Research classified by Journal of Economic Literature (JEL) codes

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• Jorge Mario Uribe Gil, 2007, "Caracterización del mercado accionario colombiano, 2001-2006: un análisis comparativo," Borradores de Economia, Banco de la Republica de Colombia, number 456, Sep, DOI: 10.32468/be.456.
• Pedro Felipe Lega & Andrés Murcia & Diego Vásquez & Tatiana Venegas, 2007, "Volatilidad de la tasa de cambio nominal en Colombia y su relación con algunas variables," Borradores de Economia, Banco de la Republica de Colombia, number 473, Dec, DOI: 10.32468/be.473.
• Leonardo Bonilla & Andrés Felipe García & Monica Roa, 2008, "Country risk ratings and financial crises 1995 - 2001: a survival analysis," Borradores de Economia, Banco de la Republica de Colombia, number 499, Mar, DOI: 10.32468/be.499.
• Juan José Echavarría & Diego Vásquez & Mauricio Villamizar, 2009, "Impacto de las Intervenciones Cambiarias sobre el Nivel y la Volatilidad de la Tasa de Cambio en Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 561, Apr, DOI: 10.32468/be.561.
• Andrés Felipe García-Suaza & Jose Eduardo Gómez González, 2011, "A Simple Test of Momentum in Foreign Exchange Markets," Borradores de Economia, Banco de la Republica de Colombia, number 647, Mar, DOI: 10.32468/be.647.
• Art Durnev & Amrita Nain, , "The Unanticipated Effects of Insider Trading Regulation," American Law & Economics Association Annual Meetings, American Law & Economics Association, number 1023.
• Tom Doan, 2025, "RATS programs to replicate Diebold and Yilmaz EJ 2009 spillover calculations," Statistical Software Components, Boston College Department of Economics, number RTZ00044, revised .
• Доц. Д-Р Димитър Ненков Ненков & Зад. Докторант Росица З. Първанова, 0, "За И Против Премиите За Странови Риск На Формиращи Се Капиталови Пазари," ICPA Articles, Institute of Certified Public Accountants, volume 0, issue списание, pages 1-17.
• Mykola Babiak & Jozef Barunik, 2021, "Uncertainty Network Risk and Currency Returns," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp687, Feb.
• Sofia Brito Ramos, 2006, "Why Do Stock Exchanges Demutualize and Go Public?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-10, Mar.
• Camilo Serrano & Martin Hoesli, 2008, "Are Securitized Real Estate Returns more Predictable than Stock Returns?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-27, Sep.
• Martin HOESLI & Kustrim REKA, 2010, "Volatility Spillovers, Asymmetry and Extreme Events in Securitized Real Estate Returns," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 10-40, Sep.
• Eric JONDEAU & Emmanuel JURCZENKO & Michael ROCKINGER, 2010, "Moment Component Analysis: An Illustration with International Stock Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 10-43, Sep.
• 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.
• Magnus DAHLQUIST & Henrik HASSELTOFT, 2011, "International Bond Risk Premia," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-16, Mar.
• Harald Hau, 2012, "The Exchange Rate Effect of Multi-Currency Risk Arbitrage," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-07, Feb.
• Andriy Bodnaruk & Per Östberg, 2012, "The Shareholder Base and Payout Policy," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-11, Feb.
• Andrea Frazzini & Lasse Heje Pedersen, 2012, "Betting Against Beta," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-17, May.
• Ines CHAIEB & Vihang ERRUNZA, 2014, "Exchange Risk and Market Integration," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-10, Feb.
• Ines CHAIEB & Vihang ERRUNZA & Rajna GIBSON BRANDON, 2014, "Integration of Sovereign Bonds Markets: Time Variation and Maturity Effects," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-47, Jul.
• GIOT, Pierre & LAURENT, Sébastien, 2003, "Market risk in commodity markets: a VaR approach," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1682, Jan, DOI: 10.1016/S0140-9883(03)00052-5.
• GIOT, Pierre & LAURENT, Sébastien, 2003, "Value-at-Risk for long and short trading positions," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1707, Jan, DOI: 10.1002/jae.710.
• GIOT, Pierre & LAURENT, Sébastien, 2004, "Modelling daily Value-at-Risk using realized volatility and ARCH type models," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1708, Jan.
• BEINE, Michel & LAURENT, Sébastien & PALM, Franz C., 2009, "Central bank FOREX interventions assessed using realized moments," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2135, Jan, DOI: 10.1016/j.intfin.2007.09.001.
• Roman Kraeussl, , "Do Credit Rating Agencies Add to the Dynamics of Emerging Market Crises," Working Papers, University of Crete, Department of Economics, number 0304.
• Roman Kraeussl, , "Do Changes in Sovereign Credit Ratings Contribute to Financial Contagion in Emerging Market Crises?," Working Papers, University of Crete, Department of Economics, number 0314.
• Roman Kraeussl, , "A Critique on the Proposed Use of External Sovereign Credit Ratings in Basel II," Working Papers, University of Crete, Department of Economics, number 0315.
• Yin-Wong Cheung & Sven Steinkamp & Frank Westermann, , "China’s Capital Flight: Pre- and Post-Crisis Experiences," GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit, number GRU_2016_009.
• Rasmas Fatum & Yohei Yamamoto & Guozhong Zhu, , "Is the Renminbi a safe haven?," GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit, number GRU_2016_018.
• Yin-Wong Cheung & Rasmus Fatum & Yohei Yamamoto, 2017, "The Exchange Rate Effects of Macro News after the Global Financial Crisis," GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit, number GRU_2017_007, May.
• Yin-Wong Cheung & Kenneth K. Chow & Matthew S. Yiu, 2017, "Effects of Capital Flow on the Equity and Housing Markets in Hong Kong," GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit, number GRU_2017_012, Jun.
• Yiyi Dong & Charles Ka Yui Leung, 2017, "Global Financial Integration, Real Estate Security Returns and Financial Crisis," GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit, number GRU_2017_015, Sep.
• Ingomar Krohn & Vladyslav Sushko, 2017, "Liquidity in FX spot and forward markets," GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit, number GRU_2017_019, Dec.
• Lena Kraus & Juergen Beier & Bernhard Herz, 2018, "Sudden stops inside and outside the euro area - what a difference TARGET2 makes," GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit, number GRU_2018_002, May.
• Bertrand Candelon & Laurent Ferrara & Marc Joëts, 2019, "Global financial interconnectedness: A non-linear assessment of the uncertainty channel," GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit, number GRU_2019_001, Jan.
• Yin-Wong Cheung & Robert N McCauley & Chang Shu, 2019, "Geographic spread of currency trading: The renminbi and other EM currencies," GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit, number GRU_2019_011, May.
• Narayan, Paresh Kumar & Liu, Ruipeng, 2015, "A unit root model for trending time-series energy variables," Working Papers, Deakin University, Department of Economics, number fe_2015_05, Jan, DOI: 10.1016/j.eneco.2014.11.021.
• Michael KUEHL, 2008, "Strong Comovements of Exchange Rates: Theoretical and Empirical Cases when Currencies Become the Same Asset," EcoMod2008, EcoMod, number 23800071, Jul.
• Joscha BECKMANN & Ansgar BELKE & Kühl, 2010, "Global Integration of Central and Eastern European Financial Markets - The Role of Economic Sentiments," EcoMod2010, EcoMod, number 259600021, May.
• Burcu ERDOGAN & Guglielmo MARIA CAPORALE & Vladimir KUZIN, 2010, "Testing Stock Market Convergence: A Non-linear Factor Approach," EcoMod2010, EcoMod, number 259600051, May.
• Dayong Zhang & David Dickinson & Marco R. Barassi, 2006, "Structural Breaks, Cointegration and the B Share Discount in Chinese Stock Market," EcoMod2006, EcoMod, number 272100108, Jun.
• Gerlinde Fellner & Boris Maciejovsky, , "The Equity Home Bias: Contrasting An Institutional With A Behavioral Explanation," Papers on Strategic Interaction, Max Planck Institute of Economics, Strategic Interaction Group, number 2003-03.
• Karel Janda & Binyi Zhang, 2019, "Renewable Energy Financial Modelling: A China Case Study," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2019/7, May, revised May 2019.
• Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, , "Technical analysis in the Madrid stock exchange," Working Papers, FEDEA, number 99-05.
• Francisco J. Climent & Vicente Meneu, , "Has 1997 Asian Crisis Increased Information Flows Between International Markets?," Working Papers on International Economics and Finance, FEDEA, number 01-01.
• Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, , "Technical analysis in the Madrid stock exchange," Studies on the Spanish Economy, FEDEA, number 23.
• Nina Boyarchenko & Lars C. Larsen & Paul Whelan, 2020, "The Overnight Drift," Staff Reports, Federal Reserve Bank of New York, number 917, Feb.
• Philippe Mueller & Andreas Stathopoulos & Andrea Vedolin, , "International Correlation Risk," FMG Discussion Papers, Financial Markets Group, number dp716.
• Robert F. Stambaugh, , "Analyzing Investments Whose Histories Differ in Length," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 05-96.
• Pedro Bação & António Portugal Duarte, 2017, "Deflation in the Euro Zone: Overview and Empirical Analysis," CeBER Working Papers, Centre for Business and Economics Research (CeBER), University of Coimbra, number 2017-12, Dec.
• Francisca Silva & Marta Simões & João Sousa Andrade, 2018, "Health Investment and Long run Macroeconomic Performance:a quantile regression approach," CeBER Working Papers, Centre for Business and Economics Research (CeBER), University of Coimbra, number 2018-01, Jan.
• Pedro Bação & António Portugal Duarte & Hélder Sebastião & Srdjan Redzepagic, 2018, "Information Transmission Between Cryptocurrencies: Does Bitcoin Rule the Cryptocurrency World?," CeBER Working Papers, Centre for Business and Economics Research (CeBER), University of Coimbra, number 2018-06, Jun.
• Francesco Guidi & Rakesh Gupta, , "2012-14 Forecasting volatility of the ASEAN-5 stock markets: a nonlinear approach with non-normal errors," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201214.
• Tomas Williams & Nathan Converse & Eduardo Levy-Yeyati, 2018, "How ETFs Amplify the Global Financial Cycle in Emerging Markets," Working Papers, The George Washington University, Institute for International Economic Policy, number 2018-1, Jan, revised Sep 2018.
• Carlo Favero & Alessandra Bonfiglioli, , "Measuring Co-movements Between US and European Stock Markets," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 165.
• Laura Bottazzi & Marco Da Rin, , "Europe’s ‘New’ Stock Markets," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 218.
• Dirk G. Baur & Thomas K. McDermott, , "Is gold a safe haven? International evidence," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp310.
• Gerard Caprio, Jr, , "Safe and Sound Banking: A Role for Countercyclical Regulatory Requirements?," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp311.
• Shoka Hayaki, 2020, "Time-Varying Risk Attitude and Behavioral Asset Pricing," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University, number DP2020-33, Dec.
• Eric Hillebrand & Gunther Schnabl, 2003, "The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection," Departmental Working Papers, Department of Economics, Louisiana State University, number 2003-09, Sep.
• Parthajit Kayal & Janani Sri SG, 2020, "Going Beyond Gold: Can Equities be Safe-Haven?," Working Papers, Madras School of Economics,Chennai,India, number 2020-203, Sep.
• Ishani Chaudhuri & Parthajit Kayal, 2022, "Predicting Power of Ticker Search Volume in Indian Stock Market," Working Papers, Madras School of Economics,Chennai,India, number 2022-214, Feb.
• Malvika Saraf & Parthajit Kayal, 2022, "How Much Does Volatility Influence Stock Market Returns? – Empirical Evidence from India," Working Papers, Madras School of Economics,Chennai,India, number 2022-215, Feb.
• Thillaikkoothan Palanichamy & Parthajit Kayal, 2022, "Multiple Dimensions of Cyclicality in Investing," Working Papers, Madras School of Economics,Chennai,India, number 2022-216, Feb.

None

• Tommaso Trani, 2013, "Country Portfolios with Heterogeneous Pledgeability," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 02/13, Feb.
• C.J.M. Kool, 2006, "An Analysis of Financial Stability Indicators in European Banking: The Role of Common Factors," Working Papers, Utrecht School of Economics, number 06-12, Dec.
• C.J.M. Kool, 2006, "Financial Stability in European Banking: The Role of Common Factors," Working Papers, Utrecht School of Economics, number 06-13, Jun.
• M. Hadzi-Vaskov & C.J.M. Kool, 2006, "The Importance of Interest Rate Volatility in Empirical Tests of Uncovered Interest Parity," Working Papers, Utrecht School of Economics, number 06-16.
• M. Hadzi-Vaskov & C.J.M. Kool, 2007, "Stochastic Discount Factor Approach to International Risk-Sharing: Evidence from Fixed Exchange Rate Episodes," Working Papers, Utrecht School of Economics, number 07-33.
• M. Hadzi-Vaskov & C.J.M. Kool, 2007, "Stochastic Discount Factor Approach to International Risk-Sharing:A Robustness Check of the Bilateral Setting," Working Papers, Utrecht School of Economics, number 07-34.
• J. Piplack, 2009, "Estimating and Forecasting Asset Volatility and Its Volatility: A Markov-Switching Range Model," Working Papers, Utrecht School of Economics, number 09-08, May.
• J. Piplack & S. Straetmans, 2009, "Comovements of Different Asset Classes During Market Stress," Working Papers, Utrecht School of Economics, number 09-09, May.
• J. Piplack & M. Beine & B. Candelon, 2009, "Comovements of Returns and Volatility in International Stock Markets: A High-Frequency Approach," Working Papers, Utrecht School of Economics, number 09-10.
• L. Spierdijk & J.A. Bikker & P. van den Hoek, 2010, "Mean Reversion in International Stock Markets: An Empirical Analysis of the 20th Century," Working Papers, Utrecht School of Economics, number 10-07.
• N. Holinski & C.J.M. Kool & J. Muysken, 2011, "The Impact of International Portfolio Composition on Consumption Risk Sharing," Working Papers, Utrecht School of Economics, number 11-20.
• M.I. Dröes & H Garretsen & W.J.J. Manshanden, 2012, "The Diversification Benefits of Free Trade in House Value," Working Papers, Utrecht School of Economics, number 12-03.
• David Michayluk & Laurie Prather & Li-Anne E. Woo & Henry Y. K. Yip, 2009, "What Do Options Have to Do With It?: Inclusion of Options Market Indicators in Bid-ask Spread Decomposition," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2009-1, Jan.
• Mingyu Chen, 2019, "The Value of U.S. College Education in Global Labor Markets: Experimental Evidence from China," Working Papers, Princeton University, Department of Economics, Industrial Relations Section., number 627, Apr.
• Filippo Curti & Marco Migueis, None, "The information value of past losses in operational risk," Journal of Operational Risk, Journal of Operational Risk.
• John Cotter & Jim Hanly, None, "Hedging: scaling and the investor horizon," Journal of Risk, Journal of Risk.
• Timotheos Angelidis & Stavros Degiannakis, None, "Backtesting VaR models:a two-stage procedure," Journal of Risk Model Validation, Journal of Risk Model Validation.
• Aysun Uluc, 2011, "An Alternative Method for Measuring Financial Frictions," The B.E. Journal of Macroeconomics, De Gruyter, volume 11, issue 1, pages 1-31, April, DOI: 10.2202/1935-1690.2182.
• Berkel Barbara, 2007, "Institutional Determinants of International Equity Portfolios - A Country-Level Analysis," The B.E. Journal of Macroeconomics, De Gruyter, volume 7, issue 1, pages 1-33, October, DOI: 10.2202/1935-1690.1388.
• Carlson Mark & Hale Galina B, 2006, "Rating Agencies and Sovereign Debt Rollover," The B.E. Journal of Macroeconomics, De Gruyter, volume 6, issue 2, pages 1-32, September, DOI: 10.2202/1534-5998.1375.
• Kaufmann Sylvia & Scheicher Martin, 2006, "A Switching ARCH Model for the German DAX Index," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 4, pages 1-37, December, DOI: 10.2202/1558-3708.1290.
• Sun Wei & Rachev Svetlozar & Stoyanov Stoyan V. & Fabozzi Frank J., 2008, "Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 2, pages 1-37, May, DOI: 10.2202/1558-3708.1572.
• Laakkonen Helinä & Lanne Markku, 2009, "Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 1, pages 1-38, December, DOI: 10.2202/1558-3708.1637.
• Olmo Jose & Pouliot William, 2011, "Early Detection Techniques for Market Risk Failure," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 4, pages 1-55, September, DOI: 10.2202/1558-3708.1800.
• Brännäs Kurt & De Gooijer Jan G. & Lönnbark Carl & Soultanaeva Albina, 2012, "Simultaneity and Asymmetry of Returns and Volatilities: The Emerging Baltic States' Stock Exchanges," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 16, issue 1, pages 1-24, January, DOI: 10.1515/1558-3708.1855.
• Chung Y. Peter & Zhou Zhong-guo, 2012, "The Pricing of Time-Varying Exchange Rate Risk in the Stock Market: A Nonparametric Approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 16, issue 1, pages 1-33, January, DOI: 10.1515/1558-3708.1634.
• Kim Sangbae & In Francis Haeuck, 2003, "The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 7, issue 4, pages 1-18, December, DOI: 10.2202/1558-3708.1183.
• Berument Hakan & Akdi Yilmaz & Atakan Cemal, 2005, "An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 3, pages 1-14, September, DOI: 10.2202/1558-3708.1229.
• Fernandez Viviana P, 2005, "The International CAPM and a Wavelet-Based Decomposition of Value at Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 4, pages 1-37, December, DOI: 10.2202/1558-3708.1328.