, Pankaj

  • 2015 Is gold good for hedging? lessons from the Malaysian sectoral stock indices
    by Rahim, Yasmin & Masih, Mansur

  • 2015 Does the shariah index move together with the conventional equity indexes?
    by Park, Kwang Suk & Masih, Mansur

  • 2015 A Nonparametric Option Pricing Model Using Higher Moments
    by Cayton, Peter Julian

  • 2015 Forecasting Coherent Volatility Breakouts
    by Didenko, Alexander & Dubovikov, Michael & Poutko, Boris

  • 2015 The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa
    by Bonga-Bonga, Lumengo & Umoetok, Ekerete

  • 2015 Beyond location and dispersion models: The Generalized Structural Time Series Model with Applications
    by Djennad, Abdelmajid & Rigby, Robert & Stasinopoulos, Dimitrios & Voudouris, Vlasios & Eilers, Paul

  • 2015 Predictability of the daily high and low of the S&P 500 index
    by Jones, Clive

  • 2015 Product market performance and capital structure: A Hierarchical Bayesian semi-parametric panel regression model
    by Mukhoti, Sujay & Guhathakurta, Kousik

  • 2015 An Infinite Hidden Markov Model for Short-term Interest Rates
    by Maheu, John M & Yang, Qiao

  • 2015 Investor Sentiment and Irrational Speculative Bubble Model
    by Hu, Zongyi & Li, Chao

  • 2015 A multivariate model for the prediction of stock returns in an emerging market: A comparison of parametric and non-parametric models
    by Bonga-Bonga, Lumengo & Mwamba, Muteba

  • 2015 Exchange Rate Determination and Out of Sample Forecasting: Cointegration Analysis
    by Hina, Hafsa & Qayyum, Abdul

  • 2015 Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues
    by Langedijk, Sven & Monokroussos, George & Papanagiotou, Evangelia

  • 2015 An iterative plug-in algorithm for realized kernels
    by Yuanhua Feng & Chen Zhou

  • 2015 A generic approach to investment modelling in recursive dynamic CGE models
    by Hom M Pant

  • 2015 Asset Allocation Strategies Based On Penalized Quantile Regression
    by Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini

  • 2015 Dynamic Principal Components: a New Class of Multivariate GARCH Models
    by Gian Piero Aielli & Massimiliano Caporin

  • 2015 Los impactos económicos de las restricciones al transporte de gas natural en el Perú: Un análisis de equilibrio general computable
    by Omar O. Chisari & Leonardo J. Mastronardi & Arturo Leonardo Vásquez Cordano & Carlos A. Romero

  • 2015 Principal Component Analysis of High Frequency Data
    by Yacine Aït-Sahalia & Dacheng Xiu

  • 2015 The Pricing of Short-Term market Risk: Evidence from Weekly Options
    by Torben G. Andersen & Nicola Fusari & Viktor Todorov

  • 2015 Backtesting Strategies Based on Multiple Signals
    by Robert Novy-Marx

  • 2015 Systemic Risk and the Macroeconomy: An Empirical Evaluation
    by Stefano Giglio & Bryan T. Kelly & Seth Pruitt

  • 2015 Financialisation of the commodity markets. Conclusions from the VARX DCC GARCH
    by Karol Szafranek

  • 2015 FloGARCH : Realizing long memory and asymmetries in returns volatility
    by Harry Vander Elst

  • 2015 A New Class of Bivariate Threshold Cointegration Models
    by Biqing Cai & Jiti Gao & Dag Tjostheim

  • 2015 A fully non-parametric heteroskedastic model
    by Matthieu Garcin & Clément Goulet

  • 2015 A Practical Approach to Financial Crisis Indicators Based on Random Matrices
    by Antoine Kornprobst & Raphael Douady

  • 2015 The Financial Econometrics of Price Discovery and Predictability
    by Seema Narayan & Russell Smyth

  • 2015 Financial connectedness among European volatility risk premia
    by Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli

  • 2015 The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries
    by Andrea BASTIANIN & Francesca CONTI & Matteo MANERA

  • 2015 How Does Stock Market Volatility React to Oil Shocks?
    by Andrea BASTIANIN & Matteo MANERA

  • 2015 Complexity and Model Comparison in Agent Based Modeling of Financial Markets
    by Alexandru Mandes & Peter Winker

  • 2015 Evolutionary Sequential Monte Carlo Samplers for Change-point Models
    by Arnaud Dufays

  • 2015 Inference and testing on the boundary in extended constant conditional correlation GARCH models
    by Rasmus Søndergaard Pedersen

  • 2015 Equity Prices and Fundamentals: a DDM-APT Mixed Approach
    by & Fredj Jawadi & Georges Prat

  • 2015 Nonparametric stochastic discount factor decomposition
    by Timothy M. Christensen

  • 2015 Estimation of stochastic volatility models by nonparametric filtering
    by Shin Kanaya & Dennis Kristensen

  • 2015 Factor structural time series models for official statistics with an application to hours worked in Germany
    by Weigand, Roland & Wanger, Susanne & Zapf, Ines

  • 2015 Measuring Connectedness of Euro Area Sovereign Risk
    by Rebekka Gätjen & Melanie Schienle & &

  • 2015 Mozambican Monetary Policy and the Yield Curve of Treasury Bills - An Empirical Study
    by Machava, Agostinho & Brännäs, Kurt

  • 2015 Time Series Modelling of Daily Metical/Rand Exchange Rate Returns, 1996-2014
    by Brännäs, Kurt & Machava, Agostinho

  • 2015 Legal Risk Premia During the Euro-Crisis: The Role of Credit and Redenomination Risk
    by Nordvig, Jens

  • 2015 How Low Can House Prices Go? Estimating a Conservative Lower Bound
    by Alexander N. Bogin & Stephen D. Bruestle & William M. Doerner

  • 2015 Portfolio Management With Higher Moments: The Cardinality Impact
    by Rui Pedro Brito & Hélder Sebastião & Pedro Godinho

  • 2015 Efficient Skewness/Semivariance Portfolios
    by Rui Pedro Brito & Hélder Sebastião & Pedro Godinho

  • 2015 Size Distribution of Portuguese Firms between 2006 and 2012
    by Mário Augusto & Rui Pascoal & Ana Margarida Monteiro

  • 2015 Truncated Realized Covariance when prices have infinite variation jumps
    by Cecilia Mancini

  • 2015 The equity risk premium: a review of models
    by Duarte, Fernando M. & Rosa, Carlo

  • 2015 High-Dimensional Copula-Based Distributions with Mixed Frequency Data
    by Oh, Dong Hwan & Patton, Andrew J.

  • 2015 Bayesian Estimation of Time-Changed Default Intensity Models
    by Gordy, Michael B. & Szerszen, Pawel J.

  • 2015 The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries
    by Andrea Bastianin & Francesca Conti & Matteo Manera

  • 2015 Flexibility in the Market for International Carbon Credits and Price. Dynamics Difference with European Allowances
    by Claire Gavard & Djamel Kirat

  • 2015 How Does Stock Market Volatility React to Oil Shocks?
    by Andrea Bastianin & Matteo Manera

  • 2015 GARCH Models, Tail Indexes and Error Distributions: An Empirical Investigation
    by Roman Horváth & Boril Sopov

  • 2015 The Fundamental Equation in Tourism Finance
    by McAleer, M.J.

  • 2015 Multivariate Volatility Impulse Response Analysis of GFC News Events
    by Allen, D.E. & McAleer, M.J. & Powell, R.J. & Singh, A.K.

  • 2015 Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice
    by Chang, C-L. & Li, Y. & McAleer, M.J.

  • 2015 On the Invertibility of EGARCH(p,q)
    by Martinet, G.G. & McAleer, M.J.

  • 2015 Frontiers in Time Series and Financial Econometrics
    by Ling, S. & McAleer, M.J. & Tong, H.

  • 2015 The Impact of Jumps and Leverage in Forecasting Co-Volatility
    by Asai, M. & McAleer, M.J.

  • 2015 The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling
    by Joshua C.C. Chan

  • 2015 Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence
    by Chevillon, Guillaume & Hecq , Alain & Laurent, Sébastien

  • 2015 Relation entre le prix du pétrole et les cours boursiers des grandes compagnies pétrolières mondiales
    by Declerck , Francis & Indjehagopian , Jean-Pierre & Bellocq , Flavien

  • 2015 Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices
    by Adam Goliński & João Madeira & Dooruj Rambaccussing

  • 2015 Equity Prices and Fundamentals: a DDM-APT Mixed Approach
    by Fredj Jawadi & Georges Prat

  • 2015 MGARCH models: tradeoff between feasibility and flexibility
    by Ruiz, Esther & Hotta, Luiz & Almeida, Daniel De

  • 2015 Estimating rational stock-market bubbles with sequential Monte Carlo methods
    by Benedikt Rotermann & Bernd Wilfling

  • 2015 Regression Based Estimation of Dynamic Asset Pricing Models
    by Adrian, Tobias & Crump, Richard K. & Moench, Emanuel

  • 2015 A Simple Model for Now-Casting Volatility Series
    by BREITUNG, Jörg & HAFNER, Christian M.

  • 2015 Alternative Formulation of the Leverage Effect in a Stochastic Volatility Model with Asymmetric Heavy-Tailed Errors
    by Deschamps, P.

  • 2015 Autoregressive moving average infinite hidden markov-switching models
    by Bauwens, Luc & Carpantier, Jean-François & Dufays, Arnaud

  • 2015 The Europe 2020 Strategy and Skill Mismatch
    by G.A. Meagher & R.A. Wilson & Hector Pollitt

  • 2015 An Approach About Monetary Policy Risk Balance In Colombia: A Multivariate Analysis Based On Time Series
    by Fernando Uscátegui & Mike Woodcock & Carlos Méndez

  • 2015 Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo
    by Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno

  • 2015 Gold, Oil, and Stocks: Dynamic Correlations
    by Jozef Baruník & Evžen Kocenda & Lukáš Vácha

  • 2015 Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover
    by Jozef Baruník & Evžen Kocenda & Lukáš Vácha

  • 2015 Extreme Downside Risk and Market Turbulence
    by Richard Harris & Linh Nguyen & Evarist Stoja

  • 2015 Do sovereign rating announcements have an impact on regional stock market co-movements? The case of Central and Eastern Europe
    by Ahmet Sensoy & Veysel Eraslan & Mutahhar Erturk

  • 2015 Systemic Risk in Conventional vs Islamic Equity Markets
    by Ahmet Sensoy

  • 2015 European Economic and Monetary Union Sovereign Debt Markets
    by Ahmet Sensoy & Ahmed Rostom & Erk Hacihasanoglu

  • 2015 Not all emerging markets are the same: A classification approach with correlation based networks
    by Ahmet Sensoy & Kevser Ozturk & Erk Hacihasanoglu & Benjamin M. Tabak

  • 2015 Dynamic convergence of commodity futures: Not all types of commodities are alike
    by Ahmet Sensoy & Erk Hacihasanoglu & Duc Khuong Nguyen

  • 2015 Volatility contagion: new evidence from market pricing of volatility risk
    by Raczko, Marek

  • 2015 Extreme downside risk and financial crises
    by Harris, Richard D. F. & Nguyen, Linh H & Stoja, Evarist

  • 2015 Filtered historical simulation Value-at-Risk models and their competitors
    by Gurrola-Perez, Pedro & Murphy, David

  • 2015 Tail comovement in option-implied inflation expectations as an indicator of anchoring
    by Sara Cecchetti & Filippo Natoli & Laura Sigalotti

  • 2015 Modelo de supervivencia empresarial a partir del índice Z de Altman
    by Luis Varona Castillo

  • 2015 Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix)
    by Anne Péguin-Feissolle & Bilel Sanhaji

  • 2015 Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach
    by Shin Kanaya

  • 2015 Parametric Portfolio Policies with Common Volatility Dynamics
    by Yunus Emre Ergemen & Abderrahim Taamouti

  • 2015 Nonlinear dynamic interrelationships between real activity and stock returns
    by Markku Lanne & Henri Nyberg

  • 2015 Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination
    by Bent Jesper Christensen & Rasmus T. Varneskov

  • 2015 Validity of Edgeworth expansions for realized volatility estimators
    by Ulrich Hounyo & Bezirgen Veliyev

  • 2015 A Martingale Decomposition of Discrete Markov Chains
    by Peter Reinhard Hansen

  • 2015 Counting Processes for Retail Default Modeling
    by Nicholas M. Kiefer & C. Erik Larson

  • 2015 Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets
    by Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou

  • 2015 Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting
    by Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg

  • 2015 Dynamic Factor Models for the Volatility Surface
    by Michel van der Wel & Sait R. Ozturk & Dick van Dijk

  • 2015 Unbalanced Regressions and the Predictive Equation
    by Daniela Osterrieder & Daniel Ventosa-Santaulària & J. Eduardo Vera-Valdés

  • 2015 Analyse et mesure du risque systémique
    by Héam, Jean-Cyprien

  • 2015 Do The News Affect The Eur/All Exchange Rate Volatility?
    by Gentjan ÇERA & Eda Dokle & Edmond Çera

  • 2015 Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility
    by Andrew J. Patton & Kevin Sheppard

  • 2015 Escenarios Monte Carlo para estrategias con expectativas de baja volatilidad cambiante mediante opciones europeas de compra y venta / Monte Carlo scenarios for strategies with expectations of changing low volatility using European call and put options
    by Olivares Aguayo, Héctor Alonso & Ortiz-Ramírez, Ambrosio & Bucio Pacheco, Christian

  • 2015 Generating Covariances in multifactor CIR model
    by Wojciech Szatzschneider

  • 2015 Empirical Analysis of Herd Behavior in Borsa Istanbul
    by Hilal Hümeyra Özsu

  • 2015 Selected Techniques Of Detecting Structural Breaks In Financial Volatility
    by Bartosz Stawiarski

  • 2015 SMEs’ insolvency analysis in Romania in the year 2010. A microeconomic logistic approach
    by Marusa Beca & Irina Maria Dragan

  • 2015 Impact Of Structural Shifts on Variance Persistence in Asymmetric Garch Models: Evidence From Emerging Asian and European Markets
    by Altaf Muhammad & Zhang Shuguang

  • 2015 Nonlinear A Djustment To The Long-Run Equilibrium Between The Reit And The Stock Markets In Japan And Singapore
    by Tsang-Yao CHANG & Hao FANG & Yen-Hsien LEE

  • 2015 European Stock Markets Correlations In A Markov Switching Framework
    by Iulia LUPU

  • 2015 The Impact of Trade Announcements on Financial Markets. An Event Study Analysis
    by Adrian Cantemir CALIN

  • 2015 International Interactions between Index Futures Markets: Testing Meteor Shower and Heat Wave Hypotheses on Turkey and US Markets
    by Gök, İbrahim Yaşar & Kalaycı, Şeref

  • 2015 Analysis of Forecasting Performance of Investors in Turkey Within Framework of the Random Walk Model (Türkiye’de Yatırımcıların Öngörü Performanslarının Rassal Yürüyüş Modeli Çerçevesinde Analizi)
    by Tanrıöver, Banu & Çöllü, Duygu Arslantürk

  • 2015 Extraction of market expectations from risk-neutral density
    by Josip Arneric & Zdravka Aljinovic & Tea Poklepovic

  • 2015 Modeling FDI Flows from the USA to Canada:Two Main International Financial Variables Affect the Long-Run Economic Growth
    by Ghada Gomaa A. Mohamed & Morrison Handley-Schachler

  • 2015 Financial Regulations and Procyclicality
    by Stéphane Auray & Christian Gouriéroux

  • 2015 Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes
    by Maciej Kostrzewski

  • 2015 Využití modelu BGM při řízení úrokového rizika v českém prostředí v období po finanční krizi
    by Dana Cíchová Králová

  • 2015 The Capital Structure Management in Companies of Selected Business Branches of Building in Conditions of the Czech Republic
    by Růčková Petra & Heryán Tomáš

  • 2015 Portfolio Selection with Uncertainty Measures Consistent with Additive Shifts
    by Rosella Giacometti & Sergio Ortobelli & Tomáš Tichý

  • 2015 Metal Returns, Stock Returns and Stock Market Volatility
    by Mauricio Zeballos & Carlos del Carpio

  • 2015 Analysis of Correlation between Gross Domestic Product and Value Added Tax in the European Union Countries
    by Cioca Ionela Cornelia

  • 2015 Ligações e transmissão de volatilidade intradiária entre mercados bolsistas europeus no âmbito da crise financeira global [Connections and transmission of intraday volatility among European stock markets within the global financial crisis]
    by Vítor Manuel de Sousa Gabriel & José Ramos Pires Manso

  • 2015 Log-volatility enhanced GARCH models for single asset returns
    by Tomasz Skoczylas

  • 2015 El mercado de los fondos de pensión en Méxi-co: Del reparto a la capitalización/Pension Funds Market in Mexico: From Pay-As-You-Go to a Fully Funded Plan
    by MARTÍNEZ-PREECE, MARISSA R. & VENEGAS-MARTÍNEZ, FRANCISCO

  • 2015 High-Mixed-Frequency Dynamic Latent Factor Forecasting Models for GDP in the Philippines/Modelos de factores dinámicos latentes con datos mixtos de alta frecuencia aplicados a la predicción del PIB en Filipinas
    by MARIANO, ROBERTO S. & OZMUCUR, SULEYMAN

  • 2015 Características financieras de las empresas escindidas en España: Aproximación mediante un modelo logit/Financial Characteristics of Spin-Off Companies in Spain: An Approach through Logit Model
    by MÍNGUEZ CONDE, JOSÉ LUIS & RAMOS SÁNCHEZ, SOFÍA & RODRÍGUEZ FERNÁNDEZ, JOSÉ MIGUEL

  • 2015 Unit-Linked Life Insurance Products Versus Other Alternative Investments
    by Cristina Ciumas & Diana-Maria Chis

  • 2015 The Steel European Stock Market Efficiency
    by Viorica CHIRILA & Ciprian CHIRILA

  • 2015 The equity risk premium: a review of models
    by Duarte, Fernando M. & Rosa, Carlo

  • 2015 Oil and Macroeconomic Uncertianty
    by Andrea Bastianin & Matteo Manera

  • 2015 Bidirectional Volatility Spillover Effect between the Exchange Rate and Stocks in the Presence of Structural Breaks in Selected Eastern European Economies
    by Dejan Zivkov & Jovan Njegic & Ivan Milenkovic

  • 2015 Central and Eastern European Stock Exchanges under Stress: A Range-Based Volatility Spillover Framework
    by Sercan Demiralay & Selcuk Bayraci

  • 2015 International Dependence and Contagion across Asset Classes: The Case of Poland
    by Michal Adam & Piotr Banbula & Michal Markun

  • 2015 The Capital Markets Research Based on the Financial Quantitative Models
    by Antoniade Ciprian ALEXANDRU & Nicoleta CARAGEA

  • 2015 Market-timing the business cycle
    by Peláez, Rolando F.

  • 2015 Split ratings and debt-signaling in bond markets: A note
    by Ismail, Ashraf & Oh, Seunghack & Arsyad, Nuruzzaman

  • 2015 Realized range volatility forecasting: Dynamic features and predictive variables
    by Caporin, Massimiliano & Velo, Gabriel G.

  • 2015 Determinants of the banking spread in the Brazilian economy: The role of micro and macroeconomic factors
    by Almeida, Fernanda Dantas & Divino, José Angelo

  • 2015 Managing financial risk in Chinese stock markets: Option pricing and modeling under a multivariate threshold autoregression
    by Li, Johnny Siu-Hang & Ng, Andrew C.Y. & Chan, Wai-Sum

  • 2015 Modelling a latent daily Tourism Financial Conditions Index
    by Chang, Chia-Lin

  • 2015 Advances in financial risk management and economic policy uncertainty: An overview
    by Hammoudeh, Shawkat & McAleer, Michael

  • 2015 The extreme-value dependence between the crude oil price and Chinese stock markets
    by Chen, Qian & Lv, Xin

  • 2015 The response of stock market volatility to futures-based measures of monetary policy shocks
    by Gospodinov, Nikolay & Jamali, Ibrahim

  • 2015 Islamic calendar anomalies: Evidence from Pakistani firm-level data
    by Halari, Anwar & Tantisantiwong, Nongnuch & Power, David. M. & Helliar, Christine

  • 2015 Alternative errors-in-variables models and their applications in finance research
    by Chen, Hong-Yi & Lee, Alice C. & Lee, Cheng-Few

  • 2015 Causal interrelations among market fundamentals: Evidence from the European Telecommunications sector
    by Agiakloglou, Christos & Gkouvakis, Michail

  • 2015 Why do issuers issue Sukuk or conventional bond? Evidence from Malaysian listed firms using partial adjustment models
    by Mohamed, Hisham Hanifa & Masih, Mansur & Bacha, Obiyathulla I.

  • 2015 Combining momentum, value, and quality for the Islamic equity portfolio: Multi-style rotation strategies using augmented Black Litterman factor model
    by Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur. M.

  • 2015 Dynamic factors and asset pricing: International and further U.S. evidence
    by He, Zhongzhi (Lawrence) & Zhu, Jie & Zhu, Xiaoneng

  • 2015 Cross-sectoral interactions in Islamic equity markets
    by Yilmaz, Mustafa K. & Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk

  • 2015 Dynamic relationships between spot and futures prices. The case of energy and gold commodities
    by Nicolau, Mihaela & Palomba, Giulio

  • 2015 Dynamic convergence of commodity futures: Not all types of commodities are alike
    by Sensoy, Ahmet & Hacihasanoglu, Erk & Nguyen, Duc Khuong

  • 2015 Evaluating the performance of futures hedging using multivariate realized volatility
    by Ubukata, Masato & Watanabe, Toshiaki

  • 2015 Intra-daily volatility spillovers in international stock markets
    by Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman

  • 2015 Macroannouncements, bond auctions and rating actions in the European government bond spreads
    by Boffelli, Simona & Urga, Giovanni

  • 2015 Orthogonalized regressors and spurious precision, with an application to currency exposures
    by Liu, Fang & Sercu, Piet & Vandebroek, Martina

  • 2015 Systemic risk in European sovereign debt markets: A CoVaR-copula approach
    by Reboredo, Juan C. & Ugolini, Andrea

  • 2015 How past market movements affect correlation and volatility
    by Becker, Christoph & Schmidt, Wolfgang M.

  • 2015 Regression-based estimation of dynamic asset pricing models
    by Adrian, Tobias & Crump, Richard K. & Moench, Emanuel

  • 2015 Modeling financial contagion using mutually exciting jump processes
    by Aït-Sahalia, Yacine & Cacho-Diaz, Julio & Laeven, Roger J.A.

  • 2015 Good and bad uncertainty: Macroeconomic and financial market implications
    by Segal, Gill & Shaliastovich, Ivan & Yaron, Amir

  • 2015 Why do term structures in different currencies co-move?
    by Jotikasthira, Chotibhak & Le, Anh & Lundblad, Christian

  • 2015 Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH
    by Dark, Jonathan

  • 2015 Linear programming-based estimators in nonnegative autoregression
    by Preve, Daniel

  • 2015 Multi-factor volatility and stock returns
    by He, Zhongzhi (Lawrence) & Zhu, Jie & Zhu, Xiaoneng

  • 2015 New methodology for constructing real estate price indices applied to the Singapore residential market
    by Jiang, Liang & Phillips, Peter C.B. & Yu, Jun

  • 2015 Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data
    by Audrino, Francesco & Fengler, Matthias R.

  • 2015 Modeling interest rate volatility: A Realized GARCH approach
    by Tian, Shuairu & Hamori, Shigeyuki

  • 2015 The role of the variance premium in Jump-GARCH option pricing models
    by Byun, Suk Joon & Jeon, Byoung Hyun & Min, Byungsun & Yoon, Sun-Joong

  • 2015 Trading strategies with implied forward credit default swap spreads
    by Leccadito, Arturo & Tunaru, Radu S. & Urga, Giovanni

  • 2015 The LIX: A model-independent liquidity index
    by Guillaume, F.

  • 2015 Reward-risk momentum strategies using classical tempered stable distribution
    by Choi, Jaehyung & Kim, Young Shin & Mitov, Ivan

  • 2015 Stock market volatility: Identifying major drivers and the nature of their impact
    by Mittnik, Stefan & Robinzonov, Nikolay & Spindler, Martin

  • 2015 Economic links and credit spreads
    by Gençay, Ramazan & Signori, Daniele & Xue, Yi & Yu, Xiao & Zhang, Keyi

  • 2015 Mixture pair-copula-constructions
    by Weiß, Gregor N.F. & Scheffer, Marcus

  • 2015 Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates
    by Siburg, Karl Friedrich & Stoimenov, Pavel & Weiß, Gregor N.F.

  • 2015 Capital requirements for over-the-counter derivatives central counterparties
    by Lin, Li & Surti, Jay

  • 2015 Testing the mixture of distributions hypothesis on target stocks
    by Carroll, Rachael & Kearney, Colm

  • 2015 Trends and convergence in global housing markets
    by Yunus, Nafeesa

  • 2015 Liquidity shocks and stock bubbles
    by Nneji, Ogonna

  • 2015 Nonparametric prediction of stock returns based on yearly data: The long-term view
    by Scholz, Michael & Nielsen, Jens Perch & Sperlich, Stefan

  • 2015 US stock market regimes and oil price shocks
    by Angelidis, Timotheos & Degiannakis, Stavros & Filis, George

  • 2015 Predictability of stock returns of financial companies and the role of investor sentiment: A multi-country analysis
    by Kadilli, Anjeza

  • 2015 Trading price jump clusters in foreign exchange markets
    by Novotný, Jan & Petrov, Dmitri & Urga, Giovanni

  • 2015 A simple and general approach to fitting the discount curve under no-arbitrage constraints
    by Fengler, Matthias R. & Hin, Lin-Yee

  • 2015 Capital cyclicality, conditional coverage and long-term capital assessment
    by Ferrer, Alex & Casals, José & Sotoca, Sonia

  • 2015 How integrated is the European carbon derivatives market?
    by Mazza, Paolo & Petitjean, Mikael

  • 2015 Sample dependency during unconditional credit capital estimation
    by Ferrer, Alex & Casals, José & Sotoca, Sonia

  • 2015 Measuring the impact of extreme observations on CAPM alphas: Some methodological issues
    by De Moor, Lieven & Sercu, Piet

  • 2015 The intrinsic bounds on the risk premium of Markovian pricing kernels
    by Han, Jihun & Park, Hyungbin

  • 2015 Higher order comoments of multifactor models and asset allocation
    by Boudt, Kris & Lu, Wanbo & Peeters, Benedict

  • 2015 Volatility spillovers in the European bank CDS market
    by Alemany, Aida & Ballester, Laura & González-Urteaga, Ana

  • 2015 Effects of macroeconomic uncertainty on the stock and bond markets
    by Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun

  • 2015 Testing for asymmetric causality between U.S. equity returns and commodity futures returns
    by Nguyen, Duc Khuong & Sousa, Ricardo M. & Uddin, Gazi Salah

  • 2015 A common jump factor stochastic volatility model
    by Laurini, Márcio Poletti & Mauad, Roberto Baltieri

  • 2015 The financial econometrics of price discovery and predictability
    by Narayan, Seema & Smyth, Russell

  • 2015 Political uncertainty and the 2012 US presidential election: A cointegration study of prediction markets, polls and a stand-out expert
    by Goodell, John W. & McGroarty, Frank & Urquhart, Andrew

  • 2015 Are gold and silver a hedge against inflation? A two century perspective
    by Bampinas, Georgios & Panagiotidis, Theodore

  • 2015 Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis
    by Syriopoulos, Theodore & Makram, Beljid & Boubaker, Adel

  • 2015 How performance of risk-based strategies is modified by socially responsible investment universe?
    by Bertrand, Philippe & Lapointe, Vincent

  • 2015 Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle
    by Khalifa, Ahmed & Caporin, Massimiliano & Hammoudeh, Shawkat

  • 2015 Oil prices and financial stress: A volatility spillover analysis
    by Nazlioglu, Saban & Soytas, Ugur & Gupta, Rangan

  • 2015 Pricing of forwards and other derivatives in cointegrated commodity markets
    by Benth, Fred Espen & Koekebakker, Steen

  • 2015 Value-at-Risk estimation of energy commodities: A long-memory GARCH–EVT approach
    by Youssef, Manel & Belkacem, Lotfi & Mokni, Khaled

  • 2015 Oil volatility shocks and the stock markets of oil-importing MENA economies: A tale from the financial crisis
    by Bouri, Elie

  • 2015 Extreme risk spillovers between crude oil and stock markets
    by Du, Limin & He, Yanan

  • 2015 Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets
    by Ziel, Florian & Steinert, Rick & Husmann, Sven

  • 2015 A unit root model for trending time-series energy variables
    by Narayan, Paresh Kumar & Liu, Ruipeng

  • 2015 Analyzing volatility spillovers and hedging between oil and stock markets: Evidence from wavelet analysis
    by Khalfaoui, R. & Boutahar, M. & Boubaker, H.

  • 2015 Is there dependence and systemic risk between oil and renewable energy stock prices?
    by Reboredo, Juan C.

  • 2015 Efficient modeling and forecasting of electricity spot prices
    by Ziel, Florian & Steinert, Rick & Husmann, Sven

  • 2015 A spot-forward model for electricity prices with regime shifts
    by Paraschiv, Florentina & Fleten, Stein-Erik & Schürle, Michael

  • 2015 Forecasting ability of the investor sentiment endurance index: The case of oil service stock returns and crude oil prices
    by He, Ling T. & Casey, K.M.

  • 2015 The economic value of volatility timing with realized jumps
    by Nolte, Ingmar & Xu, Qi

  • 2015 Volatility co-movements: A time-scale decomposition analysis
    by Cipollini, Andrea & Cascio, Iolanda Lo & Muzzioli, Silvia

  • 2015 Long memory in log-range series: Do structural breaks matter?
    by Chatzikonstanti, Vasiliki & Venetis, Ioannis A.

  • 2015 The frequency of regime switching in financial market volatility
    by BenSaïda, Ahmed

  • 2015 Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms
    by Frijns, Bart & Indriawan, Ivan & Tourani-Rad, Alireza

  • 2015 It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model
    by Grassi, Stefano & Santucci de Magistris, Paolo

  • 2015 Heuristic learning in intraday trading under uncertainty
    by Bekiros, Stelios D.

  • 2015 Dynamic copula models and high frequency data
    by De Lira Salvatierra, Irving & Patton, Andrew J.

  • 2015 Are Sharia stocks, gold and U.S. Treasury hedges and/or safe havens for the oil-based GCC markets?
    by Mensi, Walid & Hammoudeh, Shawkat & Reboredo, Juan C. & Nguyen, Duc Khuong

  • 2015 Testing the liquidity preference hypothesis using survey forecasts
    by Ornelas, Jose Renato Haas & Silva Jr., Antonio Francisco de Almeida

  • 2015 The dynamic relationship between stock, bond and foreign exchange markets
    by Kal, Süleyman Hilmi & Arslaner, Ferhat & Arslaner, Nuran

  • 2015 Functional index coefficient models with variable selection
    by Cai, Zongwu & Juhl, Ted & Yang, Bingduo

  • 2015 Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
    by Asai, Manabu & McAleer, Michael

  • 2015 Frontiers in Time Series and Financial Econometrics: An overview
    by Ling, Shiqing & McAleer, Michael & Tong, Howell

  • 2015 Specification and structural break tests for additive models with applications to realized variance data
    by Fengler, M.R. & Mammen, E. & Vogt, M.

  • 2015 Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
    by Duong, Diep & Swanson, Norman R.

  • 2015 Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
    by Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert

  • 2015 A non-linear dynamic model of the variance risk premium
    by Eraker, Bjørn & Wang, Jiakou

  • 2015 Option pricing with non-Gaussian scaling and infinite-state switching volatility
    by Baldovin, Fulvio & Caporin, Massimiliano & Caraglio, Michele & Stella, Attilio L. & Zamparo, Marco

  • 2015 Market-based estimation of stochastic volatility models
    by Aït-Sahalia, Yacine & Amengual, Dante & Manresa, Elena

  • 2015 Nonparametric specification tests for stochastic volatility models based on volatility density
    by Zu, Yang

  • 2015 Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
    by Liu, Lily Y. & Patton, Andrew J. & Sheppard, Kevin

  • 2015 Learning, confidence, and option prices
    by Shaliastovich, Ivan

  • 2015 Nonparametric tests for constant tail dependence with an application to energy and finance
    by Bücher, Axel & Jäschke, Stefan & Wied, Dominik

  • 2015 Risks of large portfolios
    by Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng

  • 2015 Through the looking glass: Indirect inference via simple equilibria
    by Calvet, Laurent E. & Czellar, Veronika

  • 2015 Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
    by Fengler, Matthias R. & Hin, Lin-Yee

  • 2015 Multi-scale tests for serial correlation
    by Gençay, Ramazan & Signori, Daniele

  • 2015 Risk-parameter estimation in volatility models
    by Francq, Christian & Zakoïan, Jean-Michel

  • 2015 A simple and focused backtest of value at risk
    by Krämer, Walter & Wied, Dominik

  • 2015 Bias in the estimation of mean reversion in continuous-time Lévy processes
    by Bao, Yong & Ullah, Aman & Wang, Yun & Yu, Jun

  • 2015 Copula-MGARCH with continuous covariance decomposition
    by Herwartz, Helmut & Raters, Fabian H.C.

  • 2015 A martingale decomposition of discrete Markov chains
    by Hansen, Peter Reinhard

  • 2015 The variance risk premium and fundamental uncertainty
    by Conrad, Christian & Loch, Karin

  • 2015 Predicting stock returns and volatility using consumption-aggregate wealth ratios: A nonlinear approach
    by Bekiros, Stelios & Gupta, Rangan

  • 2015 An ARCH model without intercept
    by Hafner, Christian M. & Preminger, Arie

  • 2015 Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange
    by Hoang, Thi-Hong-Van & Wong, Wing-Keung & Zhu, Zhenzhen

  • 2015 Estimation of correlations in portfolio credit risk models based on noisy security prices
    by Boudreault, Mathieu & Gauthier, Geneviève & Thomassin, Tommy

  • 2015 Unfolded GARCH models
    by Liu, Xiaochun & Luger, Richard

  • 2015 Relationships among CO2 Emissions, Economic Growth and Foreign Direct Investment and the Environmental Kuznets Curve Hypothesis in Turkey
    by Mesut Balýbey

  • 2015 Markov Regime Switching Generalized Autoregressive Conditional Heteroskedastic Model and Volatility Modeling for Oil Returns
    by Samet Günay

  • 2015 Modeling of the Dynamics Relationship between World Crude Oil Prices and the Stock Market in Indonesia
    by Pasrun Adam & Usman Rianse & Edi Cahyono & Manat Rahim

  • 2015 Crude Oil Price Shocks and Stock Returns: Evidences from Turkish Stock Market under Global Liquidity Conditions
    by Berna Aydogan & Istemi Berk

  • 2015 The Relationship between Banking Competition and Stability in Developing Countries: The Case of Libya
    by Haytem Ahmed Troug & Rashid Sbia

  • 2015 Testing for the Presence of Asymmetric Information in the Oil Market: A Vector Autoregression Approach
    by Haytem Ahmed Troug & Rashid Sbia

  • 2015 A Generalized Autoregressive Conditional Heteroskedasticity Examination of the Relationship between Trading Volume and Conditional Volatility in the Tunisian Stock Market: Evidence for the Information Flow Paradigm
    by Fethi Belhaj & Ezzeddine Abaoub

  • 2015 Effectiveness of technical analysis indicators over stock return: A Panel Data Approach
    by Kutluk Kaðan SÜMER

  • 2015 Spatio-temporal Analysis of Convergence of Development Level of Selected Stock Exchanges in the Period of 2004–2012
    by Elzbieta Szulc & Dagna Wleklinska

  • 2015 Day-of-the-Week Effects in Liquidity on the Warsaw Stock Exchange
    by Sabina Nowak & Joanna Olbrys

  • 2015 Modelling The Guarantee Liability Under Unit-Linked Contracts
    by Cristina CIUMAȘ & Diana-Maria CHIȘ

  • 2015 Title: analysis of term structure of interest rates in Latin America countries from 2006 to 2014
    by Felipe Stona & Jean Amann & Maurício Delago Morais & Divanildo Triches & Igor Clemente Morais

  • 2015 Evaluating interest rate term-structure using extensions of the Diebold and Li three factors model
    by Alberto Ronchi Neto & Osvaldo Candido

  • 2015 Numerical evaluation of likelihood inferences in Beta-t-Skew-EGARCH models
    by Fernanda Maria Muller & Fábio Mariano Bayer

  • 2015 Financial integration in emerging market economies: Effects on volatility transmission and contagion
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  • 2014 Currency hedge – walking on the edge?
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  • 2014 A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market
    by Liang Jiang & Peter C.B. Phillips & Jun Yu

  • 2014 Outliers in multivariate Garch models
    by Veiga, Helena & Martín-Barragán, Belén & Grané, Aurea

  • 2014 Multi-level Conditional VaR Estimation in Dynamic Models
    by Christian Francq & Jean-Michel Zakoian

  • 2014 A simple model for now-casting volatility series
    by Hafner, Christian M. & Breitung, Jörg

  • 2014 Construction of value-at-risk forecasts under different distributional assumptions within a BEKK framework
    by Braione, Manuela & Scholtes, Nicolas K.

  • 2014 Forecasting comparison of long term component dynamic models for realized covariance matrices
    by BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe

  • 2014 Specific Markov-switching behaviour for ARMA parameters
    by CARPANTIER, Jean-François & DUFAYS, Arnaud

  • 2014 Emerging Structural Pressures in European Labour Markets
    by G.A. Meagher & R.A.Wilson & E.Yerushalmi

  • 2014 Interfacing a CGE Labour Market Model with the E3ME Multi-Sector Macroeconomic Model
    by G.A. Meagher & Felicity Pang & R.A. Wilson

  • 2014 Scale-free tails in Colombian financial indexes: a primer
    by Carlos León

  • 2014 The Economics of Bitcoins - Market Characteristics and Price Jumps
    by Marc Gronwald

  • 2014 A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices
    by Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith

  • 2014 Asymptotic Properties of Imputed Hedonic Price Indices
    by Olivier Schöni

  • 2014 Econometric Analysis of Financial Derivatives: An Overview
    by Chia-Lin Chang & Michael McAleer

  • 2014 Asymmetry and Leverage in Conditional Volatility Models
    by Michael McAleer

  • 2014 Volatility Spillovers from Australia's major trading partners across the GFC
    by David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh

  • 2014 On the Invertibility of EGARCH
    by Guillaume Gaetan Martinet & Michael McAleer

  • 2014 Asymmetric Realized Volatility Risk
    by David E. Allen & Michael McAleer & Marcel Scharth

  • 2014 A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
    by Christian M. Hafner & Michael McAleer

  • 2014 Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview
    by Shawkat Hammoudeh & Michael McAleer

  • 2014 A One Line Derivation of EGARCH
    by Michael McAleer & Christian M. Hafner

  • 2014 Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
    by Manabu Asai & Michael McAleer

  • 2014 Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
    by Michael McAleer

  • 2014 Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series
    by David E. Allen & Michael McAleer & Abhay K. Singh

  • 2014 Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence
    by Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss

  • 2014 A multiple testing approach to the regularisation of large sample correlation matrices
    by Natalia Bailey & Vanessa Smith & M. Hashem Pesaran

  • 2014 A Compound Multifractal Model for High-Frequency Asset Returns
    by Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin

  • 2014 Dynamic Spanning Tree Approach - The Case Of Asia-Pacific Stock Markets
    by Ahmet Sensoy & Benjamin M. Tabak

  • 2014 Expectations, risk premia and information spanning in dynamic term structure model estimation
    by Guimarães, Rodrigo

  • 2014 Interventions and Expected Exchange Rates in Emerging Market Economies
    by Santiago García-Verdú & Manuel Ramos Francia

  • 2014 Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis
    by Juan R. Hernández

  • 2014 Calibrating the Italian smile with time-varying volatility and heavy-tailed models
    by Michele Leonardo Bianchi & Frank J. Fabozzi & Svetlozar T. Rachev

  • 2014 Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure
    by Soloschenko, Max & Weber, Enzo

  • 2014 Matrix Box-Cox Models for Multivariate Realized Volatility
    by Weigand, Roland

  • 2014 Matrix Box-Cox Models for Multivariate Realized Volatility
    by Roland Weigand

  • 2014 Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections
    by Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis

  • 2014 Supervivencia de las empresas según indicadores empresariales. Modelo lineal mixto con datos de panel, período 2004 al 2008, caso de España
    by Luis Varona Castillo & Laura Gismera Tierno & Ricardo Gimeno Nogues

  • 2014 The Impact of Political Majorities on Firm Value: Do Electoral Promises or Friendship Connections Matter?
    by Renaud Coulomb & Marc Sangnier

  • 2014 Indirect inference with time series observed with error
    by Eduardo Rossi & Paolo Santucci de Magistris

  • 2014 On the Selection of Common Factors for Macroeconomic Forecasting
    by Alessandro Giovannelli & Tommaso Proietti

  • 2014 Optimal hedging with the cointegrated vector autoregressive model
    by Søren Johansen & Lukasz Gatarek

  • 2014 Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
    by Ulrich Hounyo

  • 2014 Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500
    by Massimiliano Caporin & Luca Corazzini & Michele Costola

  • 2014 Chasing volatility - A persistent multiplicative error model with jumps
    by Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris

  • 2014 Volatility jumps and their economic determinants
    by Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris

  • 2014 Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets
    by Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor

  • 2014 Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
    by Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou

  • 2014 Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity
    by Kris Boudt & Sébastien Laurent & Asger Lunde & Rogier Quaedvlieg

  • 2014 Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange
    by Asger Lunde & Kasper V. Olesen

  • 2014 High-Frequency Trading and Probability Theory
    by Zhaodong Wang & Weian Zheng

  • 2014 Econometric Methods and Their Applications in Finance, Macro and Related Fields
    by

  • 2014 Technical Analysis and Financial Asset Forecasting:From Simple Tools to Advanced Techniques
    by Raymond Hon Fu Chan & Spike Tsz Ho Lee & Wing-Keung Wong

  • 2014 Particularities Of Transfer Channel In The Financial Network Modeling
    by DIMITRIU, Mihail

  • 2014 A Tale Of Two Euro-Zones. Banks' Funding, Sovereign Risk And Unconventional Monetary Policies
    by Nicolas FULLI-LEMAIRE

  • 2014 Effects of the Public Sector downsizing on Social Security and public finance
    by Ioannis Vogiatzis & Costas Siriopoulos & Nikolaos Frangos

  • 2014 Impact Of The Fii'S Indian Equity Investment Behavior On The Bric Countries' Stock Market Volatility During The Subprime Crisis. An Empirical Investigation
    by AMANJOT SINGH & PARNEET KAUR

  • 2014 Obtaining and Predicting the Bounds of Realized Correlations
    by Lidan Grossmass

  • 2014 Estimation Of Risk Neutral Measure For Polish Stock Market
    by Pawe³ Kliber

  • 2014 Is it possible to break the «curse of dimensionality»? Spatial specifications of multivariate volatility models
    by Lakshina, Valeriya

  • 2014 Autocorrelation in the global stochastic trend
    by Durdyev, Ruslan & Peresetsky, Anatoly

  • 2014 Investment portfolio risk modelling based on hierarchical copulas
    by Penikas, Henry

  • 2014 Comparing «Realized volatility» models in the VaR calculation for the Russian equity market
    by Shcherba, Alexandr

  • 2014 A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation
    by Monica Billio & Lorenzon Frattarolo & Lauriana Pelizzon

  • 2014 Higher order conditional moment dynamics and forecasting value-at-risk (in Russian)
    by Grigory Franguridi

  • 2014 Time varying vine copulas for multivariate returns (in Russian)
    by Oleg Groshev

  • 2014 Bayesian Estimation and Prediction for ACD Models in the Analysis of Trade Durations from the Polish Stock Market
    by Roman Huptas

  • 2014 Simulating Bivariate Stationary Processes with Scale-Specific Characteristics
    by Milan Bašta

  • 2014 Análisis de la volatilidad del índice principal del mercado bursátil mexicano, del índice de riesgo país y de la mezcla mexicana de exportación mediante un modelo GARCH trivariado asimétrico || Volatility Analysis of the Core Mexican Stock Market Index, the Country Risk Index, and the Mexican Oil Basket Using an Asymmetric Trivariate GARCH Model
    by Villalba Padilla, Fátima Irina & Flores-Ortega, Miguel

  • 2014 Mutations Driven by the Global Financial Crisis on the Hierarchy of Monetary Policy Transmission Mechanism Channels in CEE Countries
    by Popescu Iulian Vasile

  • 2014 Analysis of the Banking System Performance in Romania During 2000-2012
    by Cioca Ionela Cornelia

  • 2014 Pricing And Assessing Unit-Linked Insurance Contracts With Investment Guarantees
    by Ciumas Cristina & Chis Diana-Maria

  • 2014 The Empirical Analysis of Liquidity
    by Craig W. Holden & Stacey Jacobsen & Avanidhar Subrahmanyam

  • 2014 Is illiquidity risk priced? The case of the Polish medium-size emerging stock market
    by Joanna Olbryœ

  • 2014 “Every move you make, every step you take, I’ll be watching you” – the quest for hidden orders in the interbank FX spot market
    by Katarzyna Bień-Barkowska

  • 2014 Análisis del riesgo de mercado de los fondos de pensión en México Un enfoque con modelos autorregresivos
    by Martínez Preece Marissa R. & Venegas Martínez Francisco

  • 2014 The Role of Information Asymmetry in Financing Methods
    by Mahdi Salehi & Vahab Rostami & Hamid Hesari

  • 2014 Financial crises and volatility spillovers among emerging European equity markets
    by Ugur Ergun & Zehra Mahmutović

  • 2014 Analysis of the Behavior of Volatility in Crude Oil Price
    by Fernando Antonio Lucena Aiube & Tara Keshar Nanda Baidya

  • 2014 Financial bubbles and recent behaviour of the Latin American stock markets
    by Jorge Uribe & Julián Fernández

  • 2014 A study of the relation between inflation and exchange rates in the Fiji islands: a cointegration and vector error correction approach
    by Muthucattu Thomas Paul & Yih Pin Tang & Markand Bhatt

  • 2014 On the Hook for Impaired Bank Lending: Do Sovereign-Bank Interlinkages Affect the Net Cost of a Fiscal Stimulus?
    by Robert Kelly & Kieran McQuinn

  • 2014 Value at Risk Estimation for Heavy Tailed Distributions
    by Imed Gammoudi & Lotfi BelKacem & Mohamed El Ghourabi

  • 2014 Modeling Risk Convergence for European Financial Markets
    by Radu Lupu & Adrian Cantemir Calin & Iulia Lupu & Oana Cristina Popovici

  • 2014 The Dynamics of Sovereign Credit Default Swaps and the Evolution of the Financial Crisis in Selected Central European Economies
    by Agata Kliber

  • 2014 Uretim Isletmelerinde Firma Karliliginin Finansal Belirleyicileri ve BIST Imalat Sanayi Uygulamasi
    by Ozge KORKMAZ & Suleyman Serdar KARACA

  • 2014 The effects of news events on market contagion: Evidence from the 2007–2009 financial crisis
    by Chevapatrakul, Thanaset & Tee, Kai-Hong

  • 2014 On cross-currency transmissions between US dollar and euro LIBOR-OIS spreads
    by Tamakoshi, Go & Hamori, Shigeyuki

  • 2014 Gold and exchange rates: Downside risk and hedging at different investment horizons
    by Reboredo, Juan C. & Rivera-Castro, Miguel A.

  • 2014 Determining what drives stock returns: Proper inference is crucial: Evidence from the UK
    by Ma, Jun & Wohar, Mark E.

  • 2014 A view to the long-run dynamic relationship between crude oil and the major asset classes
    by Turhan, M. Ibrahim & Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk

  • 2014 Wavelet-based evidence of the impact of oil prices on stock returns
    by Reboredo, Juan C. & Rivera-Castro, Miguel A.

  • 2014 The impact of political majorities on firm value: Do electoral promises or friendship connections matter?
    by Coulomb, Renaud & Sangnier, Marc

  • 2014 Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors
    by Hammoudeh, Shawkat & Mensi, Walid & Reboredo, Juan Carlos & Nguyen, Duc Khuong

  • 2014 Currency jumps and crises: Do developed and emerging market currencies jump together?
    by Chan, Kam Fong & Powell, John G. & Treepongkaruna, Sirimon

  • 2014 Are Japanese short sellers information detectives?
    by Lee, Bong-Soo & Ko, Kwangsoo

  • 2014 Impacts of the financial crisis on eurozone sovereign CDS spreads
    by Gündüz, Yalin & Kaya, Orcun

  • 2014 Cross-hedging strategies between CDS spreads and option volatility during crises
    by Da Fonseca, José & Gottschalk, Katrin

  • 2014 System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies
    by Gnabo, Jean-Yves & Hvozdyk, Lyudmyla & Lahaye, Jérôme

  • 2014 A new set of improved Value-at-Risk backtests
    by Ziggel, Daniel & Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik

  • 2014 Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?
    by Jung, R.C. & Maderitsch, R.

  • 2014 Yes, the CAPM is testable
    by Guermat, Cherif

  • 2014 Integration of European bond markets
    by Christiansen, Charlotte

  • 2014 The dynamics of spillover effects during the European sovereign debt turmoil
    by Alter, Adrian & Beyer, Andreas

  • 2014 An analysis of price discovery from panel data models of CDS and equity returns
    by Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan Sivananthan

  • 2014 Cojumps in stock prices: Empirical evidence
    by Gilder, Dudley & Shackleton, Mark B. & Taylor, Stephen J.

  • 2014 Riskiness-minimizing spot-futures hedge ratio
    by Chen, Yi-Ting & Ho, Keng-Yu & Tzeng, Larry Y.

  • 2014 Industry co-movement and cross-listing: Do home country factors matter?
    by Lee, Chien-Chiang & Chen, Mei-Ping & Chang, Chi-Hung

  • 2014 Instabilities in the relationships and hedging strategies between crude oil and US stock markets: Do long memory and asymmetry matter?
    by Chkili, Walid & Aloui, Chaker & Nguyen, Duc Khuong

  • 2014 Financial linkages between US sector credit default swaps markets
    by Arouri, Mohamed & Hammoudeh, Shawkat & Jawadi, Fredj & Nguyen, Duc Khuong

  • 2014 A comparative analysis of the dynamic relationship between oil prices and exchange rates
    by Turhan, M. Ibrahim & Sensoy, Ahmet & Hacihasanoglu, Erk

  • 2014 Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises
    by Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia

  • 2014 Outperformance in exchange-traded fund pricing deviations: Generalized control of data snooping bias
    by Kearney, Fearghal & Cummins, Mark & Murphy, Finbarr

  • 2014 Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks
    by Boudt, Kris & Petitjean, Mikael

  • 2014 Constructing a financial fragility index for emerging countries
    by Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk

  • 2014 Can analysts predict rallies better than crashes?
    by Medovikov, Ivan

  • 2014 Foreign exchange customers and dealers: Who’s driving whom?
    by Gradojevic, Nikola

  • 2014 Contagion effect on bond portfolio risk measures in a hybrid credit risk model
    by Boudreault, Mathieu & Gauthier, Geneviève & Thomassin, Tommy

  • 2014 Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets
    by Bekiros, Stelios D.

  • 2014 Financial crisis, Value-at-Risk forecasts and the puzzle of dependency modeling
    by Berger, T. & Missong, M.

  • 2014 Energy price dynamics in the U.S. market. Insights from a heterogeneous multi-regime framework
    by Dias, José G. & Ramos, Sofia B.

  • 2014 Jump processes in natural gas markets
    by Mason, Charles F. & A. Wilmot, Neil

  • 2014 Heterogeneous price dynamics in U.S. regional electricity markets
    by Dias, José G. & Ramos, Sofia B.

  • 2014 Wavelet dynamics for oil-stock world interactions
    by Madaleno, Mara & Pinho, Carlos

  • 2014 Futures pricing in electricity markets based on stable CARMA spot models
    by Benth, Fred Espen & Klüppelberg, Claudia & Müller, Gernot & Vos, Linda

  • 2014 The switching relationship between natural gas and crude oil prices
    by Brigida, Matthew

  • 2014 Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management
    by Aloui, Riadh & Aïssa, Mohamed Safouane Ben & Hammoudeh, Shawkat & Nguyen, Duc Khuong

  • 2014 An empirical Bayesian approach to stein-optimal covariance matrix estimation
    by Gillen, Benjamin J.

  • 2014 Diagnosing the distribution of GARCH innovations
    by Sun, Pengfei & Zhou, Chen

  • 2014 On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets
    by Conrad, Christian & Loch, Karin & Rittler, Daniel

  • 2014 A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models
    by Bauwens, Luc & De Backer, Bruno & Dufays, Arnaud

  • 2014 Modelling stock volatilities during financial crises: A time varying coefficient approach
    by Karanasos, Menelaos & Paraskevopoulos, Alexandros G. & Menla Ali, Faek & Karoglou, Michail & Yfanti, Stavroula

  • 2014 Measuring and testing for the systemically important financial institutions
    by Castro, Carlos & Ferrari, Stijn

  • 2014 Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis
    by Dewandaru, Ginanjar & Rizvi, Syed Aun R. & Masih, Rumi & Masih, Mansur & Alhabshi, Syed Othman

  • 2014 Does the information content of payout initiations and omissions influence firm risks?
    by von Eije, Henk & Goyal, Abhinav & Muckley, Cal B.

  • 2014 Improved inference in the evaluation of mutual fund performance using panel bootstrap methods
    by Blake, David & Caulfield, Tristan & Ioannidis, Christos & Tonks, Ian

  • 2014 Modeling multivariate extreme events using self-exciting point processes
    by Grothe, Oliver & Korniichuk, Volodymyr & Manner, Hans

  • 2014 Estimating spot volatility with high-frequency financial data
    by Zu, Yang & Peter Boswijk, H.

  • 2014 Testing stationarity of functional time series
    by Horváth, Lajos & Kokoszka, Piotr & Rice, Gregory

  • 2014 Multivariate rotated ARCH models
    by Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin

  • 2014 On implied volatility for options—Some reasons to smile and more to correct
    by Chen, Song Xi & Xu, Zheng

  • 2014 Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
    by Jensen, Mark J. & Maheu, John M.

  • 2014 Marginal likelihood for Markov-switching and change-point GARCH models
    by Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K.

  • 2014 Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence
    by Kim, Hyun Hak & Swanson, Norman R.

  • 2014 Time-varying sparsity in dynamic regression models
    by Kalli, Maria & Griffin, Jim E.

  • 2014 Can we reject linearity in an HAR-RV model for the S&P 500? Insights from a nonparametric HAR-RV
    by Lahaye, Jerome & Shaw, Philip

  • 2014 Non-linear volatility dynamics and risk management of precious metals
    by Demiralay, Sercan & Ulusoy, Veysel

  • 2014 The conditional dependence structure of insurance sector credit default swap indices
    by Tamakoshi, Go & Hamori, Shigeyuki

  • 2014 Islamic equity market integration and volatility spillover between emerging and US stock markets
    by Majdoub, Jihed & Mansour, Walid

  • 2014 The symmetrical and positive relationship between crude oil and nominal exchange rate returns
    by Chang, Kuang-Liang

  • 2014 Detecting predictable non-linear dynamics in Dow Jones Islamic Market and Dow Jones Industrial Average indices using nonparametric regressions
    by Álvarez-Díaz, Marcos & Hammoudeh, Shawkat & Gupta, Rangan

  • 2014 Statistics of extreme events in risk management: The impact of the subprime and global financial crisis on the German stock market
    by Herrera, Rodrigo & Schipp, Bernhard

  • 2014 Spillovers among CDS indexes in the US financial sector
    by Tamakoshi, Go & Hamori, Shigeyuki

  • 2014 Covariance estimation using high-frequency data: Sensitivities of estimation methods
    by Haugom, Erik & Lien, Gudbrand & Veka, Steinar & Westgaard, Sjur

  • 2014 Dynamic relationship between Turkey and European countries during the global financial crisis
    by Sensoy, Ahmet & Soytas, Ugur & Yildirim, Irem & Hacihasanoglu, Erk

  • 2014 Can gold hedge and preserve value when the US dollar depreciates?
    by Reboredo, Juan C. & Rivera-Castro, Miguel A.

  • 2014 A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices
    by Kumar, Dilip & Maheswaran, S.

  • 2014 Volatility spillovers between the oil market and the European Union carbon emission market
    by Reboredo, Juan C.

  • 2014 Quadratic hedging schemes for non-Gaussian GARCH models
    by Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo

  • 2014 Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market
    by Mesut BALLIBEY & Serpil TÜRKYILMAZ

  • 2014 Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models
    by Serpil TURKYILMAZ & Mesut BALIBEY

  • 2014 The significance of distance between stock exchanges undergoing the process of convergence: An analysis of selected world stock exchanges during the period of 2004-2012
    by Elzbieta Szulc & Dagna Wleklinska & Karolina Gorna & Joanna Gorna

  • 2014 Burbujas financieras y comportamiento reciente de los mercados de acciones en América Latina
    by Uribe, Jorge & Fernández, Julián

  • 2014 Riesgo sistémico en el mercado de acciones colombiano: alternativas de diversificación bajo eventos extremos
    by Jorge M. Uribe & Julián Fernández

  • 2014 Relations Between Serial Correlation and Volatility: Is There a LeBaron Effect in Brazil?
    by Regis Augusto Ely

  • 2014 The diversification benefits from Islamic investment during the financial turmoil: The case for the US-based equity investors
    by Buerhan Saiti & Obiyathulla I. Bacha & Mansur Masih

  • 2014 Price jumps on European stock markets
    by Jan Hanousek & Evzen Kocenda & Jan Novotny

  • 2014 Measuring the degree of integration within a group of stock markets
    by Boryana Bogdanova

  • 2014 Volatility Linkage of Nominal and Index-linked Bond Returns: A Multivariate BEKK-GARCH Approach
    by Noureddine Benlagha

  • 2014 The Value Relevance of Financial Distress Risk in the Case of RASDAQ Companies
    by Ioan-Bogdan Robu & Mihaela-Alina Robu & Marilena Mironiuc & Florentina Olivia Balu

  • 2014 Investigating Banking Households' Deposits Using Vector Autoregressive Model Var
    by Adina Elena Danuletiu & Iulia Cristina Iuga & Adela Socol

  • 2014 Monetary Policy Transmission Mechanism And Dynamic Factor Models
    by Andreea ROSOIU

  • 2014 The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling
    by Ryan Kellogg

  • 2014 Estimating a Structural Model of Herd Behavior in Financial Markets
    by Marco Cipriani & Antonio Guarino

  • 2013 Detecting Predictable Non-linear Dynamics in Dow Jones Industrial Average and Dow Jones Islamic Market Indices using Nonparametric Regressions
    by Marcos Álvarez-Díaz & Shawkat Hammoudeh & Rangan Gupta

  • 2013 Volatility Transmission between Islamic and Conventional Equity Markets: Evidence from Causality-in-Variance Test
    by Saban Nazlioglu & Shawkat Hammoudeh & Rangan Gupta

  • 2013 Can the Sharia-Based Islamic Stock Market Returns be Forecasted Using Large Number of Predictors and Models?
    by Rangan Gupta & Shawkat Hammoudeh & Beatrice D. Simo-Kengne & Soodabeh Sarafrazi

  • 2013 Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?
    by Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen

  • 2013 Does the Source of Oil Price Shocks Matter for South African Stock Returns? A Structural VAR Approach
    by Rangan Gupta & Mampho P. Modise

  • 2013 Nonparametric Approach to Portfolio Diversification: The Case of Australian Equity Market - Un approccio non-parametrico alla diversificazione del portafoglio: il caso del mercato azionario australiano
    by Trofimov, Ivan D.

  • 2013 Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals
    by Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar

  • 2013 Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals
    by Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar

  • 2013 Identifying Volatility Signals from Time-Varying Simultaneous Stock Market Interaction
    by Strohsal, Till & Weber, Enzo

  • 2013 A latent dynamic factor approach to forecasting multivariate stock market volatility
    by Gribisch, Bastian

  • 2013 ECB monetary policy surprises: identification through cojumps in interest rates
    by Winkelmann, Lars & Bibinger, Markus & Linzert, Tobias

  • 2013 Exact solutions for the transient densities of continuous-time Markov switching models: With an application to the poisson multifractal model
    by Lux, Thomas

  • 2013 Copula-based dynamic conditional correlation multiplicative error processes
    by Bodnar, Taras & Hautsch, Nikolaus

  • 2013 Interest rate risk and the Swiss solvency test
    by Eder, Armin & Keiler, Sebastian & Pichl, Hannes

  • 2013 Sovereign default swap market efficiency and country risk in the eurozone
    by Gündüz, Yalin & Kaya, Orcun

  • 2013 The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models
    by Peter Spencer

  • 2013 Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model
    by Ming Lin & Changjiang Liu & Linlin Niu

  • 2013 Co-movements of Shanghai and New York Stock Prices by Time-varying Regressions
    by Gregory C Chow & Changjiang Liu & Linlin Niu

  • 2013 Price Jumps on European Stock Markets
    by Jan Hanousek & Evžen Kočenda & Jan Novotný

  • 2013 Price Jump Indicators: Stock Market Empirics During the Crisis
    by Jan Novotný & Jan Hanousek & Evžen Kočenda

  • 2013 Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets
    by David E. Giles & Yanan Li

  • 2013 Inflation Risk Premia, Yield Volatility and Macro Factors
    by Andrea Berardi

  • 2013 Markov Switching Models for Volatility: Filtering, Approximation and Duality
    by Monica Billio & Maddalena Cavicchioli

  • 2013 Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals
    by Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G.

  • 2013 Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously
    by Trojan, Sebastian

  • 2013 Additive modeling of realized variance: tests for parametric specifications and structural breaks
    by Fengler, Matthias R. & Mammen, Enno & Vogt, Michael

  • 2013 Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data
    by Audrino, Francesco & Fengler, Matthias

  • 2013 It's all about volatility of volatility: evidence from a two-factor stochastic volatility model
    by Stefano Grassi & Paolo Santucci de Magistris

  • 2013 Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises
    by Massimiliano Caporin & Juan Ángel Jiménez Martín & Lydia González-Serrano

  • 2013 Risk Modelling and Management: An Overview
    by Chia-Lin Chang & David E. Allen & Michael McAleer & Ju-Ting Tang & Teodosio Pérez Amaral

  • 2013 Ten Things You Should Know About the Dynamic Conditional Correlation Representation
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  • 2013 Ten Things You Should Know About DCC
    by Massimiliano Caporin & Michael McAleer

  • 2013 Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
    by Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer

  • 2013 Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models
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  • 2013 Realized Volatility Risk
    by David E. Allen & Michael McAleer & Marcel Scharth

  • 2013 Risk Modelling and Management: An Overview
    by Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral

  • 2013 Ten Things you should know about the Dynamic Conditional Correlation Representation
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  • 2013 Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation
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  • 2013 GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts
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  • 2013 Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
    by Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer

  • 2013 Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression
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  • 2013 Gecelik Kur Takasi Faizleri ve BIST Gecelik Repo Faizleri
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  • 2013 Systemic Risk Analysis of Turkish Financial Institutions with Systemic Expected Shortfall
    by Irem Talasli

  • 2013 Reserve Options Mechanism and FX Volatility
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  • 2013 Stock Return Comovement and Systemic Risk in the Turkish Banking System
    by Mahir Binici & Bulent Koksal & Cuneyt Orman

  • 2013 South African Sector Return Correlations: using DCC and ADCC Multivariate GARCH techniques to uncover the underlying dynamics
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  • 2013 Systemic Risk, Sovereign Yields and Bank Exposures in the Euro Crisis
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  • 2013 Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction
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  • 2013 Price Formation and Intertemporal Arbitrage within a Low-Liquidity Framework: Empirical Evidence from European Natural Gas Markets
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  • 2013 Liquidity Shocks and Stock Bubbles
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  • 2013 Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets
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  • 2013 Periodic autoregressive stochastic volatility
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  • 2013 International diversification and dependence structure of equity portfolios during market crashes: the Archimedean copula approach
    by Muteba Mwamba, John & Mokwena, Paula

  • 2013 Relationship between macroeconomic variables and stock market index: evidence from India
    by Pathan, Rubina & Masih, Mansur

  • 2013 Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise
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  • 2013 Are investments in islamic REITs susceptible to forex uncertainty: wavelet analysis
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  • 2013 Housing finance and financial stability: evidence from Malaysia, Thailand and Singapore
    by Hanifa, Mohamed Hisham & Masih, Mansur

  • 2013 Determinants of cost of equity: The case of Shariah-compliant Malaysian firms
    by Shafaai, Shafizal & Masih, Mansur

  • 2013 Stock market and crude oil relationship: A wavelet analysis
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  • 2013 An application of MGARCH-DCC analysis on selected currencies in terms of gold Price
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  • 2013 Gold price movements in selected currencies: wavelet approach
    by Mohamad, Sharifah Fairuz Syed & Masih, Mansur

  • 2013 Empirical study on the correlation of corporate social responsibility with the banks efficiency and stability
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  • 2013 Causality between Malaysian Islamic Stock Market and Macroeconomic Variables
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  • 2013 The Relationship between Exchange Rates and Islamic Indices in Malaysia FTSE Market: A Wavelet Based Approach
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  • 2013 Qualitative variables and their reduction possibility. Application to time series models
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  • 2013 Essays on Expectations and the Econometrics of Asset Pricing
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  • 2013 The Volatility and Correlations of Stock Returns of Some Crisis-Hit Countries: US, Greece, Thailand and Malaysia: Evidence from MGARCH-DCC applications
    by Masih, Mansur & Majid, Hamdan Abdul

  • 2013 Interest Rate, Exchange Rate, and Stock Prices of Islamic Banks: A Panel Data Analysis
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  • 2013 The Role of Gold as a Hedge and Safe Haven in Shariah-Compliant Portfolios
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  • 2013 Should Shariah-compliant investors include commodities in their portfolios? New evidence
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  • 2013 The Impact of Debt on Economic Growth: A Case Study of Indonesia
    by Swastika, Purti & Dewandaru, Ginanjar & Masih, Mansur

  • 2013 Does Restricted Short Selling Bring Benefit to Stocks Listed in Islamic Capital Market? New Evidence from Malaysia based on Dynamic Panel Heterogeneous Techniques
    by Swastika, Putri & Dewandaru, Ginanjar & Masih, Mansur

  • 2013 The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility
    by Karkowska, Renata

  • 2013 Comovement of Selected International Stock Market Indices:A Continuous Wavelet Transformation and Cross Wavelet Transformation Analysis
    by Masih, Mansur & Majid, Hamdan Abdul

  • 2013 Stock Price and Industrial Production in Developing Countries: A Dynamic Heterogeneous Panel Analysis
    by Masih, Mansur & Majid, Hamdan Abdul

  • 2013 Do Shariah (Islamic) Indices Provide a Safer Avenue in Crisis? Empirical Evidence from Dow Jones Indices using Multivariate GARCH-DCC
    by Rizvi, Syed Aun & Masih, Mansur

  • 2013 Comovement and resiliency of Islamic equity market: Evidence from GCC Islamic equity index based on wavelet analysis
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  • 2013 Empirical evidence for nonlinearity and irreversibility of commodity futures prices
    by Karapanagiotidis, Paul

  • 2013 Markov-Switching Quantile Autoregression
    by Liu, Xiaochun

  • 2013 Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery
    by Schröder, Anna Louise & Fryzlewicz, Piotr

  • 2013 A new Pearson-type QMLE for conditionally heteroskedastic models
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  • 2013 An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation
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  • 2013 Venture capital optimal investment portfolio strategies selection in diffusion - type financial systems in global capital markets with nonlinearities
    by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

  • 2013 Liquidity Issues in Indian Sovereign Bond Market
    by Nath, Golaka

  • 2013 Long Memory Processes and Structural Breaks in Stock Returns and Volatility: Evidence from the Egyptian Exchange
    by Ezzat, Hassan

  • 2013 An optimal three-way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality
    by Pinelis, Iosif

  • 2013 Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified
    by El Ghourabi, Mohamed & Francq, Christian & Telmoudi, Fedya

  • 2013 On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratanovich – Kalman – Bucy filters for Gaussian linear investment returns distribution and 2. Particle filters for non-Gaussian non-linear investment returns distribution
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  • 2013 Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises
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  • 2013 Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns
    by Sucarrat, Genaro & Escribano, Alvaro

  • 2013 On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks
    by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

  • 2013 A Conditional Value-at-Risk Based Portfolio Selection With Dynamic Tail Dependence Clustering
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  • 2013 Cross-Hedging of Inflation Derivatives on Commodities: The Informational Content of Futures Markets
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  • 2013 A Tale of Two Eurozones: Banks’s Funding, Sovereign Risk & Unconventional Monetary Policies
    by Fulli-Lemaire, Nicolas

  • 2013 Exchange rate volatility and exchange rate uncertainty in Nigeria: a financial econometric analysis (1970- 2012)
    by nnamdi, Kelechi & ifionu, Ebele

  • 2013 Detección de caídas en mercados financieros mediante análisis multifractal (exponentes locales y puntuales de Hölder): Índice accionario IPC y tipo de cambio USD/MXN
    by Rendón, Stephanie

  • 2013 DOW effects in returns and in volatility of stock markets during quiet and turbulent times
    by Dumitriu, Ramona & Stefanescu, Razvan

  • 2013 Bubbles, shocks and elementary technical trading strategies
    by Fry, John

  • 2013 Estimating Money Demand Function by a Smooth Transition Regression Model: An Evidence for Turkey
    by Sahin, Afsin

  • 2013 The Effects of Additional Monetary Tightening on Exchange Rates
    by Ermişoğlu, Ergun & Akçelik, Yasin & Oduncu, Arif & Taşkın, Temel

  • 2013 Does long memory matter in forecasting oil price volatility?
    by Delavari, Majid & Gandali Alikhani, Nadiya & Naderi, Esmaeil

  • 2013 Long Memory Analysis: An Empirical Investigation
    by Nazarian, Rafik & Naderi, Esmaeil & Gandali Alikhani, Nadiya & Amiri, Ashkan

  • 2013 A Hybrid Approach for Forecasting of Oil Prices Volatility
    by Komijani, Akbar & Naderi, Esmaeil & Gandali Alikhani, Nadiya

  • 2013 Risks of large portfolios
    by Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng

  • 2013 Modeling and Estimating Volatility of Options on Standard & Poor’s 500 Index
    by Boleslaw Borkowski & Monika Krawiec & Yochanan Shachmurove

  • 2013 Separating the impact of macroeconomic variables and global frailty in event data
    by James Wolter

  • 2013 Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes
    by Kevin Sheppard & Lily Liu & Andrew J. Patton

  • 2013 Martingale unobserved component models
    by Neil Shephard

  • 2013 Hedge Fund Contagion and Risk-adjusted Returns: A Markov-switching Dynamic Factor Approach
    by Ozgur Akay & Zeynep Senyuz & Emre Yoldas

  • 2013 Martingale unobserved component models
    by Neil Shephard

  • 2013 Maximum likelihood estimation of the equity premium
    by Efstathios Avdis & Jessica A. Wachter

  • 2013 Wall Street vs. Main Street: An Evaluation of Probabilities
    by Robin L. Lumsdaine & Rogier J.D. Potter van Loon

  • 2013 Fiscal Stability of High-Debt Nations under Volatile Economic Conditions
    by Robert E. Hall

  • 2013 Dependence and contagion between asset prices in Poland and abroad. A copula approach
    by Michał Adam & Piotr Bańbuła & Michał Markun

  • 2013 Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institution Investment Decisions
    by Dominique Guegan & Bertrand K. Hassani & Xin Zhao

  • 2013 Volatility co-movements: a time scale decomposition analysis
    by Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli

  • 2013 A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises
    by Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli

  • 2013 Clean Energy Industries and Rare Earth Materials: Economic and Financial Issues
    by Lucia BALDI & Massimo PERI & Daniela VANDONE

  • 2013 Financial Crises, Financialization of Commodity Markets and Correlation of Agricultural Commodity Index with Precious Metal Index and S&P500
    by M.Fatih Oztek & Nadir Ocal

  • 2013 Risk Modelling and Management: An Overview
    by Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral

  • 2013 Ten Things You Should Know About the Dynamic Conditional Correlation Representation
    by Massimiliano Caporin & Michael McAleer

  • 2013 Ten Things You Should Know About DCC
    by Massimiliano Caporin & Michael McAleer

  • 2013 Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
    by Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer

  • 2013 The Effects of Monetary Policy Shocks on a Panel of Stock Market Volatilities: A Factor-Augmented Bayesian VAR Approach
    by Fady Barsoum

  • 2013 Finding a Connection Between Exchange Rates and Fundamentals, How Should We Model Revisions to Forecasting Strategies?
    by Peter H. Sullivan

  • 2013 Agricultural Commodity Price Volatility and Its Macroeconomic Determinants: A GARCH-MIDAS Approach
    by Emiliano Magrini & Ayca Donmez

  • 2013 Foreign exchange customers and dealers: Who’s driving whom?
    by Nikola Gradojevic

  • 2013 Revenues from storage in a competitive electricity market: Empirical evidence from Great Britain
    by Monica Giulietti & Luigi Grossi

  • 2013 ECB monetary policy surprises: identification through cojumps in interest rates
    by Lars winkelmann & Markus Bibinger & Tobias Linzert &

  • 2013 Analysis of Deviance in Generalized Partial Linear Models
    by Wolgang Karl Härdle & Li-Shan Huang & &

  • 2013 State Price Densities implied from weather derivatives
    by Wolfgang Karl Härdle & Brenda López-Cabrera & Huei-Wen Teng &

  • 2013 Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency
    by Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss

  • 2013 Quantitative forward guidance and the predictability of monetary policy - A wavelet based jump detection approach -
    by Lars Winkelmann & & &

  • 2013 Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?
    by Nikolaus Hautsch & Lada M. Kyj & Peter Malec &

  • 2013 Composite Quantile Regression for the Single-Index Model
    by Yan Fan & Wolfgang Karl Härdle & Weining Wang & Lixing Zhu

  • 2013 Inference for Multi-Dimensional High-Frequency Data: Equivalence of Methods, Central Limit Theorems, and an Application to Conditional Independence Testing
    by Markus Bibinger & Per A. Mykland & &

  • 2013 Political Aversion To a Multilateral Fiscal Rule: The Dynamic Commitment Problem in European Fiscal Governance
    by Matthias Bauer

  • 2013 The Number of Traded Shares: A Time Series Modelling Approach
    by Brännäs, Kurt

  • 2013 Textbook Estimators of Multiperiod Optimal Hedging Ratios: Methodological Aspects and Application to the European Wheat Market
    by Gianluca Stefani & Marco Tiberti

  • 2013 The Economic Valuation of Variance Forecasts: An Artificial Option Market Approach
    by Radovan Parrák

  • 2013 Systemic Risk and Home Bias in the Euro Area
    by Niccolò Battistini & Marco Pagano & Saverio Simonelli

  • 2013 Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence
    by Joshua C C Chan & Cody Y L Hsiao

  • 2013 Through the Looking Glass: Indirect Inference via Simple Equilibria
    by Calvet , Laurent & Czellar, Veronika

  • 2013 Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model
    by Banerjee, Anurag N. & Chevillon, Guillaume & Kratz, Marie

  • 2013 Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads
    by Dong Hwan Oh & Andrew J. Patton

  • 2013 Dynamic Copula Models and High Frequency Data
    by Irving Arturo De Lira Salvatierra & Andrew J. Patton

  • 2013 Asymptotic Inference about Predictive Accuracy Using High Frequency Data
    by Jia Li & Andrew J. Patton

  • 2013 Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data
    by Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum

  • 2013 Testing for the Systemically Important Financial Institutions: a Conditional Approach
    by Sessi Tokpavi

  • 2013 A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis
    by Henri Audigé

  • 2013 A wavelet-based copula approach for modeling market risk in agricultural commodity markets
    by RIADH ALOUI & MOHAMED SAFOUANE BEN AISSA & DUC KHUONG NGUYEN

  • 2013 Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns
    by Sucarrat, Genaro & Escribano, Álvaro

  • 2013 The systemic risk of energy markets
    by PIERRET, Diane

  • 2013 Modeling the dependence of conditional correlations on volatility
    by BAUWENS, Luc & otranto, EDOARDO

  • 2013 Testing for multiple bubbles with daily data
    by Uribe Gil, Jorge Mario

  • 2013 Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory
    by Narcisa Kadlcakova & Lubos Komarek & Zlatuse Komarkova & Michal Hlavacek

  • 2013 The Micro Dynamics of Macro Announcements
    by Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe

  • 2013 Explosive Oil Prices
    by Marc Gronwald

  • 2013 Forecasting Exchange Rates: An Investor Perspective
    by Michael Melvin & John Prins & Duncan Shand

  • 2013 Risk Modeling and Management: An Overview
    by Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral

  • 2013 Ten Things You Should Know About the Dynamic Conditional Correlation Representation
    by Massimiliano Caporin & Michael McAleer

  • 2013 Ten Things You Should Know About DCC
    by Massimiliano Caporin & Michael McAleer

  • 2013 Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
    by Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer

  • 2013 On the hook for impaired bank lending: Do sovereign-bank inter-linkages affect the fiscal multiplier?
    by Kelly, Robert & McQuinn, Kieran

  • 2013 Modeling Dynamic Diurnal Patterns in High-Frequency Financial Data
    by Ito, Ryoko

  • 2013 Oil price shocks and volatility do predict stock market regimes
    by Stavros Degiannakis & Timotheos Angelidis & George Filis

  • 2013 Extracting global stochastic trend from non-synchronous data
    by Korhonen, Iikka & Peresetsky, Anatoly

  • 2013 Likelihood inference in non-linear term structure models: the importance of the lower bound
    by Andreasen, Martin & Meldrum, Andrew

  • 2013 Term structure estimation, liquidity-induced heteroskedasticity and the price of liquidity risk
    by Emma Berenguer & Ricardo Gimeno & Juan M. Nave

  • 2013 A Distributional Approach to Realized Volatility
    by Selma Chaker & Nour Meddahi

  • 2013 Volatility Forecasting when the Noise Variance Is Time-Varying
    by Selma Chaker & Nour Meddahi

  • 2013 Volatility and Liquidity Costs
    by Selma Chaker

  • 2013 Are Futures Prices Influenced by Spot;Prices or Vice-versa? An Analysis of Crude;Oil, Natural Gas and Gold Markets
    by Mihaela NICOLAU & Giulio PALOMBA & Ilaria TRAINI

  • 2013 Assessing Measures of Order Flow Toxicity via Perfect Trade Classification
    by Torben G. Andersen & Oleg Bondarenko

  • 2013 Bootstrapping realized volatility and realized beta under a local Gaussianity assumption
    by Ulrich Hounyo

  • 2013 Bootstrapping pre-averaged realized volatility under market microstructure noise
    by Ulrich Hounyo & Sílvia Goncalves & Nour Meddahi

  • 2013 Interest Rates with Long Memory: A Generalized Affine Term-Structure Model
    by Daniela Osterrieder

  • 2013 Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns
    by Sílvia Gonçalves & Ulrich Hounyo & Nour Meddahi

  • 2013 It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model
    by Stefano Grassi & Paolo Santucci de Magistris

  • 2013 Causality between Regional Stock Markets: A Frequency Domain Approach
    by Nikola Gradojević & Eldin Dobardžić

  • 2013 The Application of Data Envelopment Analysis Based Malmquist Total Factor Productivity Index: Empirical Evidence in Turkish Banking Sector
    by Yasemin Keskin Benli & Suleyman Degirmen

  • 2013 Stock Market Volatility and Macroeconomic Fundamentals
    by Robert F. Engle & Eric Ghysels & Bumjean Sohn

  • 2013 Stock Return Co-movement and Systemic Risk in the Turkish Banking System
    by Mahir Binici & Bulent Koksal & Cuneyt Orman

  • 2013 Systemic Risk Analysis of Turkish Financial Institutions with Systemic Expected Shortfall
    by Irem Talasli

  • 2013 Reserve Options Mechanism : A New Macroprudential Tool to Limit the Adverse Effects of Capital Flow Volatility on Exchange Rates
    by Arif Oduncu & Yasin Akcelik & Ergun Ermisoglu

  • 2013 Aplicación del modelo Weibull en el análisis de eventos críticos en precios bursátiles / Weibull Model Application for the Analysis of Critical Events in Stock Prices
    by Mejía Téllez, Juan de la Cruz

  • 2013 Estimation Fractional Integration Parameter and an Application to Major Turkish Financial Time Series
    by Pekkaya, Mehmet

  • 2013 Using news analytics data in GARCH models
    by Sidorov, Sergei & Date, Paresh & Balash, Vladimir

  • 2013 A Long-Run Relationship between Daily Prices on Two Markets: The Bayesian VAR(2)–MSF-SBEKK Model
    by Krzysztof Osiewalski & Jacek Osiewalski

  • 2013 Analýza státních dluhopisů jako indikátoru pro akciový trh
    by Marika Křepelová & Josef Jablonský

  • 2013 Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition?
    by Jozef Barunik

  • 2013 Firm Financial Performance: An Empirical Investigation on Romanian SMEs
    by Ionescu Alexandra & Horga Maria-Gabriela & Nancu Dorinela

  • 2013 A Model To Minimize Multicollinearity Effects
    by Baciu Olivia & Parpucea Ilie & &

  • 2013 Testing The Long Range-Dependence For The Central Eastern European And The Balkans Stock Markets
    by Pece Andreea Maria & Ludusan (Corovei) Emilia Anuta & Mutu Simona &

  • 2013 Use Of The Macroeconomic Models In The Analysis Of The Balance Value
    by Tatiana MANOLE & Sofia SCUTARI (ANGHEL)

  • 2013 Aplicación de bicorrelación cruzada al rendimiento diario del precio del café
    by Coronado Ramírez Semei Leopoldo & Porras Serrano Jesús & Sandoval Bravo Salvador

  • 2013 Herding, Information Cascades and Volatility Spillovers in Futures Markets
    by Michael McAleer & Kim Radalj

  • 2013 Analysis Of The Returns And Volatility Of The Environmental Stock Leaders
    by Viorica Chirila

  • 2013 The Influences of Greed And Fear on Fund Performance
    by Chun An Li & Jia Chi Wang

  • 2013 Estimation And Inference In Predictive Regressions
    by KUROZUMI, EIJI & AONO, KOHEI

  • 2013 Irrational fads, short-term memory emulation, and asset predictability
    by Bekiros, Stelios D.

  • 2013 Nonlinear analysis among crude oil prices, stock markets' return and macroeconomic variables
    by Naifar, Nader & Al Dohaiman, Mohammed Saleh

  • 2013 Fast clustering of GARCH processes via Gaussian mixture models
    by Aielli, Gian Piero & Caporin, Massimiliano

  • 2013 Dynamic relationship between precious metals
    by Sensoy, Ahmet

  • 2013 Is gold a hedge or safe haven against oil price movements?
    by Reboredo, Juan C.

  • 2013 Dynamic stock market covariances in the Eurozone
    by Connor, Gregory & Suurlaht, Anita

  • 2013 Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach
    by Aloui, Riadh & Ben Aïssa, Mohamed Safouane & Nguyen, Duc Khuong

  • 2013 Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs
    by Joslin, Scott & Le, Anh & Singleton, Kenneth J.

  • 2013 Time-series momentum as an intra- and inter-industry effect: Implications for market efficiency
    by Shynkevich, Andrei

  • 2013 Risk contagion in the north-western and southern European stock markets
    by de Araújo, André da Silva & Garcia, Maria Teresa Medeiros

  • 2013 Saving-based asset-pricing
    by Dreyer, Johannes K. & Schneider, Johannes & Smith, William T.

  • 2013 Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration
    by Gębka, Bartosz & Karoglou, Michail

  • 2013 Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas
    by Weiß, Gregor N.F. & Supper, Hendrik

  • 2013 A tale of two regimes: Theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications
    by Chang, Charles & Fuh, Cheng-Der & Lin, Shih-Kuei

  • 2013 On the role of the estimation error in prediction of expected shortfall
    by Lönnbark, Carl

  • 2013 Reject inference in consumer credit scoring with nonignorable missing data
    by Bücker, Michael & van Kampen, Maarten & Krämer, Walter

  • 2013 Portfolio selection: An extreme value approach
    by DiTraglia, Francis J. & Gerlach, Jeffrey R.

  • 2013 On the predictability of stock prices: A case for high and low prices
    by Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo

  • 2013 Forecasting EUR–USD implied volatility: The case of intraday data
    by Dunis, Christian & Kellard, Neil M. & Snaith, Stuart

  • 2013 Long-term bank balance sheet management: Estimation and simulation of risk-factors
    by Birge, John R. & Júdice, Pedro

  • 2013 Dynamic factor Value-at-Risk for large heteroskedastic portfolios
    by Aramonte, Sirio & Giudice Rodriguez, Marius del & Wu, Jason

  • 2013 Pricing inflation products with stochastic volatility and stochastic interest rates
    by Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W.

  • 2013 Impact of volatility estimation method on theoretical option values
    by Borkowski, Bolesław & Krawiec, Monika & Shachmurove, Yochanan

  • 2013 Does order flow in the European Carbon Futures Market reveal information?
    by Kalaitzoglou, Iordanis & Ibrahim, Boulis M.

  • 2013 Performance hypothesis testing with the Sharpe ratio: The case of hedge funds
    by Auer, Benjamin R. & Schuhmacher, Frank

  • 2013 Does the source of oil price shocks matter for South African stock returns? A structural VAR approach
    by Gupta, Rangan & Modise, Mampho P.

  • 2013 Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals
    by Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar

  • 2013 A time-varying copula approach to oil and stock market dependence: The case of transition economies
    by Aloui, Riadh & Hammoudeh, Shawkat & Nguyen, Duc Khuong

  • 2013 Volatility spillover between oil and agricultural commodity markets
    by Nazlioglu, Saban & Erdem, Cumhur & Soytas, Ugur

  • 2013 Do oil prices respond to real interest rates?
    by Arora, Vipin & Tanner, Matthew

  • 2013 Modeling EU allowances and oil market interdependence. Implications for portfolio management
    by Reboredo, Juan C.

  • 2013 Linear-price term structure models
    by Gourieroux, C. & Monfort, A.

  • 2013 Modeling the relationship between European carbon permits and certified emission reductions
    by Koop, Gary & Tole, Lise

  • 2013 Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach
    by Akay, Ozgur (Ozzy) & Senyuz, Zeynep & Yoldas, Emre

  • 2013 Multi-period credit default prediction with time-varying covariates
    by Orth, Walter

  • 2013 Stressing correlations and volatilities — A consistent modeling approach
    by Becker, Christoph & Schmidt, Wolfgang M.

  • 2013 Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices
    by Perron, Pierre & Chun, Sungju & Vodounou, Cosme

  • 2013 Modelling and forecasting government bond spreads in the euro area: A GVAR model
    by Favero, Carlo A.

  • 2013 Monetary policy regimes and the term structure of interest rates
    by Bikbov, Ruslan & Chernov, Mikhail

  • 2013 Analysis of non-stationary dynamics in the financial system
    by Guharay, Samar K. & Thakur, Gaurav S. & Goodman, Fred J. & Rosen, Scott L. & Houser, Daniel

  • 2013 Spurious persistence in stochastic volatility
    by Messow, Philip & Krämer, Walter

  • 2013 A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
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  • 2013 On existence of moment of mean reversion estimator in linear diffusion models
    by Bao, Yong & Ullah, Aman & Zinde-Walsh, Victoria

  • 2013 News impact curve for stochastic volatility models
    by Takahashi, Makoto & Omori, Yasuhiro & Watanabe, Toshiaki

  • 2013 Decomposing abnormal returns in stochastic linear models
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  • 2013 Reexamining the time-varying volatility spillover effects: A Markov switching causality approach
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  • 2013 Forecasting volatility with the realized range in the presence of noise and non-trading
    by Bannouh, Karim & Martens, Martin & van Dijk, Dick

  • 2013 A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management
    by Caporin, Massimiliano & Lisi, Francesco

  • 2013 Dynamic price integration in the global gold market
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  • 2013 Probability of default in collateralized credit operations
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  • 2013 Equity and CDS sector indices: Dynamic models and risk hedging
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  • 2013 Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options
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  • 2013 Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue
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  • 2013 Macro fundamentals as a source of stock market volatility in China: A GARCH-MIDAS approach
    by Girardin, Eric & Joyeux, Roselyne

  • 2013 An automatic bias correction procedure for volatility estimation using extreme values of asset prices
    by Maheswaran, S. & Kumar, Dilip

  • 2013 Open source information, investor attention, and asset pricing
    by Zhang, Wei & Shen, Dehua & Zhang, Yongjie & Xiong, Xiong

  • 2013 On the predictability of realized volatility using feasible GLS
    by Bentes, Sonia R. & Menezes, Rui

  • 2013 Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises
    by Zouheir Mighri & Faysal Mansouri

  • 2013 The Determinants of Stock Market Index: VAR Approach to Turkish Stock Market
    by Esref Savas BASCI & Süleyman Serdar KARACA

  • 2013 Co-movement of Index linked bonds and conventional bonds in France: Subprime crisis and Structural Break, 2003-01, 2012-04
    by Benlagha, N.

  • 2013 The Dynamics and Strength of Linkages between the Stock Markets in the Czech Republic, Hungary and Poland after their EU Accession
    by Malgorzata Doman & Ryszard Doman

  • 2013 Asymmetric impact of innovations on volatility in the case of the US and CEEC-3 markets: EGARCH based approach
    by Joanna Olbrys

  • 2013 Cuantificación del riesgo de incumplimiento en créditos de libre inversión: un ejercicio econométrico para una entidad bancaria del municipio de Popayán, Colombia
    by Fabián Enrique Salazar Villano

  • 2013 Empleo del comportamiento estacional para mejorar el pronóstico de un commodity: el caso del mercado internacional del azúcar
    by Julio César Alonso & Andrés Mauricio Arcila

  • 2013 Forecasting value-at-risk using time varying copulas and EVT return distributions
    by Theo Berger

  • 2013 Dependence structure analysis between stock index futures and spot markets in the case of the “Golden week” effect
    by Lanwenjing Yin & Kanchana Chokethaworn & Chukiat Chaiboonsri

  • 2013 Effects of Horizontal M&As on Trading Volume of Stock Exchanges
    by Burc Ulengin & M. Banu Yobas

  • 2013 An Empirical Evaluation of GARCH Models in Value-at-Risk Estimation: Evidence from the Macedonian Stock Exchange
    by Vesna Bucevska

  • 2013 Monetary policy and financial stability: empirical evidence from Central and Eastern European countries
    by Vasile Cocris & Anca Elena Nucu

  • 2013 The Overnight Currency Swap Rates and ISE Overnight Repo Rates
    by Doruk KUCUKSARAC & Ozgur OZEL

  • 2013 Arbitragem Estatística, Estratégia Long-Short Pairs Trading, Abordagem com Cointegração Aplicada ao Mercado de Ações Brasileiro
    by João F. Caldeira

  • 2013 Analysis Of The Romanian Banks‘ Performance Through Roa, Roe And Non-Performing Loans Models
    by Adela Socol & Adina Elena Danuletiu

  • 2013 Banking Efficiency and European Financial Integration
    by Cândida Ferreira

  • 2012 The Failure of Financial Econometrics: “Stir-Fry” Regressions as an Illustration
    by Moosa, Imad

  • 2012 Evidenţe empirice privind cauzele declinului exportului european
    by Olteanu Dan

  • 2012 Dinamica structurii economiei. Pe ce structuri ne bazăm?
    by Mereuţă Cezar

  • 2012 Pricing Synthetic CDOs Using a Three Regime Random-Factor-Loading Model
    by Messow, Philip

  • 2012 Structural Change and Spurious Persistence in Stochastic Volatility
    by Krämer, Walter & Messow, Philip

  • 2012 Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
    by Kim, Young Shin & Giacometti, Rosella & Rachev, Svetlozar T. & Fabozzi, Frank J. & Mignacca, Domenico

  • 2012 Causal interrelations among market fundamentals: Evidence from the Europen telecommunications sector
    by Agiakloglou, Christos & Gkouvakis, Michalis

  • 2012 Inference for systems of stochastic differential equations from discretely sampled data: A numerical maximum likelihood approach
    by Lux, Thomas

  • 2012 The dynamics of spillover effects during the European sovereign debt turmoil
    by Alter, Adrian & Beyer, Andreas

  • 2012 Multivariate wishart stochastic volatility and changes in regime
    by Gribisch, Bastian

  • 2012 Intra-daily volatility spillovers between the US and German stock markets
    by Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman

  • 2012 Identifying time variability in stock and interest rate dependence
    by Stein, Michael & Islami, Mevlud & Lindemann, Jens

  • 2012 The Meiselman forward interest rate revision regression as an Affine Term Structure Model
    by Adam Golinski & Peter Spencer

  • 2012 Efficient bootstrap with weakly dependent processes
    by Francesco Bravo & Federico Crudu

  • 2012 The Bulgarian Foreign and Domestic Debt – A No-Arbitrage Macrofinancial View
    by Vilimir Yordanov

  • 2012 Continuous Empirical Characteristic Function Estimation of GARCH Models
    by Dinghai Xu

  • 2012 GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study
    by Pierre Chausse & Dinghai Xu

  • 2012 Cointegration Based Trading Strategy For Soft Commodities Market
    by Piotr Arendarski & Łukasz Postek

  • 2012 Tactical allocation in falling stocks: Combining momentum and solvency ratio signals
    by Piotr Arendarski

  • 2012 Backward/forward optimal combination of performance measures for equity screening
    by Monica Billio & Massimiliano Caporin & Michele Costola

  • 2012 Financial press and stock markets in times of crisis
    by Roberto Casarin & Flaminio Squazzoni

  • 2012 On the Predictability of Stock Prices: a Case for High and Low Prices
    by Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo

  • 2012 Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics
    by Audrino, Francesco & Knaus, Simon

  • 2012 Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines
    by Audrino, Francesco & Meier, Pirmin

  • 2012 Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation
    by Corsi, Fulvio & Peluso, Stefano & Audrino, Francesco

  • 2012 Modelling Australia's Retail Mortgage Rate
    by Abbas Valadkhani & Sajid Anwar

  • 2012 The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions
    by D.E. Allen & Abhay K Singh & R. Powell & Michael McAleer & James Taylor & Lyn Thomas

  • 2012 Bayesian semiparametric multivariate GARCH modeling
    by Mark J Jensen & John M Maheu

  • 2012 Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture
    by Mark J Jensen & John M Maheu

  • 2012 Stock Market Asymmetries: A Copula Diffusion
    by Denitsa Stefanova

  • 2012 Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
    by Francisco Blasques & Siem Jan Koopman & Andre Lucas

  • 2012 Aggregating Credit and Market Risk: The Impact of Model Specification
    by Andre Lucas & Bastiaan Verhoef

  • 2012 Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
    by Siem Jan Koopman & Andre Lucas & Marcel Scharth

  • 2012 After Ten Years of the Russian Crisis, How Might IMF Intervention Be Evaluated?
    by Malgorzata Sulimierska

  • 2012 Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns
    by Apostolos Thomadakis

  • 2012 Pricing Synthetic CDOs Using a Three Regime Random-Factor-Loading Model
    by Philip Messow

  • 2012 Structural Change and Spurious Persistence in Stochastic Volatility
    by Walter Krämer & Philip Mess

  • 2012 Multivariate statistical analysis for portfolio selection of italian stock market
    by Alessia Naccarato & Andrea Pierini

  • 2012 Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model
    by Ceylan, Ozcan

  • 2012 The Nexus between Natural Gas Spot and Futures Prices at NYMEX: Do Weather Shocks and Non-Linear Causality in Low Frequencies Matter?
    by Dergiades, Theologos & Madlener, Reinhard & Christofidou, Georgia

  • 2012 Crude Oil Price Shocks and Stock Returns: Evidence from Turkish Stock Market under Global Liquidity Conditions
    by Berk, Istemi & Aydogan, Berna

  • 2012 Bayesian Semiparametric Multivariate GARCH Modeling
    by Mark J. Jensen & John M. Maheu

  • 2012 Do Jumps Contribute to the Dynamics of the Equity Premium?
    by John M. Maheu & Thomas H. McCurdy & Xiaofei Zhao

  • 2012 Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture
    by Mark J. Jensen & John M. Maheu

  • 2012 Market perception of fiscal sustainability: An application to the largest euro area economies
    by Maximiano Pinheiro

  • 2012 Financial Density Selection
    by Marin, J. Miguel & Sucarrat, Genaro

  • 2012 Volatility Spillovers in Emerging Markets During the Global Financial Crisis: Diagonal BEKK Approach
    by Erten, Irem & Tuncel, Murat B. & Okay, Nesrin

  • 2012 أثر تحرير سوق رأس المال على التذبذب في سوق الأسهم السعودي
    by Ghassan, Hassan B. & Alhajhoj, Hassan R.

  • 2012 A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns
    by Bhattacharyya, Malay & Madhav R, Siddarth

  • 2012 The Application of GARCH Methods in Modeling Volatility Using Sector Indices from the Egyptian Exchange
    by Ezzat, Hassan

  • 2012 The Optimal Order Execution Problem within the Framework of a High-Frequency Trading - Sample Model
    by Bławat, Bogusław

  • 2012 Multiperiod Black Litterman Asset Allocation Model
    by Malhotra, Karan

  • 2012 Day of the Week Effect on Turkish Foreign Exchange Market Volatility During the Global Financial Crisis
    by Oral, Ece

  • 2012 Risk Parity Portfolios with Risk Factors
    by Roncalli, Thierry & Weisang, Guillaume

  • 2012 Estimation of long memory in integrated variance
    by Eduardo Rossi & Paolo Santucci de Magistris

  • 2012 Long memory and Periodicity in Intraday Volatility
    by Eduardo Rossi & Dean Fantazzini

  • 2012 Robust inference on parameters via particle filters and sandwich covariance matrices
    by Neil Shephard & Arnaud Doucet

  • 2012 Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices
    by Neil Shephard & Dacheng Xiu

  • 2012 Multivariate Rotated ARCH models
    by Diaa Noureldin & Neil Shephard & Kevin Sheppard

  • 2012 Robust inference on parameters via particle filters and sandwich covariance matrices
    by Arnaud Doucet & Neil Shephard

  • 2012 Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices
    by Neil Shephard & Dacheng Xiu

  • 2012 Multivariate Rotated ARCH Models
    by Diaa Noureldin & Neil Shephard & Kevin Sheppard

  • 2012 Factor Model Forecasts of Exchange Rates
    by Charles Engel & Nelson C. Mark & Kenneth D. West

  • 2012 Econometric Analysis of Present Value Models When the Discount Factor Is near One
    by Kenneth D. West

  • 2012 Continuous-Time Linear Models
    by John H. Cochrane

  • 2012 Parametric Inference and Dynamic State Recovery from Option Panels
    by Torben G. Andersen & Nicola Fusari & Viktor Todorov

  • 2012 On the empirical importance of periodicity in the volatility of financial time series
    by Blazej Mazur & Mateusz Pipien

  • 2012 Measuring and testing for the systemically important financial institutions
    by Carlos Castro & Stijn Ferrari

  • 2012 Alternative Modeling for Long Term Risk
    by Dominique Guegan & Xin Zhao

  • 2012 Integration of China Stock Markets with International Stock Markets: An application of Smooth Transition Conditional Correlation with Double Transition Functions
    by M. Fatih Oztek & Nadir Ocal

  • 2012 Dynamic Stock Market Covariances in the Eurozone
    by Gregory Connor & Anita Suurlaht

  • 2012 The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions
    by David E Allen & Abhay K Singh & Robert J Powell & Michael McAleer & James Taylor & Lyn Thomas

  • 2012 Testing for Predictability in a Noninvertible ARMA Model
    by Markku Lanne & Mika Meitz & Pentti Saikkonen

  • 2012 Inference for Systems of Stochastic Differential Equations from Discretely Sampled data: A Numerical Maximum Likelihood Approach
    by Thomas Lux

  • 2012 Do changes in distance-to-default anticipate changes in the credit rating?
    by Nidhi Aggarwal & Manish Singh & Susan Thomas

  • 2012 Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes
    by Taras Bodnar & Nikolaus Hautsch & &

  • 2012 Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility
    by Peter Reinhard Hansen & Asger Lunde & Valeri Voev

  • 2012 Market Discipline Under A Politicised Multilateral Fiscal Rule - Lessons from the Stability and Growth Pact Debate
    by Matthias Bauer & Martin Zenker

  • 2012 Minor Nuisance Around Foreign Exchange Markets - Lessons from the Stability and Growth Pact Debate
    by Matthias Bauer & Martin Zenker

  • 2012 Asymmetry with respect to the memory in stock market volatilities
    by Lönnbark, Carl

  • 2012 Occurrence of long and short term asymmetry in stock market volatilities
    by Lönnbark, Carl

  • 2012 On the role of the estimation error in prediction of expected shortfall
    by Lönnbark, Carl

  • 2012 Nonparametric prediction of stock returns with generated bond yields
    by Michael Scholz & Stefan Sperlich & Jens Perch Nielsen

  • 2012 Regime Identification in Limit Order Books
    by Rossen Trendafilov & Erick W Rengifo

  • 2012 Volatility Swings in the US Financial Markets
    by Giampiero M. Gallo & Edoardo Otranto

  • 2012 Realized Volatility and Change of Regimes
    by Giampiero M. Gallo & Edoardo Otranto

  • 2012 Return on Investment from Industrial Energy Efficiency: Evidence from Developing Countries
    by Ludovico Alcorta & Morgan Bazilian & Giuseppe De Simone & Ascha Pedersen

  • 2012 Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility
    by Peter Reinhard Hansen & Asger Lunde & Valeri Voev

  • 2012 Modelo de dos factores con dinámica DCC en la evaluación del riesgo de crédito
    by Carlos A. Reyes

  • 2012 A theoretical foundation for the Nelson and Siegel class of yield curve models
    by Leo Krippner

  • 2012 The reaction of stock market returns to anticipated unemployment
    by Taamouti, Abderrahim & Gonzalo, Jesús

  • 2012 Sources of Risk in Currency Returns
    by Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina

  • 2012 Dynamic conditional correlation models for realized covariance matrices
    by BAUWENS, Luc & STORTI, Giuseppe & VIOLANTE, Francesco

  • 2012 Infinite-state Markov-switching for dynamic volatility and correlation models
    by DUFAYS, Arnaud

  • 2012 Computationally efficient inference procedures for vast dimensional realized covariance models
    by BAUWENS, Luc & STORTI, Giuseppe

  • 2012 A Network model of systemic risk: identifying the sources of dependence across institutions
    by Carlos Castro & Juan Sebastian Ordoñez

  • 2012 Tests For Serial Dependence In Static, Non-Gaussian Factor Models
    by Gabriele Fiorentini & Enrique Sentana

  • 2012 Modeling Multivariate Extreme Events Using Self-Exciting Point Processes
    by Oliver Grothe & Volodymyr Korniichuk & Hans Manner

  • 2012 A comparison of Spillover Effects before, during and after the 2008 Financial Crisis
    by Alethea Rea & William Rea & Marco Reale & Carl Scarrott

  • 2012 An empirical comparison of alternative credit default swap pricing models
    by Michele Leonardo Bianchi

  • 2012 Government bond market integration and the EMU: Correlation based evidence
    by Sebastian Missio

  • 2012 Anticipating Long-Term Stock Market Volatility
    by Conrad, Christian & Loch, Karin

  • 2012 On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation
    by Conrad, Christian & Loch, Karin & Rittler, Daniel

  • 2012 A Smooth Transition Long-Memory Model
    by Marcel Aloy & Gilles Dufrénot & Charles Lai Tong & Anne Péguin-Feissolle

  • 2012 Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue
    by Gilles de Truchis

  • 2012 Estimation and Testing for Fractional Cointegration
    by Marcel Aloy & Gilles de Truchis

  • 2012 SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence
    by Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza

  • 2012 Multivariate Variance Targeting in the BEKK-GARCH Model
    by Rasmus Søndergaard Pedersen & Anders Rahbek

  • 2012 The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums
    by Daniela Osterrieder & Peter C. Schotman

  • 2012 Integration of European Bond Markets
    by Charlotte Christiansen

  • 2012 Conditionally-uniform Feasible Grid Search Algorithm
    by Matt P. Dziubinski

  • 2012 Finance at Fields
    by

  • 2012 Determination of bank risk indicators and macroeconomic conditions in Venezuela (1997-2009)
    by Yasmin Briceño Santafé & Giampaolo Orlandoni Merli

  • 2012 The implications of chaos theory on Bucharest stock exchange
    by Felicia Ramona BIRAU

  • 2012 Managing Sovereign Credit Risk In Bond Portfolios1
    by Benjamin Bruder & Pierre Hereil & Thierry Roncalli

  • 2012 The new approaches in econometric research of financial markets. Distributed volatility
    by V. I. Tinyakova

  • 2012 Sudden Changes In Volatility In Central And Eastern Europe Foreign Exchange Markets
    by Todea, Alexandru & Platon, Diana

  • 2012 Perspectives on risk measurement: a critical assessment of PC-GARCH against the main volatility forecasting models
    by Matei, Marius

  • 2012 Optimization of portfolio management based on vector autoregression models and multivariate volatility models
    by Habrov, Vladimir

  • 2012 Market risk valuation modeling for the European countries at the financial crisis of 2008
    by Shcherba, Alexandr

  • 2012 The role of the timeline in Granger causality test in the presence of daily data non-synchronism
    by Grigoryev, Ruslan & Jaffry, Shabbar & Marchenko, German

  • 2012 Investigation of the consequences of ignoring daily data non-synchronism in cross-market linkages: BRIC and developed countries
    by Grigoryev, Ruslan & Jaffry, Shabbar & Marchenko, German

  • 2012 Bootstrap inference about integrated volatility (in Russian)
    by Andrey Rafalson

  • 2012 Missing observations in daily returns - Bayesian inference within the MSF-SBEKK model
    by Krzysztof Osiewalski & Jacek Osiewalski

  • 2012 On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process
    by Błażej Mazur & Mateusz Pipień

  • 2012 Detecting Risk Transfer in Financial Markets using Different Risk Measures
    by Marcin Fałdziński & Magdalena Osińska & Tomasz Zdanowicz

  • 2012 Imbalances in Financial Autonomy at Different Level of Local Government in Romania
    by Gheorghe Matei & Olivia Manole

  • 2012 Global Financial Crisis And Unit-Linked Insurance Markets Efficiency: Empirical Evidence From Central And Eastern European Countries
    by Ciumas Cristina & Chis Diana-Maria & Botos Horia Mircea

  • 2012 Sectoral Risk And Return For Companies In Romania
    by Lala - Popa Ion & Buglea Alexandru & Anis Cecilia & Cican Simona

  • 2012 The Impact Of The Business And Organizational Size Of A Company Along With Gri And Csr Adoption On Integrating Sustainability Reporting Practices
    by Dragu Ioana-Maria & Tiron-Tudor Adriana

  • 2012 Clustering Austrian Banks’ Business Models and Peer Groups in the European Banking Sector
    by Robert Ferstl & David Seres

  • 2012 Continuous-Time Linear Models
    by Cochrane, John H.

  • 2012 Dynamic Models and Structural Estimation in Corporate Finance
    by Strebulaev, Ilya A. & Whited, Toni M.

  • 2012 Risk measurement under extreme events. An in-context methodological review
    by Jorge Uribe & Inés Ulloa

  • 2012 Algunas herramientas matemáticas para la economía y las finanzas: el movimiento Browniano y la integral de Wiener
    by Diego Chamorro

  • 2012 Integration of Key Worldwide Money Market Interest Rates and the Federal Funds Rate: An Empirical Investigation
    by Krishna M. Kasibhatla

  • 2012 Forecasting Financial Statements Using Risk Management Associates Industry Data
    by Terrance Jalbert & James E. Briley & Mercedes Jalbert

  • 2012 Nonparametric Verification of GARCH-Class Models for Selected Polish Exchange Rates and Stock Indices
    by Piotr Fiszeder & Witold Orzeszko

  • 2012 Dynamic Multi-Factor Credit Risk Model with Fat-Tailed Factors
    by Petr Gapko & Martin Smid

  • 2012 Los rendimientos cambiarios latinoamericanos y la (a)simetría de los shocks informacionales: un análisis econométrico
    by Arturo Lorenzo-Valdés & Antonio Ruiz-Porras

  • 2012 Morgan Stanley Capital International Turkiye Endeksinin Yapay Sinir Aglari ile Ongorusu
    by Nuray GUNERI TOSUNOGLU & Yasemin KESKIN BENLI

  • 2012 Estimación del coeficiente de Hurst con wavelets de índices accionarios de Turquía, Indonesia, México y Corea del Sur
    by Stephanie Rendón de la Torre

  • 2012 Time-changed GARCH versus the GARJI model for prediction of extreme news events: An empirical study
    by Kao, Lie-Jane & Wu, Po-Cheng & Lee, Cheng-Few

  • 2012 The term structure of inflation expectations
    by Chernov, Mikhail & Mueller, Philippe

  • 2012 New measures of monetary policy surprises and jumps in interest rates
    by León, Ángel & Sebestyén, Szabolcs

  • 2012 Modeling and measuring intraday overreaction of stock prices
    by Klößner, Stefan & Becker, Martin & Friedmann, Ralph

  • 2012 Performance of technical analysis in growth and small cap segments of the US equity market
    by Shynkevich, Andrei

  • 2012 Credit spread interdependencies of European states and banks during the financial crisis
    by Alter, Adrian & Schüler, Yves S.

  • 2012 Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates
    by Chkili, Walid & Aloui, Chaker & Nguyen, Duc Khuong

  • 2012 Gram–Charlier densities: Maximum likelihood versus the method of moments
    by Del Brio, Esther B. & Perote, Javier

  • 2012 Copula based hierarchical risk aggregation through sample reordering
    by Arbenz, Philipp & Hummel, Christoph & Mainik, Georg

  • 2012 GARCH processes with skewed and leptokurtic innovations: Revisiting the Johnson Su case
    by Simonato, Jean-Guy

  • 2012 Properties of range-based volatility estimators
    by Molnár, Peter

  • 2012 Why do electricity prices jump? Empirical evidence from the Nordic electricity market
    by Hellström, Jörgen & Lundgren, Jens & Yu, Haishan

  • 2012 Measuring contagion between energy market and stock market during financial crisis: A copula approach
    by Wen, Xiaoqian & Wei, Yu & Huang, Dengshi

  • 2012 Choosing an optimal investment strategy: The role of robust pair-copulas based portfolios
    by Mendes, Beatriz Vaz de Melo & Marques, Daniel S.

  • 2012 The roles of news and volatility in stock market correlations during the global financial crisis
    by Mun, Melissa & Brooks, Robert

  • 2012 A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
    by Hoogerheide, Lennart & Opschoor, Anne & van Dijk, Herman K.

  • 2012 Econometric analysis of present value models when the discount factor is near one
    by West, Kenneth D.

  • 2012 The conditional autoregressive Wishart model for multivariate stock market volatility
    by Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman

  • 2012 The simple econometrics of tail dependence
    by van Oordt, Maarten R.C. & Zhou, Chen

  • 2012 Futures basis, inventory and commodity price volatility: An empirical analysis
    by Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese

  • 2012 La medición del riesgo en eventos extremos. Una revisión metodológica en contexto
    by Uribe Gil, Jorge Mario & Ulloa Villegas, Inés Maria

  • 2012 Estimación del riesgo de crédito en empresas del sector real en Colombia
    by Claudia Sepúlveda Rivillas & Walter Reina Gutiérrez & Juan Carlos Gutiérrez Betancur

  • 2012 Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
    by Yacine Aït-Sahalia & Jean Jacod

  • 2012 Corrigendum: Emerging Market Currency Excess Returns
    by Stephen Gilmore & Fumio Hayashi

  • 2012 International Portfolio Allocation under Model Uncertainty
    by Pierpaolo Benigno & Salvatore Nisticò

  • 2011 Arithmetic Operations On Interactive Fuzzy Numbers In Financial Analysis
    by Rebiasz, B.

  • 2011 Testing for monotonicity in expected asset returns
    by Joseph P. Romano & Michael Wolf

  • 2011 Multi-period credit default prediction with time-varying covariates
    by Orth, Walter

  • 2011 On the diversification of portfolios of risky assets
    by Frahm, Gabriel & Wiechers, Christof

  • 2011 The merit of high-frequency data in portfolio allocation
    by Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter

  • 2011 Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution
    by David E. Giles & Hui Feng & Ryan T. Godwin

  • 2011 Volatility Forecasting: Downside Risk, Jumps and Leverage Effect
    by Audrino, Francesco & Hu, Yujia

  • 2011 Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints
    by Fengler, Matthias & Hin, Lin-Yee

  • 2011 Microcredit and poverty. An overview of the principal statistical methods used to measure the program net impacts
    by Orso, Cristina

  • 2011 Measuring Co-Movements of CDS Premia during the Greek Debt Crisis
    by Sergio Andenmatten & Felix Brill

  • 2011 The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures
    by Siem Jan Koopman & Marcel Scharth

  • 2011 Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann
    by Lennart F. Hoogerheide & Francesco Ravazzolo & Herman K. van Dijk

  • 2011 Forecasting Volatility with Copula-Based Time Series Models
    by Oleg Sokolinskiy & Dick van Dijk

  • 2011 Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation?
    by Lennart F. Hoogerheide & David Ardia & Nienke Corre

  • 2011 A Discrete--Delay Dynamic Model for the Stock Market
    by Loretti I. Dobrescu & Mihaela Neamtu & Dumitru Opris

  • 2011 On the Predictability of Stock Prices: a Case for High and Low Prices
    by Massimiliano Caporin & Angelo Ranaldo

  • 2011 Forecasting the Equity Risk Premium: The Role of Technical Indicators
    by Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou

  • 2011 Estimation of Equicorrelated Diffusions from Incomplete Data
    by Robert A. Jones & Mohammad Zanganeh

  • 2011 Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps
    by Diep Duong & Norman R. Swanson

  • 2011 Empirical Evidence on Jumps and Large Fluctuations in Individual Stocks
    by Diep Duong & Norman R. Swanson

  • 2011 Are the Bombay stock Exchange Sectoral indices of Indian stock market cointegrated? Evidence using fractional cointegration test
    by Krishnankutty, Raveesh & Tiwari, Aviral Kumar

  • 2011 Price Discovery and Volatility Spillovers in Indian Spot-Futures Commodity Market
    by P., Srinivasan

  • 2011 Эконометрический Анализ Динамики Российских Паевых Инвестиционных Фондов В Кризисный И Посткризисный Периоды
    by Zaytsev, Alexander

  • 2011 On the Risk-Return Tradeoff in the Stock Exchange of Thailand: New Evidence
    by Jiranyakul, Komain

  • 2011 Modellierung von Aktienkursen im Lichte der Komplexitätsforschung
    by Benjamin Kauper & Karl-Kuno Kunze

  • 2011 Interdependenzen in den Renditen DAX-notierter Unternehmen nach Branchen
    by Jonas Teitge & Andreas Nastansky

  • 2011 Conditional jumps in volatility and their economic determinants
    by Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris

  • 2011 On the Predictability of Stock Prices: A Case for High and Low Prices
    by Massimiliano Caporin & Angelo Ranaldo & Paolo Santucci de Magistris

  • 2011 Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators
    by Gian Piero Aielli & Massimiliano Caporin

  • 2011 Modeling and forecasting realized range volatility
    by Massimiliano Caporin & Gabriel G. Velo

  • 2011 Multivariate High-Frequency-Based Volatility (HEAVY) Models
    by Diaa Noureldin & Neil Shephard & Kevin Sheppard

  • 2011 Multivariate High-Frequency-Based Volatility (HEAVY) Models
    by Diaa Noureldin & Neil Shephard & Kevin Sheppard

  • 2011 A New Modelling Test: The Univariate MT-STAR Model
    by Peter Martey Addo & Monica Billio & Dominique Guegan

  • 2011 A test for a new modelling: The Univariate MT-STAR Model
    by Peter Martey Addo & Monica Billio & Dominique Guegan

  • 2011 European exchange rates volatility and its asymmetrical components during the financial crisis
    by Daniel Stavarek

  • 2011 Marginal Likelihood for Markov-Switching and Change-Point GARCH Models
    by Luc Bauwens & Arnaud Dufays & Jeroen V.K. Rombouts

  • 2011 Foreign exchange rates under Markov Regime switching model
    by Stéphane GOUTTE & Benteng Zou

  • 2011 Credit Spead Interdependencies of European States and Banks during the Financial Crisis
    by Adrian Alter & Yves Stephan Schüler

  • 2011 How Prediction Markets Can Save Event Studies
    by Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric

  • 2011 How Prediction Markets Can Save Event Studies
    by Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric

  • 2011 European integration and banking efficiency: a panel cost frontier approach
    by Cândida Ferreira

  • 2011 Multivariate Stochastic Volatility via Wishart Processes - A Continuation
    by Wolfgang Rinnergschwentner & Gottfried Tappeiner & Janette Walde

  • 2011 Spectral estimation of covolatility from noisy observations using local weights
    by Markus Bibinger & Markus Reiß

  • 2011 Martingale approach in pricing and hedging European options under regime-switching
    by Grigori N. Milstein & Vladimir Spokoiny

  • 2011 Multivariate Volatility Modeling of Electricity Futures
    by Luc Bauwens & Christian M. Hafner & Diane Pierret

  • 2011 The Merit of High-Frequency Data in Portfolio Allocation
    by Nikolaus Hautsch & Lada M. Kyj & Peter Malec

  • 2011 TVICA - Time Varying Independent Component Analysis and Its Application to Financial Data
    by Ray-Bing Chen & Ying Chen & Wolfgang Härdle

  • 2011 An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
    by Markus Bibinger

  • 2011 Asymptotics of Asynchronicity
    by Markus Bibinger

  • 2011 Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
    by Markus Reiß

  • 2011 Extreme value models in a conditional duration intensity framework
    by Rodrigo Herrera & Bernhard Schipp

  • 2011 Estimation and Inference in Predictive Regressions
    by Eiji Kurozumi & Kohei Aono

  • 2011 Bayesian Estimation of Generalized Hyperbolic Skewed Student GARCH Models
    by Deschamps, Philippe J.

  • 2011 Multiplicative Error Models
    by Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo

  • 2011 Regression-based estimation of dynamic asset pricing models
    by Adrian, Tobias & Crump, Richard K. & Moench, Emanuel

  • 2011 Asian financial linkage: macro-finance dissonance
    by Fujiwara, Ippei & Takahashi, Koji

  • 2011 Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility
    by Milan Rippel & Ivo Jánský

  • 2011 Wavelet multiple correlation and cross-correlation: A multiscale analysis of euro zone stock markets
    by Fernández Macho, Francisco Javier

  • 2011 How Prediction Markets can Save Event Studies
    by Erik Snowberg & Justin Wolfers & Eric Zitzewitz

  • 2011 The simple econometrics of tail dependence
    by Maarten R.C. van Oordt & Chen Zhou

  • 2011 Large Deviations of Realized Volatility
    by Shin Kanaya & Taisuke Otsu

  • 2011 The reaction of stock market returns to anticipated unemployment
    by Taamouti, Abderrahim & Gonzalo, Jesús

  • 2011 How Prediction Markets Can Save Event Studies
    by Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric

  • 2011 Volatility models
    by BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien

  • 2011 Estimating and forecasting structural breaks in financial time series
    by BAUWENS, Luc & DUFAYS, Arnaud & DE BACKER, Bruno

  • 2011 Locally stationary volatility modelling
    by VAN BELLEGEM, Sébastien

  • 2011 Marginal likelihood for Markov-switching and change-point GARCH models
    by BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V.K.

  • 2011 Multivariate volatility modeling of electricity futures
    by bauwens, Luc & hafner, Christian & pierret, Diane

  • 2011 Nonparametric Beta kernel estimator for long memory time series
    by BOUEZMARNI, Taoufik & VAN BELLEGEM, Sébastien

  • 2011 Dynamic Correlations, Estimation Risk, And Porfolio Management During The Financial Crisis
    by Luis García-Álvarez & Richard Luger

  • 2011 Marginal Likelihood for Markov-Switching and Change-Point Garch Models
    by Luc Bauwens & Arnaud Dufays & Jeroen Rombouts

  • 2011 How Prediction Markets can Save Event Studies
    by Erik Snowberg & Justin Wolfers & Eric Zitzewitz

  • 2011 The Identification of Price Jumps
    by Jan Hanousek & Evzen Kocenda & Jan Novotny

  • 2011 An overview of CO2 cost pass-through to electricity prices in Europe
    by Boris Solier & Pierre-André Jouvet

  • 2011 Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach
    by Toni Gravelle & Fuchun Li

  • 2011 A Copula-GARCH Model for Macro Asset Allocation of a Portfolio with Commodities: an Out-of-Sample Analysis
    by Luca RICCETTI

  • 2011 Historical financial analogies of the current crisis
    by Julián Andrada-Félix & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero

  • 2011 VPIN and the Flash Crash
    by Torben G. Andersen & Oleg Bondarenko

  • 2011 Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX
    by Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez

  • 2011 Marginal Likelihood for Markov-switching and Change-point Garch Models
    by Luc Luc & Arnaud Dufays & Jeroen V.K. Rombouts

  • 2011 Financial Risk Measurement for Financial Risk Management
    by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold

  • 2011 Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices
    by Rasmus Tangsgaard Varneskov

  • 2011 Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise
    by Rasmus Tangsgaard Varneskov

  • 2011 Financial Valuation And Econometrics
    by Kian Guan Lim

  • 2011 Probability and Finance Theory
    by Kian Guan Lim

  • 2011 THE KELLY CAPITAL GROWTH INVESTMENT CRITERION:Theory and Practice
    by

  • 2011 Testing For Causality In Variance For World Stock Exchange Indexes
    by Malgorzata Madrak-Grochowska & Miroslawa Zurek

  • 2011 Volatility Shifts and Persistence in Variance: Evidence from the Sector Indices of Istanbul Stock Exchange
    by Efe Çağlar Çağli & Pinar Evrim Mandaci & Pinar Hakan Kahyaoğlu

  • 2011 Did the CDS Market Push up Risk Premia for Sovereign Credit?
    by Sergio Andenmatten & Felix Brill

  • 2011 Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data
    by Matei, Marius

  • 2011 Comparison of VaR estimation methods for different forecasting samples for Russian stocks
    by Shcherba, Alexandr

  • 2011 An approach to ratings mapping
    by Aivazian, Sergey & Golovan, Sergey & Karminsky, Alexander & Peresetsky, Anatoly

  • 2011 Estimation of the interdependence of time series of stocks prices based on copula
    by Bronshtein , Efim & Prokudina, Elena & Gerasimova, Anna & Dubinskaya, Ksenya

  • 2011 Copula-Based Price Risk Hedging Models
    by Penikas, Henry

  • 2011 Tunisian and Indian Forex Markets: A Comparision on Forward Rate Unbiased Hypothesis
    by Rohit Vishal Kumar & Dhekra Azouzi

  • 2011 Modeling multivariate parametric densities of financial returns (in Russian)
    by Alexey Balaev

  • 2011 Application of FIGARCH and EWMA Models on Stock Indices PX and BUX
    by Zdeněk Štolc

  • 2011 Comparison of Volatility Models of PX Index and FTSE 100 Index
    by Adam Borovička

  • 2011 Testing For Causality In Variance For World Stock Exchange Indexes
    by Malgorzata Madrak-Grochowska & Miroslawa Zurek

  • 2011 Application of Actuarial Modelling in Insurance Industry
    by Burcã Ana-Maria & Bãtrînca Ghiorghe

  • 2011 Value At Risk - Corporate Risk Measurement
    by Anis Cecilia-Nicoleta & Roth Anne-Marie & Apolzan (Angyal) Carmen-Maria

  • 2011 Experience in Developing Early Warning System for Financial Crises and the Forecast of Russian Banking Sector Dynamic in 2012
    by Solntsev, O. & Mamonov, M. & Pestova, A. & Magomedova, Z.

  • 2011 The Impact Of Short Sale Restrictions On Stock Volatility: Evidence From Taiwan
    by Shih Yung Wei & Jack J. W. Yang

  • 2011 Co-movements of Shanghai and New York stock prices by time-varying regressions
    by Chow, Gregory C. & Liu, Changjiang & Niu, Linlin

  • 2011 Term structure modelling with observable state variables
    by Huse, Cristian

  • 2011 Asymmetric volatility and trading volume: The G5 evidence
    by Sabbaghi, Omid

  • 2011 Volatility spillovers between food and energy markets: A semiparametric approach
    by Serra, Teresa

  • 2011 Particle filters for continuous likelihood evaluation and maximisation
    by Malik, Sheheryar & Pitt, Michael K.

  • 2011 Econometric Model – A Tool in Financial Management
    by Riana Iren RADU

  • 2011 Revisando la hipótesis de los mercados eficientes: nuevos datos, nuevas crisis y nuevas estimaciones
    by Jorge Mario Uribe Gil & Inés María Ulloa Villegas

  • 2011 The impact of the functional characteristics of a credit bureau on the level of indebtedness per capita: Evidence from East European countries
    by Vladimir Simovic & Vojkan Vaskovic & Marko Rankovic & Slobodan Malinic

  • 2011 Emerging Market Currency Excess Returns
    by Stephen Gilmore & Fumio Hayashi

  • 2010 The Extreme-Value Dependence Between the Chinese and Other International Stock Markets
    by David E. Giles

  • 2010 An Empirical Analysis of International Stock Market Volatility Transmission
    by Indika Karunanayake & Valadkhani, Abbas & O'Brien, Martin

  • 2010 A Kernel Technique for Forecasting the Variance-Covariance Matrix
    by Ralf Becker & Adam Clements & Robert O'Neill

  • 2010 Непараметрические Оценки Эффективности Российских Банков
    by Golovan, Sergei & Nazin, Vladimir & Peresetsky, Anatoly

  • 2010 Determinants of capital Structure: comparison of empirical evidence for the use of different estimators
    by tiwari, aviral kumar & krishnankutty, Raveesh

  • 2010 Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test
    by Hiremath, Gourishankar S & Bandi, Kamaiah

  • 2010 A theoretical foundation for the Nelson and Siegel class of yield curve models, and an empirical application to U.S. yield curve dynamics
    by Leo Krippner

  • 2010 Probabilistic Forecasts of Volatility and its Risk Premia
    by Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes & Simone Grose

  • 2010 Model Selection and Testing of Conditional and Stochastic Volatility Models
    by Massimiliano Caporin & Michael McAleer

  • 2010 Does Order Flow in the European Carbon Allowances Market Reveal Information?
    by Iordanis Kalaitzoglou & Boulis Maher Ibrahim

  • 2010 Model Selection and Testing of Conditional and Stochastic Volatility Models
    by Massimiliano Caporin & Michael McAleer

  • 2010 The long-run exchange rate for NOK: a BEER approach
    by Geir E. Alstad

  • 2010 From Moments, Co-Moments and Mean-Variance weights to Copula Portfolio Allocation
    by Luca RICCETTI

  • 2010 Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility
    by Peter R. Hansen & Asger Lunde & Valeri Voev

  • 2010 Modelling asset correlations during the recent FInancial crisis: A semiparametric approach
    by Nektarios Aslanidis & Isabel Casas

  • 2010 Estimation of Stochastic Volatility Models by Nonparametric Filtering
    by Shin Kanaya & Dennis Kristensen

  • 2010 How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
    by Almut E. D. Veraart

  • 2010 DEPENDENCE MODELING:Vine Copula Handbook
    by

  • 2010 Structural Determinants of the Total Loans Volume in the Czech Republic
    by Iveta ŘEPKOVÁ

  • 2010 Behavior of realized volatility and correlation in exchange markets
    by Amir Safari & Detlef Seese

  • 2010 Análisis de volatilidad y correlación entre Estados Unidos y Asia
    by Natàlia Valls Ruiz & Helena Chuliá Soler

  • 2009 Solving Discrete Systems of Nonlinear Equations
    by Gerard van der Laan & Dolf Talman & Zaifu Yang

  • 2009 Testing for long memory in ISE using Arfima-Figarch model and structural break test
    by Korkmaz, Turhan & Cevik, Emrah Ismail & Özataç, Nesrin

  • 2009 An Empirical Time Series Model of Economic Growth and Environment
    by Lal, Amant

  • 2009 On the random walk characteristics of stock returns in India
    by Hiremath, Gourishankar S & Bandi, Kamaiah

  • 2009 A Non-Linear Approach for Completing Missing Values in Temporal Databases
    by Sorjamaa, Antti & Merlin, Paul & Maillet, Bertrand & Lendasse, Amaury

  • 2009 Econometric Analysis of Financial Data in Risk Management
    by Fantazzini , Dean

  • 2009 Credit Risk Management (Cont.)
    by Fantazzini , Dean

  • 2008 Solving Discrete Systems of Nonlinear Equations
    by van der Laan, G. & Talman, A.J.J. & Yang, Z.F.

  • 2008 Credit Risk Management
    by Fantazzini, Dean

  • 2008 Forecasting for the Bank's Asset-Liability Management
    by Penikas, Henry

  • 2008 An Econometric Analysis of Financial Data in Risk Management
    by Fantazzini, Dean

  • 2007 Combinatorial Integer Labeling Thorems on Finite Sets with an Application to Discrete Systems of Nonlinear Equations
    by van der Laan, G. & Talman, A.J.J. & Yang, Z.F.

  • 2007 Combinatorial Integer Labeling Theorems on Finite Sets with an Application to Discrete Systems of Nonlinear Equations
    by Gerard van der Laan & Dolf Talman & Zaifu Yang

  • 2007 Spot Ve Vadeli̇ İşlem Fi̇yatlarinin Varyanslari Arasindaki̇ Nedenselli̇k Testi̇
    by Cevik, Emrah Ismail & Pekkaya, Mehmet

  • 2006 A Discrete Multivariate Mean Value Theorem with Applications
    by Talman, A.J.J. & Yang, Z.F.

  • 2006 Econometric Analysis in the investment projects efficiency evaluation and property valuation theories
    by Smolyak, Sergey

  • 2005 Computing Integral Solutions of Complementarity Problems
    by van der Laan, G. & Talman, A.J.J. & Yang, Z.F.

  • 2005 Solving Discrete Zero Point Problems with Vector Labeling
    by van der Laan, G. & Talman, A.J.J. & Yang, Z.F.

  • 2005 Solving Discrete Zero Point Problems with Vector Labeling
    by Gerard van der Laan & Dolf Talman & Zaifu Yang

  • 2005 Computing Integral Solutions of Complementarity Problems
    by Gerard van der Laan & Dolf Talman & Zaifu Yang

  • 2005 Firma Başarısızlığının Dinamiklerinin Belirlenmesinde Makina Öğrenmesi Teknikleri: Ampirik Uygulamalar ve Karşılaştırmalı Analiz
    by Cakir, Murat

  • 2004 Wage Differentials, Monopsony Labor Markets, and the Trade-Labor Standards Debate
    by C. Shelburne, Robert

  • 2004 Periodic correlation vs. integration and cointegration (Okresowa korelacja a integracja i kointegracja)
    by Ewa Broszkiewicz-Suwaj & Agnieszka Wylomanska

  • 2004 Solving Discrete Zero Point Problems
    by Gerard van der Laan & Dolf Talman & Zaifu Yang

  • 2001 Local Nonparametric Estimation of Scalar Diffusions
    by Moloche, Guillermo

  • 1998 Scaling in currency exchange: A Conditionally Exponential Decay approach
    by Szymon Mercik & Rafal Weron

  • 1998 Origins of the scaling behaviour in the dynamics of financial data
    by Aleksander Weron & Szymon Mercik & Rafal Weron

  • 1998 Asymmetric Volatility Dynamics: Evidence From the Istanbul Stock Exchange
    by Okay, Nesrin

  • 2012-04 Ethics and Quantitative Finance
    by Jason West

  • Restricted Likelihood Ratio Tests in Predictive Regression
    by Peter C.B. Phillips & Ye Chen

  • Price Impact of Aggressive Liquidity Provision
    by Ramazan Gencay & Soheil Mahmoodzadeh & Jakub Rojcek & Michael C Tseng

  • Portfolio Selection with Active Risk Monitoring
    by Marc S. PAOLELLA & Pawel POLAK

  • A Direct and Full-Information Estimation of the Distribution of Skill in the Mutual Fund Industry
    by Angie ANDRIKOGIANNOPOULOU & Filippos PAPAKONSTANTINOU

  • We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics
    by Pierre BAJGROWICZ & Olivier SCAILLET

  • Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections
    by Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis

  • Univariate and Bivariate Volatility in Central European Stock Markets
    by Boţoc Claudiu

  • Dynamic Nexus between Exchange Rate and Stock Prices in the Major East European Economies
    by Dejan Živkov & Jovan Njegić & Vera Mirović

  • This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.