Research classified by Journal of Economic Literature (JEL) codes

0

• Tanweer Akram, 2020, "A Simple Model of the Long-Term Interest Rate," Economics Working Paper Archive, Levy Economics Institute, number wp_951, Apr.
• Tanweer Akram & Syed Al-Helal Uddin, 2020, "An Empirical Analysis of Long-Term Brazilian Interest Rates," Economics Working Paper Archive, Levy Economics Institute, number wp_956, May.
• Tanweer Akram & Huiqing Li, 2020, "Some Empirical Models of Japanese Government Bond Yields Using Daily Data," Economics Working Paper Archive, Levy Economics Institute, number wp_962, Jul.
• Abhishek Subramanian & Parthajit Kayal, 2023, "Application of Volatility-Managed Portfolios in the Context of a Volatility Index," Working Papers, Madras School of Economics,Chennai,India, number 2023-242, Aug.
• Rose Mary K. Abraham, , "Financialisation of Commodity Markets: Evidence from India," Margin-The Journal of Applied Economic Research, National Council of Applied Economic Research, number v:16:y:2022:i:2022-1:p:10, DOI: https://doi.org/10.1177/09738010211.
• Haifeng Guo & Alexandros Kontonikas & Paulo Maio, 0, "Monetary Policy and Corporate Bond Returns," The Review of Asset Pricing Studies, Society for Financial Studies, volume 10, issue 3, pages 441-489.
• Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz, 2011, "What Does Equity Sector Orderflow Tell Us About the Economy?," The Review of Financial Studies, Society for Financial Studies, volume 24, issue 11, pages 3688-3730.
• Masayasu Kanno, 2018, "Bank–insurer–firm tripartite interconnectedness of credit risk exposures in a cross-shareholding network," Risk Management, Palgrave Macmillan, volume 20, issue 4, pages 273-303, November, DOI: 10.1057/s41283-018-0033-4.
• Xu Guo & Cuizhen Niu & Wing-Keung Wong, 2019, "Farinelli and Tibiletti ratio and stochastic dominance," Risk Management, Palgrave Macmillan, volume 21, issue 3, pages 201-213, September, DOI: 10.1057/s41283-019-00050-2.
• Rangan Gupta & Jacobus Nel & Christian Pierdzioch, 2021, "Investor Confidence and Forecastability of US Stock Market Realized Volatility : Evidence from Machine Learning," Working Papers, University of Pretoria, Department of Economics, number 202118, Feb.
• Riza Demirer & Rangan Gupta & Afees A. Salisu & Renee van Eyden, 2021, "Firm-level Business Uncertainty and the Predictability of the Aggregate U.S. Stock Market Volatility during the COVID-19 Pandemic," Working Papers, University of Pretoria, Department of Economics, number 202157, Aug.
• Jimoh S. Ogede & Olukayode E. Maku & Bamidele O. Oshinowo & Mojeed M. Ologundudu, 0, "Trade Openness, FDI and Income Inequality: New Empirical Evidence from Nigeria," ACTA VSFS, University of Finance and Administration, volume 16, issue 1, pages 8-22.
• Edward Glaeser & Wei Huang & Yueran Ma & Andrei Shleifer, , "A Real Estate Boom with Chinese Characteristics," Working Paper, Harvard University OpenScholar, number 456006.
• Faruk Gul & Wolfgang Pesendorfer & Tomasz Strzalecki, , "Coarse Competitive Equilibrium and Extreme Prices," Working Paper, Harvard University OpenScholar, number 8365.
• Olesea Speian & Victoria Ganea & Constantinos Kyriakopoulos, 0, "Yield Curve Construction: A Note on the Moldovan bond market," Bulletin of Applied Economics, Risk Market Journals, volume 9, issue 1, pages 1-9(1).
• Yang ZHANG & Ziang QIU Ziang & Donghyun PARK & Shu TIAN, , "Role of Artificial Intelligence in Finance: Selective Literature Review and Implications for Asia's Financial Stability," Working Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, number wp61, revised Feb 2026.
• Domagoj Hru?ka & Dra?en Milkovi? & Maja Darabo? Longin, 0000, "Asymmetric Information and Underpricing of Initial Public Offerings: Evidence from Croatia," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 11413248.
• Domagoj Hru?ka & Dra?en Milkovi? & Maja Darabo? Longin, 0000, "Initial Public Offerings and Corporate Governance in Croatia," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 11413249.
• Kentaro Kikuchi, , "A Global Joint Pricing Model of Stocks and Bonds Based on the Quadratic Gaussian Approach," Discussion Papers CRR Discussion Paper Series B: Financial, Shiga University, Faculty of Economics,Center for Risk Research, number 18.
• Edward W. Piotrowski & Jan Sladkowski, , "Quantum Market Games," Departmental Working Papers, University of Bialtystok, Department of Theoretical Physics, number 3.
• Kang, Kee-Youn, 2024, "Digital currency and privacy," Theoretical Economics, Econometric Society, volume 19, issue 1, January.
• Duc Hong Vo & Ngoc Phu Tran & Tam Nguyen-Thanh Duong & Michael McAleer, 2019, "Risk analysis of energy in Vietnam," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2019-14, Mar.
• Kevin Huang, , "Valuation and asset pricing in infinite-horizon sequential markets with portfolio constraints," Working Papers, Utah State University, Department of Economics, number 2000-09.
• Kevin Huang, , "On infinite-horizon minimum-cost hedging under cone constraints," Working Papers, Utah State University, Department of Economics, number 2000-22.
• Emine Kaya, 0, "Bank Concentration and Its Impact on Financial Inclusion, Efficiency, and Stability: Evidence from Developing Countries," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 0, issue 0, pages 1-12.
• Nora Lustig, , "The Mexican Peso Crisis: The Foreseeable and the Surprise," Discussion Papers, Brookings Institution International Economics, number 114.
• Reena Aggarwal & James J. Angel, , "The Rise and Fall of the AMEX Emerging Company Marketplace," Working Papers, Georgetown School of Business, number _002.
• James J. Angel, , "Nonstandard-Settlement Transactions," Working Papers, Georgetown School of Business, number _005.
• Michael W. Brandt & Francis X. Diebold & April, , "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 03-15.
• Mordecai Kurz & Andrea Beltratti, , "The Equity Premium is No Puzzle," Working Papers, Stanford University, Department of Economics, number 96004.
• Blake LeBaron, , "Experiments in Evolutionary Finance," Working papers, University of Wisconsin - Madison, number _001.
• Marc Oliver Bettzuege & Thorsten Hens, , "An Evolutionary Approach to Financial Innovation," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 035.
• Thorsten Hens & Joerg Laitenberger & Andreas Loeffler, , "On Uniqueness of Equilibria in the CAPM - (This paper replaces "Existence and Uniqueness of Equilibria in the CAPM")," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 039.
• Thorsten Hens, , "An Extension of Mantel (1976) to Incomplete Markets," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 071.
• Anke Gerber & Marc Oliver Bettz�ge, , "Evolutionary Choice of Markets," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 109.
• Damien Kunjal, 2023, "Does geopolitical risk matter for ETF flows in emerging markets?," Finance, Accounting and Business Analysis, University of National and World Economy, Institute for Economics and Politics, volume 5, issue 2, pages 102-112, December.
• Anis Derradji & Metarref Aouatef, , "The impact of the financial position elements changes on the market capitalization of InsurTech companies: A standard study on a sample of companies operating in the U.S. insurance market using panel models," Review of Socio - Economic Perspectives, Reviewsep, number 202312, DOI: https://doi.org/10.19275/RSEP155.
• V. Filipe Martins-da-Rocha & Frank Riedel, 2008, "On Equilibrium Prices in Continuous Time," Papers, arXiv.org, number 0802.3585, Feb.
• Ashkan Nikeghbali & Eckhard Platen, 2008, "On honest times in financial modeling," Papers, arXiv.org, number 0808.2892, Aug.
• Ivan O. Kitov, 2009, "What is the best firm size to invest?," Papers, arXiv.org, number 0903.0286, Mar.
• Kevin Dowd & John Cotter, 2011, "Exponential Spectral Risk Measures," Papers, arXiv.org, number 1103.5409, Mar.
• John Cotter & Jim Hanly, 2011, "Hedging Effectiveness under Conditions of Asymmetry," Papers, arXiv.org, number 1103.5411, Mar.
• John Cotter, 2011, "Minimum Capital Requirement Calculations for UK Futures," Papers, arXiv.org, number 1103.5416, Mar.
• John Cotter & Simon Stevenson, 2011, "Uncovering Volatility Dynamics in Daily REIT Returns," Papers, arXiv.org, number 1103.5417, Mar.
• John Cotter, 2011, "Varying the VaR for Unconditional and Conditional Environments," Papers, arXiv.org, number 1103.5649, Mar.
• John Cotter, 2011, "Uncovering Long Memory in High Frequency UK Futures," Papers, arXiv.org, number 1103.5651, Mar.
• john cotter, 2011, "Modelling catastrophic risk in international equity markets: An extreme value approach," Papers, arXiv.org, number 1103.5656, Mar.
• John Cotter & Simon Stevenson, 2011, "Multivariate Modeling of Daily REIT Volatility," Papers, arXiv.org, number 1103.5660, Mar.
• John Cotter & Jim Hanly, 2011, "Hedging: Scaling and the Investor Horizon," Papers, arXiv.org, number 1103.5966, Mar.
• John Cotter & Jim Hanly, 2011, "Time Varying Risk Aversion: An Application to Energy Hedging," Papers, arXiv.org, number 1103.5968, Mar.
• Karl Case & John Cotter & Stuart Gabriel, 2011, "Housing risk and return: Evidence from a housing asset-pricing model," Papers, arXiv.org, number 1103.5971, Mar.
• John Cotter & Jim Hanly, 2011, "A Utility Based Approach to Energy Hedging," Papers, arXiv.org, number 1103.5973, Mar.
• Tim Leung & Qingshuo Song & Jie Yang, 2011, "Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing," Papers, arXiv.org, number 1109.5316, Sep, revised Mar 2013.
• John Cotter & Stuart Gabriel & Richard Roll, 2011, "Integration and Contagion in US Housing Markets," Papers, arXiv.org, number 1110.4119, Oct.
• Alexandros Gabrielsen & Massimiliano Marzo & Paolo Zagaglia, 2011, "Measuring market liquidity: An introductory survey," Papers, arXiv.org, number 1112.6169, Dec.
• Caterina Liberati & Massimiliano Marzo & Paolo Zagaglia & Paola Zappa, 2012, "Structural distortions in the Euro interbank market: The role of 'key players' during the recent market turmoil," Papers, arXiv.org, number 1207.5269, Jul.
• John Cotter & Stuart Gabriel & Richard Roll, 2012, "Can Metropolitan Housing Risk be Diversified? A Cautionary Tale from the Recent Boom and Bust," Papers, arXiv.org, number 1208.0371, Aug.
• Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud, 2003, "Multiple time scales in volatility and leverage correlations: An stochastic volatility model," Papers, arXiv.org, number cond-mat/0302095, Feb.
• Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart, 2003, "Fluctuations and response in financial markets: the subtle nature of `random' price changes," Papers, arXiv.org, number cond-mat/0307332, Jul, revised Aug 2003.
• Szilard Pafka & Marc Potters & Imre Kondor, 2004, "Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization," Papers, arXiv.org, number cond-mat/0402573, Feb.
• J. -P. Bouchaud & J. Kockelkoren & M. Potters, 2004, "Random walks, liquidity molasses and critical response in financial markets," Papers, arXiv.org, number cond-mat/0406224, Jun, revised Jun 2004.
• Jean-Philippe Bouchaud & Marc Potters & Jean-Pierre Aguilar, 1997, "Missing Information and Asset Allocation," Papers, arXiv.org, number cond-mat/9707042, Jul.
• J. -P. Bouchaud & N. Sagna & R. Cont & N. El-Karoui & M. Potters, 1997, "Phenomenology of the Interest Rate Curve," Papers, arXiv.org, number cond-mat/9712164, Dec.
• Stefano Galluccio & Jean-Philippe Bouchaud & Marc Potters, 1998, "Rational Decisions, Random Matrices and Spin Glasses," Papers, arXiv.org, number cond-mat/9801209, Jan.
• Kirill N. Ilinski & Alexander S. Stepanenko, 1998, "Electrodynamical model of quasi-efficient financial market," Papers, arXiv.org, number cond-mat/9806138, Jun.
• Nikitas Pittis & Nikolaos Kourogenis & Phoebe Koundouri, , "On the Explaination of Empirical Regularities: The statistical models of stock returns," DEOS Working Papers, Athens University of Economics and Business, number 1220.
• Panagiotis Samartzis & Nikitas Pittis & Nikolaos Kourogenis & Phoebe Koundouri, , "Factor Models of Stock Returns: GARCH Errors versus Autoregressive Betas," DEOS Working Papers, Athens University of Economics and Business, number 1318.
• Carlos Pérez Montes & Jorge E. Galán & María Bru & Julio Gálvez & Alberto García & Carlos González & Samuel Hurtado & Nadia Lavín & Eduardo Pérez Asenjo & Irene Roibás, 2023, "Marco de análisis sistémico del impacto de los riesgos económicos y financieros," Occasional Papers, Banco de España, number 2311, Apr, DOI: https://doi.org/10.53479/29873.
• Oscar Becerra & Luis Fernando Melo, 2008, "Medidas de riesgo financiero usando cópulas: teoría y aplicaciones," Borradores de Economia, Banco de la Republica de Colombia, number 489, Feb, DOI: 10.32468/be.489.
• Dairo Estrada & Javier Gutiérrez Rueda, 2008, "Supervisión y regulación del sistema financiero: Modelos, implicaciones y alcances," Borradores de Economia, Banco de la Republica de Colombia, number 490, Feb, DOI: 10.32468/be.490.
• Luis Fernando Melo Velandia & Joan Camilo Granados Castro, 2010, "Regulación y Valor en Riesgo," Borradores de Economia, Banco de la Republica de Colombia, number 615, Jul, DOI: 10.32468/be.615.
• Martha López P. & Fernando Tenjo G. & Héctor Zárate Solano, 2010, "The Risk-Taking Channel and Monetary Transmission Mechanism in Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 616, Jul, DOI: 10.32468/be.616.
• Jorge Mario Uribe Gil & Miguel Ángel Morales Mosquera & Hernán Piñeros G., 2008, "Análisis de estrés sobre el sistema bancario colombiano: un escenario conjunto de riesgos," Temas de Estabilidad Financiera, Banco de la Republica de Colombia, number 036, Sep, DOI: 10.32468/tef.36.
• Attaullah Shah & Khyber Khan, , "The Relationship between Implied Cost of Equity and Corporate Life Cycle Stages," IMSciences Working Papers, Institute of Management Sciences, Peshawar, Pakistan, number 2017-01.
• Nihad Aliyev & Matteo Aquilina & Khaladdin Rzayev & Sonya Zhu, 2024, "Through stormy seas: how fragile is liquidity across asset classes and time?," BIS Working Papers, Bank for International Settlements, number 1229, Nov.
• Tom Doan, 2025, "RATS programs to replicate Willinger, Taqqu, Teverovsky(1999)," Statistical Software Components, Boston College Department of Economics, number RTZ00167, revised .
• Igor Evstigneev & Dhruv Kapoor, 2007, "Arbitrage in Stationary Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-32, Oct.
• Wael BAHSOUN & Igor V. EVSTIGNEEV & Michael I. TAKSAR, 2008, "Capital growth under transaction costs: An analysis based on the von Neumann-Gale model," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-07, Apr.
• Philippe HUBER & Olivier SCAILLET & Maria-Pia VICTORIA-FESER, 2008, "Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-45, Dec.
• Felix KUBLER & Karl SCHMEDDERS, 2009, "Non-parametric counterfactual analysis in dynamic general equilibrium," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 09-05, Feb.
• Eric Ghysels & Alberto Plazzi & Rossen I. Valkanov, 2011, "Conditional Skewness of Stock Market Returns in Developed and Emerging Markets and its Economic Fundamentals," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-06, Feb.
• Valérie CHAVEZ-DEMOULIN & Paul Embrechts & Sylvain Sardy, 2011, "Extreme-quantile tracking for financial time series," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-27, Jul.
• Tarun CHORDIA & Amit GOYAL & Narasimhan JEGADEESH, 2011, "Buyers Versus Sellers: Who Initiates Trades And When?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-43, Aug.
• Christoph Czichowsky & Martin Schweizer, 2012, "Convex Duality in Mean Variance Hedging Under Convex Trading Constraints," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-24, Jun.
• Kerstin Kehrle & Tatjana Xenia Puhan, 2012, "The Information Content of Option Demand," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-43, Oct.
• Bryan Routledge & Stanley Zin, , "Model Uncertainty and Liquidity," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2001-E17.
• Burton Hollifield & Robert Miller & Patrik Sandas, , "Empirical Analysis of Limit Order Markets," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number -290183991.
• Suleyman Basak & Michael Gallmeyer, , "Capital Market Equilibrium with Differential Taxation," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 1999-E1.
• Harold Zhang, , "Asset Returns and Volume in a Financial Market with Frictions: A Dynamic Analysis," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 31.
• Thierry Foucault & Christine a Parlour, , "Competition for Listings," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business, number 2000-E11.
• BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK, 2006, "Multivariate GARCH models: a survey," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1847, Jan, DOI: 10.1002/jae.842.
• Guonan Ma & Wang Yao, , "Can The Chinese Bond Market Facilitate A Globalizing Renminbi?," GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit, number GRU_2016_011.
• Daisy J. Huang & Charles Ka Yui Leung & Chung-Yi Tse, , "What account for the differences in rent-price ratio and turnover rate? A search-and-matching approach," GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit, number GRU_2016_019.
• Matthew Baron & Björn Hagströmer & Andrei Kirilenko, 2017, "Risk and Return in High-Frequency Trading," GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit, number GRU_2017_018, Dec.
• Charles Ka Yui Leung & Joe Cho Yiu Ng, 2018, "Macro Aspects of Housing," GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit, number GRU_2018_016, Jun.
• Charles Ka Yui LEUNG & Joe Cho Yiu NG, 2018, "Macro Aspects of Housing," ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka, number 1030, May.
• António AFONSO & Ricardo SOUSA, 2010, "Fiscal Policy, Housing and Stock Prices," EcoMod2010, EcoMod, number 259600005, May.
• Boris Maciejovsky & Tarek El-Sehitya & Hans Haumerb & Christian Helmensteinc & Erich Kirchlerd, , "Hindsight Bias and Individual Risk Attitude within the Context of Experimental Asset Markets," Papers on Strategic Interaction, Max Planck Institute of Economics, Strategic Interaction Group, number 2002-16.
• Gerlinde Fellner & Boris Maciejovsky, , "Risk Attitude and Market Behavior: Evidence from Experimental Asset Markets," Papers on Strategic Interaction, Max Planck Institute of Economics, Strategic Interaction Group, number 2002-34.
• Fernando Fernández-Rodríguez & Christian González-Martel* & Simón Sosvilla-Rivero, , "On the profitability of technical trading rules based on arifitial neural networks : evidence from the Madrid stock market," Working Papers, FEDEA, number 99-07.
• Lubos Pastor & Robert F. Stambaugh, , "The Equity Premium and Structural Breaks," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 11-00.
• Thierry Foucalt & Ailsa Roell & Patrik Sandas, , "Imperfect Market Monitoring and SOES Trading," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 15-99.
• James Dow & Gary Gorton, , "Noise Trading, Delegated Portfolio Management, and Economic Welfare," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 19-94.
• Burton Hollifield & Robert A. Miller & patrik Sandas, , "An Empirical Analysis of Limit Order Markets," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 29-99.

None

• Rabindra Joshi, 2012, "Effects of Dividends on Stock Prices in Nepal," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, volume 24, issue 2, pages 61-75, October.
• Will Dobbie & Andres Liberman & Daniel Paravisini & Vikram Pathania, 2018, "Measuring Bias in Consumer Lending," Working Papers, Princeton University, Department of Economics, Industrial Relations Section., number 623, Aug.
• John Cotter & Jim Hanly, None, "Hedging: scaling and the investor horizon," Journal of Risk, Journal of Risk.
• Winfried G. Hallerbach, None, "Decomposing portfolio value-at-risk: a general analysis," Journal of Risk, Journal of Risk.
• Jean-David Fermanian & Olivier Scaillet, None, "Nonparametric estimation of copulas for time series," Journal of Risk, Journal of Risk.
• Stern Liliana V & Stern Michael L., 2008, "Expected Equity Returns and the Demand for Money," The B.E. Journal of Macroeconomics, De Gruyter, volume 8, issue 1, pages 1-29, June, DOI: 10.2202/1935-1690.1592.
• Pinotti Paolo, 2009, "Financial Development and Pay-As-You-Go Social Security," The B.E. Journal of Macroeconomics, De Gruyter, volume 9, issue 1, pages 1-21, March, DOI: 10.2202/1935-1690.1674.
• Zhang Qiang, 2006, "The Spirit of Capitalism and Asset Pricing: An Empirical Investigation," The B.E. Journal of Macroeconomics, De Gruyter, volume 6, issue 3, pages 1-25, November, DOI: 10.2202/1534-5998.1418.
• Martins-Filho Carlos & Yao Feng, 2006, "Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 2, pages 1-43, May, DOI: 10.2202/1558-3708.1304.
• De Jong Cyriel, 2006, "The Nature of Power Spikes: A Regime-Switch Approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 3, pages 1-28, September, DOI: 10.2202/1558-3708.1361.
• Gabriel Vasco J. & Alexandre Fernando & Bação Pedro, 2008, "The Consumption-Wealth Ratio under Asymmetric Adjustment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 4, pages 1-32, December, DOI: 10.2202/1558-3708.1565.
• Pelagatti Matteo M, 2009, "Modelling Good and Bad Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 1, pages 1-20, March, DOI: 10.2202/1558-3708.1595.
• Smith Daniel R, 2009, "Asymmetry in Stochastic Volatility Models: Threshold or Correlation?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 3, pages 1-36, May, DOI: 10.2202/1558-3708.1540.
• Andrada-Félix Julián & Fernadez-Rodriguez Fernando & Garcia-Artiles Maria-Dolores & Sosvilla-Rivero Simon, 2003, "An Empirical Evaluation of Non-Linear Trading Rules," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 7, issue 3, pages 1-32, October, DOI: 10.2202/1558-3708.1160.
• De Luca Giovanni & Gallo Giampiero M., 2004, "Mixture Processes for Financial Intradaily Durations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-20, May, DOI: 10.2202/1558-3708.1223.