Research classified by Journal of Economic Literature (JEL) codes

2020

• Kerim Peren Arin & Guglielmo Maria Caporale & Kyriacos Kyriacou & Nicola Spagnolo, 2020, "Financial Integration in the GCC Region: Market Size Versus National Effects," Open Economies Review, Springer, volume 31, issue 2, pages 309-316, April, DOI: 10.1007/s11079-019-09554-6.
• Michael Curran & Adnan Velic, 2020, "The CAPM, National Stock Market Betas, and Macroeconomic Covariates: a Global Analysis," Open Economies Review, Springer, volume 31, issue 4, pages 787-820, September, DOI: 10.1007/s11079-020-09579-2.
• Antonio Díaz & Francisco Jareño & Eliseo Navarro, 2020, "Yield curves from different bond data sets," Review of Derivatives Research, Springer, volume 23, issue 2, pages 191-226, July, DOI: 10.1007/s11147-019-09162-z.
• Hsiao-Fen Hsiao & Jiang-Chuan Huang & Zheng-Wei Lin, 2020, "Portfolio construction using bootstrapping neural networks: evidence from global stock market," Review of Derivatives Research, Springer, volume 23, issue 3, pages 227-247, October, DOI: 10.1007/s11147-019-09163-y.
• Ruanmin Cao & Lajos Horváth & Zhenya Liu & Yuqian Zhao, 2020, "A study of data-driven momentum and disposition effects in the Chinese stock market by functional data analysis," Review of Quantitative Finance and Accounting, Springer, volume 54, issue 1, pages 335-358, January, DOI: 10.1007/s11156-019-00791-x.
• Monica Hussein & Zhong-guo Zhou & Qi Deng, 2020, "Does risk disclosure in prospectus matter in ChiNext IPOs’ initial underpricing?," Review of Quantitative Finance and Accounting, Springer, volume 54, issue 3, pages 957-979, April, DOI: 10.1007/s11156-019-00812-9.
• Yu-Lun Chen, 2020, "News announcements and price discovery in the RMB–USD market," Review of Quantitative Finance and Accounting, Springer, volume 54, issue 4, pages 1487-1508, May, DOI: 10.1007/s11156-019-00832-5.
• Douglas W. Blackburn & Nusret Cakici, 2020, "Tangible and intangible information in emerging markets," Review of Quantitative Finance and Accounting, Springer, volume 54, issue 4, pages 1509-1527, May, DOI: 10.1007/s11156-019-00833-4.
• Amon Chizema & Wei Jiang & Jing-Ming Kuo & Xiaoqi Song, 2020, "Mutual funds, tunneling and firm performance: evidence from China," Review of Quantitative Finance and Accounting, Springer, volume 55, issue 1, pages 355-387, July, DOI: 10.1007/s11156-019-00846-z.
• Kobana Abukari & Isaac Otchere, 2020, "Has stock exchange demutualization improved market quality? International evidence," Review of Quantitative Finance and Accounting, Springer, volume 55, issue 3, pages 901-934, October, DOI: 10.1007/s11156-019-00863-y.
• Nathan Lael Joseph & Thi Thuy Anh Vo & Asma Mobarek & Sabur Mollah, 2020, "Volatility and asymmetric dependence in Central and East European stock markets," Review of Quantitative Finance and Accounting, Springer, volume 55, issue 4, pages 1241-1303, November, DOI: 10.1007/s11156-020-00874-0.
• Shigeto Kitano & Kenya Takaku, 2020, "Financial Market Incompleteness and International Cooperation on Capital Controls," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University, number DP2020-05, Jan, revised Oct 2021.
• Marek Maciejewski & Agnieszka Głodowska, 2020, "Economic development versus the growing importance of the financial sector: Global insight," International Entrepreneurship Review, Centre for Strategic and International Entrepreneurship at the Cracow University of Economics., volume 6, issue 3, pages 79-92.
• Fernando Toledo, Leonardo Caravaggio, 2020, "Noticias y tensiones cambiarias en Argentina," Económica, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, volume 66, pages 57-81, January-D.
• Diego Lema & Martin Grandes, 2020, "Derivados y Crecimiento Económico: Nexos y Evidencia. El impacto de los derivados financieros en la economía real," Revista Ciencias Administrativas (CADM), IIA, Universidad Nacional de La Plata, Instituto de Investigaciones Administrativas, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, issue 16, pages 45-58, July-Dece, DOI: 10.24215/23143738e065.
• Javier Emmanuel Anguiano Pita & Antonio Ruiz Porras, 2020, "Market dynamics and integration of the financial markets of the NAFTA countries," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 92, pages 67-100, Enero-Jun, DOI: 10.17533/udea.le.n92a03.
• Abir ABID & Christophe RAULT, 2020, "On the Exchange Rates Volatility and Economic Policy Uncertainty Nexus: A Panel VAR Approach for Emerging Markets," LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans, number 2894.
• Joscha Beckmann & Mariarosaria Comunale, 2020, "Exchange rate fluctuations and the financial channel in emerging economies," Bank of Lithuania Working Paper Series, Bank of Lithuania, number 83, Dec.
• Piotr Paradowski & Joanna Wolszczak-Derlacz, 2025, "Inequality, Poverty and Child Benefits: Evidence from a Natural Experiment," LIS Working papers, LIS Cross-National Data Center in Luxembourg, number 799, Mar.
• Walid Mansour, Haykel Hamdi, Jihed Majdoub, Ikrame Ben Slimane, 2020, "Volatility spillover and hedging effectiveness among crude oil and Islamic markets: evidence from the Gulf region," European Journal of Comparative Economics, Cattaneo University (LIUC), volume 17, issue 1, pages 103-126, June.
• Ahmad Alrazni Alshammari, Basheer Altarturi, Buerhan Saiti, Latifah Munassar, 2020, "The impact of exchange rate, oil price and gold price on the Kuwaiti stock market: a wavelet analysis," European Journal of Comparative Economics, Cattaneo University (LIUC), volume 17, issue 1, pages 31-54, June.
• Brahim Gaies, Khaled Guesmi, Thomas Porcher, Raphael Boroumand, 2020, "Financial instability and oil price fluctuations: evidence from oil exporting developing countries," European Journal of Comparative Economics, Cattaneo University (LIUC), volume 17, issue 1, pages 55-71, June.
• Khaled Guesmi, Ilyes Abid, Anna Creti, Zied Ftiti, 2020, "Oil price shocks, equity markets, and contagion effect in OECD countries," European Journal of Comparative Economics, Cattaneo University (LIUC), volume 17, issue 2, pages 155-183, December.
• Sri Mulyani Indrawati & Ndiame Diop & Mohamad Ikhsan & Febrio Kacaribu, 2020, "Enhancing Resilience to Turbulent Global Financial Markets: An Indonesian Experience," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, volume 66, pages 47-63, Juni.
• Kyriakos C. Neanidis & Christos S. Savva, 2020, "Cross-Border Spillovers in Foreign Currency Credit," Economics Discussion Paper Series, Economics, The University of Manchester, number 2002, Apr.
• Gholami, Ahmad & Salimi Soderjani, Ehsan, 2020, "Volatility Spillover of the Exchange Rate and the Global Economy on Iran Stock Market," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 15, issue 3, pages 343-356, July.
• Christos Bouras & Christina Christou & Rangan Gupta & Tahir Suleman, 2020, "Geopolitical Risks, Returns, and Volatility in Emerging Stock Markets: Evidence from a Panel GARCH Model," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 55, issue 8, pages 1841-1856, July, DOI: 10.1080/1540496X.2018.1507906.
• Christian Senga & Danny Cassimon, 2020, "Spillovers in Sub-Saharan Africa’s Sovereign Eurobond Yields," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 56, issue 15, pages 3746-3762, December, DOI: 10.1080/1540496X.2019.1575724.
• Pradita Nareswari & Sigit S. Wibowo, 2020, "Global and Local Commodity Prices: A Further Look at the Indonesian Agricultural Commodities," Capital Markets Review, Malaysian Finance Association, volume 28, issue 1, pages 65-76.
• Leo Julianto & Irwan Adi Ekaputra, 2020, "Max-Effect in the Indonesian Market," Capital Markets Review, Malaysian Finance Association, volume 28, issue 2, pages 19-27.
• Muhammad Hanif & Ariba Sabah, 2020, "Stock Markets’ Integration in Post Financial Crisis Era: Evidence from Literature," Capital Markets Review, Malaysian Finance Association, volume 28, issue 2, pages 43-71.
• Silvia Marchesi & Tania Masi, 2020, "Life after default. Private and Official Deals," Working Papers, University of Milano-Bicocca, Department of Economics, number 431, Feb, revised Feb 2020.
• Christoph E. Boehm & T. Niklas Kroner, 2020, "The US, Economic News, and the Global Financial Cycle," Working Papers, Research Seminar in International Economics, University of Michigan, number 677, Sep.
• Souhaila Guedira & Mohamed Ariff, 2020, "Portfolio Diversification Benefits in Southeast Asian Stock Markets for Turkish Investors," Malaysian Journal of Economic Studies, Faculty of Business and Economics, University of Malaya & Malaysian Economic Association, volume 57, issue 2, pages 275-304, December, DOI: 10.22452/MJES.vol57no2.6.
• Luis García-Feijóo & Benjamin A. Jansen, 2020, "Operating Leverage and Stock Returns: International Evidence," Working Papers, Middle Tennessee State University, Department of Economics and Finance, number 202002, Jan.
• Katarzyna Czech, 2020, "Speculative trading and its effect on the forward premium puzzle: new evidence from Japanese yen market," Bank i Kredyt, Narodowy Bank Polski, volume 51, issue 2, pages 167-188.
• Joanna Adamska-Mieruszewska & Urszula Mrzygłód, 2020, "Foreign listing pricing effects. The case of emerging economies," Bank i Kredyt, Narodowy Bank Polski, volume 51, issue 4, pages 367-382.
• Eugenio M. Cerutti & Maurice Obstfeld & Haonan Zhou, 2020, "Covered Interest Parity Deviations: Macrofinancial Determinants," NBER Chapters, National Bureau of Economic Research, Inc, "NBER International Seminar on Macroeconomics 2020".
• Fernando Broner & Alberto Martin & Lorenzo Pandolfi & Tomas Williams, 2020, "Winners and Losers from Sovereign Debt Inflows," NBER Chapters, National Bureau of Economic Research, Inc, "NBER International Seminar on Macroeconomics 2020".
• Takatoshi Ito & Tomoyoshi Yabu, 2020, "Japanese Foreign Exchange Interventions, 1971-2018: Estimating a Reaction Function Using the Best Proxy," NBER Working Papers, National Bureau of Economic Research, Inc, number 26644, Jan.
• Takatoshi Ito & Kenta Yamada & Misako Takayasu & Hideki Takayasu, 2020, "Execution Risk and Arbitrage Opportunities in the Foreign Exchange Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 26706, Jan.
• Murillo Campello & Gustavo S. Cortes & Fabricio d'Almeida & Gaurav Kankanhalli, 2020, "Exporting Uncertainty: The Impact of Brexit on Corporate America," NBER Working Papers, National Bureau of Economic Research, Inc, number 26714, Jan.
• Todd M. Hazelkorn & Tobias J. Moskowitz & Kaushik Vasudevan, 2020, "Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price," NBER Working Papers, National Bureau of Economic Research, Inc, number 26773, Feb.
• Yi Ding & Wei Xiong & Jinfan Zhang, 2020, "Issuance Overpricing of China’s Corporate Debt Securities," NBER Working Papers, National Bureau of Economic Research, Inc, number 26815, Mar.
• Peter Bednarek & Daniel Marcel te Kaat & Chang Ma & Alessandro Rebucci, 2020, "Capital Flows, Real Estate, and Local Cycles: Evidence from German Cities, Banks, and Firms," NBER Working Papers, National Bureau of Economic Research, Inc, number 26820, Mar.
• Craig Doidge & G. Andrew Karolyi & René M. Stulz, 2020, "The US Equity Valuation Premium, Globalization, and Climate Change Risks," NBER Working Papers, National Bureau of Economic Research, Inc, number 27022, Apr.
• Masahiro Yamada & Takatoshi Ito, 2020, "Price Discovery and Liquidity Recovery: Forex Market Reactions to Macro Announcements," NBER Working Papers, National Bureau of Economic Research, Inc, number 27036, Apr.
• Laura Alfaro & Ester Faia & Ruth A. Judson & Tim Schmidt-Eisenlohr, 2020, "Elusive Safety: The New Geography of Capital Flows and Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 27048, Apr.
• Fabio Ghironi & G. Kemal Ozhan, 2020, "Interest Rate Uncertainty as a Policy Tool," NBER Working Papers, National Bureau of Economic Research, Inc, number 27084, May.
• Richard K. Lyons & Ganesh Viswanath-Natraj, 2020, "What Keeps Stablecoins Stable?," NBER Working Papers, National Bureau of Economic Research, Inc, number 27136, May.
• Craig Burnside & Mario Cerrato & Zhekai Zhang, 2020, "Foreign Exchange Order Flow as a Risk Factor," NBER Working Papers, National Bureau of Economic Research, Inc, number 27199, May.
• Gonzalo Asis & Anusha Chari & Adam Haas, 2020, "In Search of Distress Risk in Emerging Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 27213, May.
• Xin Liu & Shang-Jin Wei & Yifan Zhou, 2020, "A Liberalization Spillover: From Equities to Loans," NBER Working Papers, National Bureau of Economic Research, Inc, number 27305, Jun.
• Sebastian Horn & Carmen M. Reinhart & Christoph Trebesch, 2020, "Coping with Disasters: Two Centuries of International Official Lending," NBER Working Papers, National Bureau of Economic Research, Inc, number 27343, Jun.
• Jules H. van Binsbergen, 2020, "Duration-Based Stock Valuation: Reassessing Stock Market Performance and Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 27367, Jun.
• Mikhail Chernov & Drew D. Creal & Peter Hördahl, 2020, "Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds," NBER Working Papers, National Bureau of Economic Research, Inc, number 27500, Jul.
• Irem Demirci & Miguel A. Ferreira & Pedro Matos & Clemens Sialm, 2020, "How Global is Your Mutual Fund? International Diversification from Multinationals," NBER Working Papers, National Bureau of Economic Research, Inc, number 27648, Aug.
• Anusha Chari & Jennifer S. Rhee, 2020, "The Return to Capital in Capital-Scarce Countries," NBER Working Papers, National Bureau of Economic Research, Inc, number 27675, Aug.
• Zhengyang Jiang & Arvind Krishnamurthy & Hanno Lustig, 2020, "Dollar Safety and the Global Financial Cycle," NBER Working Papers, National Bureau of Economic Research, Inc, number 27682, Aug.
• Julien Acalin & Alessandro Rebucci, 2020, "Global Business and Financial Cycles: A Tale of Two Capital Account Regimes," NBER Working Papers, National Bureau of Economic Research, Inc, number 27739, Aug.
• Fernando Broner & Alberto Martin & Lorenzo Pandolfi & Tomas Williams, 2020, "Winners and Losers from Sovereign Debt Inflows," NBER Working Papers, National Bureau of Economic Research, Inc, number 27772, Sep.
• Tarek Alexander Hassan & Tony Zhang, 2020, "The Economics of Currency Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 27847, Sep.
• Shawn Cole & Martin Melecky & Florian Mölders & Tristan Reed, 2020, "Long-run Returns to Private Equity in Emerging Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 27870, Sep.
• Sofonias Korsaye & Fabio Trojani & Andrea Vedolin, 2020, "The Global Factor Structure of Exchange Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 27892, Oct.
• Anusha Chari & Karlye Dilts Stedman & Christian Lundblad, 2020, "Capital Flows in Risky Times: Risk-on/Risk-off and Emerging Market Tail Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 27927, Oct.
• Viral V. Acharya & Siddharth Vij, 2020, "Foreign Currency Borrowing of Corporations as Carry Trades: Evidence from India," NBER Working Papers, National Bureau of Economic Research, Inc, number 28096, Nov.
• Oleg Itskhoki, 2020, "The Story of the Real Exchange Rate," NBER Working Papers, National Bureau of Economic Research, Inc, number 28225, Dec.
• Mikhail Chernov & Magnus Dahlquist & Lars A. Lochstoer, 2020, "Pricing Currency Risks," NBER Working Papers, National Bureau of Economic Research, Inc, number 28260, Dec.
• Jeremy Fouliard & Michael Howell & Hélène Rey & Vania Stavrakeva, 2020, "Answering the Queen: Machine Learning and Financial Crises," NBER Working Papers, National Bureau of Economic Research, Inc, number 28302, Dec.
• Vadilyev, Alexander A., 2020, "Firms from Financially Developed Economies Do Not Save Less," Critical Finance Review, now publishers, volume 9, issue 1-2, pages 305-351, June, DOI: 10.1561/104.00000085.
• Ludger Schuknecht & Vincent Siegerink, 2020, "The political economy of the G20 agenda on financial regulation," OECD Working Papers on Finance, Insurance and Private Pensions, OECD Publishing, number 47, Aug, DOI: 10.1787/87677ba6-en.
• Rafal Zukowski, 2020, "Time Series Decomposition As A Method Of Measuring Capital Markets Convergence," OLSZTYN ECONOMIC JOURNAL, University of Warmia and Mazury in Olsztyn, Faculty of Economic Sciences, volume 15, issue 2, pages 155-164, August, DOI: https://doi.org/10.31648/oej.5838.
• Mathias Lahnsteiner, 2020, "The refinancing of CESEE banking sectors: What has changed since the global financial crisis?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q1/20, pages 6-19.
• KULCSÁR Edina, 2020, "Comparative Analysis Of Hungarian And Romanian Stock Market Indices In Context Of Covid-19," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 252-263, July.
• Kohnert, Dirk, 2020, "L'impact du Brexit sur l'Afrique en période de crise Corona : le cas de l'Afrique du Sud, du Nigeria, du Ghana et du Kenya," AfricArxiv, Center for Open Science, number qtmc3, Aug, DOI: 10.31219/osf.io/qtmc3.
• Brad M Barber & Yi-Tsung Lee & Yu-Jane Liu & Terrance Odean & Ke Zhang, 2020, "Learning, Fast or Slow," The Review of Asset Pricing Studies, Society for Financial Studies, volume 10, issue 1, pages 61-93.
• Pierluigi Balduzzi & I-Hsuan Ethan Chiang, 2020, "Real Exchange Rates and Currency Risk Premiums," The Review of Asset Pricing Studies, Society for Financial Studies, volume 10, issue 1, pages 94-121.
• Sergei Sarkissian & Yan Wang, 2020, "Cross-Country Competitive Effects of Cross-Listings," The Review of Corporate Finance Studies, Society for Financial Studies, volume 9, issue 1, pages 116-164.
• Stefano Ramelli & Alexander F Wagner, 2020, "Feverish Stock Price Reactions to COVID-19," The Review of Corporate Finance Studies, Society for Financial Studies, volume 9, issue 3, pages 622-655.
• Michael B Devereux & Changhua Yu, 2020, "International Financial Integration and Crisis Contagion," The Review of Economic Studies, Review of Economic Studies Ltd, volume 87, issue 3, pages 1174-1212.
• Silvia Miranda-Agrippino & Hélène Rey, 2020, "U.S. Monetary Policy and the Global Financial Cycle," The Review of Economic Studies, Review of Economic Studies Ltd, volume 87, issue 6, pages 2754-2776.
• Teodor Dyakov & Hao Jiang & Marno Verbeek, 2020, "Trade Less and Exit Overcrowded Markets: Lessons from International Mutual Funds," Review of Finance, European Finance Association, volume 24, issue 3, pages 677-731.
• George Panayotov, 2020, "Global Risks in the Currency Market," Review of Finance, European Finance Association, volume 24, issue 6, pages 1237-1270.
• A Craig Burnside & Jeremy J Graveline, 2020, "On the Asset Market View of Exchange Rates," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 1, pages 239-260.
• Darwin Choi & Zhenyu Gao & Wenxi Jiang, 2020, "Attention to Global Warming," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 3, pages 1112-1145.
• Ambrogio Cesa-Bianchi & M Hashem Pesaran & Alessandro Rebucci & Stijn Van Nieuwerburgh, 2020, "Uncertainty and Economic Activity: A Multicountry Perspective," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 8, pages 3393-3445.
• Iulia Lupu & Adina Criste, 2020, "Aspects of Technological Innovation in Financial Markets," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 983-990, August.
• Iulia Lupu & Adina Criste, 2020, "Issues Regarding Innovative Companies and Their Financing," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 991-996, August.
• Cristi Spulbar & Elena Loredana Minea, 2020, "Critical Conceptual Analysis on Modern Finance Theories," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 1081-1086, December.
• Viorica Chirilă & Ciprian Chirilă, 2020, "Asymmetric Return and Volatility Transmission in Euro Zone and Baltic Countries Stock Markets," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 2-11, December.
• De Jesús Gutiérrez, Raúl, 2020, "¿Ocurrió efecto contagio en los mercados de acciones de América Latina durante la crisis financiera global? || Did the contagion effect occur on the Latin America stock markets during the global financial crisis?," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 29, issue 1, pages 237-258, June.
• Téllez Valle, Cecilia & Martín García, Margarita & Ramón-Jerónimo, María A. & Martín Marín, José Luis, 2020, "Sovereign bond spreads and CDS premia in the Eurozone: A causality analysis || Diferenciales de bonos soberanos y primas de CDS en la zona euro: un análisis de causalidad," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 30, issue 1, pages 58-78, December, DOI: 10.46661/revmetodoscuanteconempresa.
• Lukas Benz & Andrea Jacob & Stefan Paulus & Marco Wilkens, 2020, "Herds on green meadows: the decarbonization of institutional portfolios," Journal of Asset Management, Palgrave Macmillan, volume 21, issue 1, pages 13-31, February, DOI: 10.1057/s41260-019-00147-z.
• Demir Bektić & Britta Hachenberg & Dirk Schiereck, 2020, "Factor-based investing in government bond markets: a survey of the current state of research," Journal of Asset Management, Palgrave Macmillan, volume 21, issue 2, pages 94-105, March, DOI: 10.1057/s41260-020-00156-3.
• Matthias M. M. Buehlmaier & Kit Pong Wong, 2020, "Should investors join the index revolution? Evidence from around the world," Journal of Asset Management, Palgrave Macmillan, volume 21, issue 3, pages 192-218, May, DOI: 10.1057/s41260-020-00162-5.
• Harris Ntantanis & Lawrence Pohlman, 2020, "Market implied GDP," Journal of Asset Management, Palgrave Macmillan, volume 21, issue 7, pages 636-646, December, DOI: 10.1057/s41260-020-00176-z.
• C. Bora Durdu & Alex Martin & Ilknur Zer, 2020, "The Role of US Monetary Policy in Banking Crises Across the World," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, volume 68, issue 1, pages 66-107, March, DOI: 10.1057/s41308-020-00109-1.
• Cristiano Zazzara, 2020, "The new OTC derivatives landscape: (more) transparency, liquidity, and electronic trading," Journal of Banking Regulation, Palgrave Macmillan, volume 21, issue 2, pages 170-187, June, DOI: 10.1057/s41261-019-00105-0.
• Xiaomeng Ma & Dong Zou & Chuanchao Huang & Shuliang Lv, 2020, "China’s growing influence and risk in Asia–Pacific stock markets: evidence from spillover effects and market integration," Risk Management, Palgrave Macmillan, volume 22, issue 4, pages 338-361, December, DOI: 10.1057/s41283-020-00065-0.
• Daniel Felix Ahelegbey & Oyakhilome Wallace Ibhagui, 2020, "Interconnected Deviations from Covered Interest Parity," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 191, Sep.
• Ioannis Chatziantoniou & David Gabauer & Hardik A. Marfatia, 2020, "Dynamic Connectedness And Spillovers Across Sectors: Evidence From The Indian Stock Market," Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group, number 2020-04, Jan.
• Lilian Muchimba & Alexis Stenfors, 2020, "Beyond LIBOR: Money Markets and the Illusion of Representativeness," Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group, number 2020-13, Nov.
• Jean Pierre Fernández Prada Saucedo & Gabriel Rodríguez, 2020, "Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2020-484, DOI: 10.18800/2079-8474.0484.
• Harold Cole & Daniel Neuhann & Guillermo Ordonez, 2020, "Information Spillovers in Sovereign Debt Markets," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 21-011, Nov.
• Manuela Raisova & Martina Regaskova & Kornelia Lazanyi, 2020, "The financial transaction tax: an ANOVA assessment of selected EU countries," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 15, issue 1, pages 29-48, March, DOI: 10.24136/eq.2020.002.
• Lukasz Dopierala & Daria Ilczuk & Liwiusz Wojciechowski, 2020, "Sovereign credit ratings and CDS spreads in Emerging Europe," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 15, issue 3, pages 419-438, September, DOI: 10.24136/eq.2020.019.
• Pedro Pardal & Rui Dias & Petr Suler & Nuno Teixeira & Tomas Krulicky, 2020, "Integration in Central European capital markets in the context of the global COVID-19 pandemic," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 15, issue 4, pages 627-650, December, DOI: 10.24136/eq.2020.027.
• Jana Kotlebova & Peter Arendas & Bozena Chovancova, 2020, "Government expenditures in the support of technological innovations and impact on stock market and real economy: the empirical evidence from the US and Germany," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 15, issue 4, pages 717-734, December, DOI: 10.24136/eq.2020.031.
• Rui Dias & Nuno Teixeira & Veronika Machova & Pedro Pardal & Jakub Horak & Marek Vochozka, 2020, "Random walks and market efficiency tests: evidence on US, Chinese and European capital markets within the context of the global Covid-19 pandemic," Oeconomia Copernicana, Institute of Economic Research, volume 11, issue 4, pages 585-608, December, DOI: 10.24136/oc.2020.024.
• Salahuddin, Sultan & Kashif, Muhammad & Rehman, Mobeen Ur, 2020, "Time Varying Stock Market Integration and Diversification Opportunities within Emerging and Frontier Markets," Public Finance Quarterly, Corvinus University of Budapest, volume 65, issue 2, pages 168-195, DOI: https://doi.org/10.35551/PFQ_2020_2.
• Ekşi, Ibrahim Halil & Doğan, Berna, 2020, "Corruption and Financial Development — Evidence from Eastern Europe and Central Asia Countries," Public Finance Quarterly, Corvinus University of Budapest, volume 65, issue 2, pages 196-209, DOI: https://doi.org/10.35551/PFQ_2020_2.
• Tursoy, Turgut & Berk, Niyazi, 2020, "Discussion of Financial Integration at the Global Market Era," MPRA Paper, University Library of Munich, Germany, number 100115, May.
• Liew, Venus Khim-Sen & Puah, Chin-Hong, 2020, "Chinese stock market sectoral indices performance in the time of novel coronavirus pandemic," MPRA Paper, University Library of Munich, Germany, number 100414, Apr, revised 28 Apr 2020.
• Palanca, Thais & João Ricardo, Costa Filho, 2020, "Frankfurt becomes the new city: impactos macro-financeiros do Brexit na Alemanha
  [Frankfurt becomes the new city: Brexit's macro-financial impacts on Germany]," MPRA Paper, University Library of Munich, Germany, number 100494, May.
• Eleftheriou, Konstantinos & Patsoulis, Patroklos, 2020, "COVID-19 Lockdown Intensity and Stock Market Returns: A Spatial Econometrics Approach," MPRA Paper, University Library of Munich, Germany, number 100662, May.
• Seven, Unal & Yilmaz, Fatih, 2020, "World Equity Markets and COVID-19: Immediate Response and Recovery Prospects," MPRA Paper, University Library of Munich, Germany, number 100987, Jun.
• Rahman, Md. Nafizur & Nower, Nowshin & Abbas, Syed Mahdee & Nahian, Abdullah Hill & Tushar, Md. Raqibul Hasan, 2020, "Introduction of Bond Market: Would it be a possible Solution for Bangladesh?," MPRA Paper, University Library of Munich, Germany, number 101159, May.
• Kohnert, Dirk, 2020, "The impact of Brexit on Africa in times of the Corona Crisis," MPRA Paper, University Library of Munich, Germany, number 101202, Jun.
• Kohnert, Dirk, 2020, "The impact of Brexit on Africa in times of the Corona Crisis," MPRA Paper, University Library of Munich, Germany, number 101240, Jun, revised 19 Jun 2020.
• Sithole, Rumbidzai Praise & Eita, Joel Hinaunye, 2020, "A test of integration between the South African and selected African stock markets," MPRA Paper, University Library of Munich, Germany, number 101301, Jan.
• Hamim, Md. Tanvir, 2020, "R&D Investments and Idiosyncratic Volatility," MPRA Paper, University Library of Munich, Germany, number 101330, Jun.
• Kohnert, Dirk, 2020, "The impact of Brexit on Africa in times of the Corona Crisis," MPRA Paper, University Library of Munich, Germany, number 101351, Jun, revised 25 Jun 2020.
• Mabanga, Chris & Bonga-Bonga, Lumengo, 2020, "The effects of oil prices on equity market returns in BRICS grouping: A quantile-on-quantile approach," MPRA Paper, University Library of Munich, Germany, number 101403, Jun.
• Chen, Yanhua & Li, Youwei & Pantelous, Athanasios & Stanley, Eugene, 2020, "Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach," MPRA Paper, University Library of Munich, Germany, number 101700, May.
• Schär, Fabian, 2020, "Blockchain Forks: A Formal Classification Framework and Persistency Analysis," MPRA Paper, University Library of Munich, Germany, number 101712.
• Rabhi, Ayoub, 2020, "Stock market vulnerability to the Covid-19 pandemic: Evidence from emerging Asian stock markets," MPRA Paper, University Library of Munich, Germany, number 101774, Apr.
• Raghibi, Abdessamad & Oubdi, Lahsen, 2020, "Shari’ah-compliant Stock Screening: A Financial Perspective," MPRA Paper, University Library of Munich, Germany, number 101845, Apr.
• Bhandari, Avishek, 2020, "Long Memory and Correlation Structures of Select Stock Returns Using Novel Wavelet and Fractal Connectivity Networks," MPRA Paper, University Library of Munich, Germany, number 101946, Jun.
• Drousia, Angeliki & Episcopos, Athanasios & Leledakis, George N. & Pyrgiotakis, Emmanuil, 2020, "EU regulation and open market share repurchases: New evidence," MPRA Paper, University Library of Munich, Germany, number 102023, Jun.
• Sanchez, Melissa & Karimi, Matin & Elmalawany, Omar, 2020, "Access to Green Financing: A Case Study of Mexico," MPRA Paper, University Library of Munich, Germany, number 102347, Jan, revised 10 Aug 2020.
• Aslam, Faheem & Aziz, Saqib & Nguyen, Duc Khuong & Mughal, Khurram S. & Khan, Maaz, 2020, "On the Efficiency of Foreign Exchange Markets in times of the COVID-19 Pandemic," MPRA Paper, University Library of Munich, Germany, number 102458, May, revised Jul 2020.
• Hendriks, Johannes Jurgens & Bonga-Bonga, Lumengo, 2020, "Sectoral dependence and contagion in the BRICS grouping: an application of the R-Vine copulas," MPRA Paper, University Library of Munich, Germany, number 102473, Aug.
• Bampinas, Georgios & Panagiotidis, Theodore & Politsidis, Panagiotis, 2020, "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," MPRA Paper, University Library of Munich, Germany, number 102846, Aug.
• Degiannakis, Stavros & Floros, Christos & Salvador, Enrique & Vougas, Dimitrios, 2020, "On the Stationarity of Futures Hedge Ratios," MPRA Paper, University Library of Munich, Germany, number 102907, Aug.
• Bayari, Celal, 2020, "South Korean Economy and the Free Trade Agreement with China," MPRA Paper, University Library of Munich, Germany, number 102938, May, revised 21 Jun 2020.
• neifar, malika, 2020, "Efficient Markets Hypothesis in Canada:‎ a comparative study between Islamic and Conventional stock markets ‎," MPRA Paper, University Library of Munich, Germany, number 103175, Sep.
• Ambrocio, Gene & Gu, Xian & Hasan, Iftekhar & Politsidis, Panagiotis, 2020, "The Diplomacy Discount in Global Syndicated Loans," MPRA Paper, University Library of Munich, Germany, number 103249, Sep.
• Lim, Siok Jin, 2020, "Portfolio diversification opportunities for U.S. Islamic investors with its trading partners when the world catches a cold: A Multivariate-GARCH and wavelet approach," MPRA Paper, University Library of Munich, Germany, number 103295, Oct.
• Ahmed, Rashad, 2020, "Global Flight-to-Safety Shocks," MPRA Paper, University Library of Munich, Germany, number 103501, Oct.
• Shahani, Rakesh & Paliwal, Riya, 2020, "An empirical analysis of the Co-movement of Crude, Gold, Rupee-Dollar Exchange rate and Nifty 50 Stock Index during Sub-prime and Coronavirus crisis periods," MPRA Paper, University Library of Munich, Germany, number 103568, Oct.
• Ambrocio, Gene & Gu, Xian & Hasan, Iftekhar & Politsidis, Panagiotis, 2020, "The Diplomacy Discount in Global Syndicated Loans," MPRA Paper, University Library of Munich, Germany, number 103608, Sep.
• Dobson, Peter, 2020, "ETFs tracking errors on global markets with consideration of regional diversity," MPRA Paper, University Library of Munich, Germany, number 103695, Oct.
• Abba AHmed, Bello, 2020, "Impact of Covid-19 Pandemic on Global Economy," MPRA Paper, University Library of Munich, Germany, number 103753, Oct.
• Nguyen, Duc Khuong & Topaloglou, Nikolas & Walther, Thomas, 2020, "Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach," MPRA Paper, University Library of Munich, Germany, number 103870, Oct.
• Alfazema, Antonio, 2020, "The impacts of the global financial crisis on the real economy, economic policies and academic debates," MPRA Paper, University Library of Munich, Germany, number 104160, Nov, revised 20 Nov 2020.
• Pincheira, Pablo & Hardy, Nicolas, 2020, "The Mean Squared Prediction Error Paradox: A summary," MPRA Paper, University Library of Munich, Germany, number 105020, Dec.
• cianni, victor, 2020, "Pricing (almost) any used goods: a first step towards a theoretical framework," MPRA Paper, University Library of Munich, Germany, number 105053, Dec.
• Pincheira, Pablo & Jarsun, Nabil, 2020, "Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate," MPRA Paper, University Library of Munich, Germany, number 105056, Dec.
• Zhai, Weiyang, 2020, "Financial structure, capital openness and financial crisis," MPRA Paper, University Library of Munich, Germany, number 105457, Dec.
• Drousia, Angeliki & Episcopos, Athanasios & Leledakis, George N. & Pyrgiotakis, Emmanuil, 2020, "EU regulation and open market share repurchases: New evidence," MPRA Paper, University Library of Munich, Germany, number 105683, Jun, revised 31 Jan 2021.
• Kusi, Baah & Agbloyor, Elikplimi & Gyeke-Dako, Agyapomaa & Asongu, Simplice, 2020, "Financial Sector Transparency, Financial Crises and Market Power: A Cross-Country Evidence," MPRA Paper, University Library of Munich, Germany, number 107513, Dec.
• Kohnert, Dirk, 2020, "The impact of Brexit on Africa in times of the Corona Crisis," MPRA Paper, University Library of Munich, Germany, number 107700, Jun, revised 19 Jun 2020.
• Kohnert, Dirk, 2020, "The impact of Brexit on Africa in times of the Corona Crisis," MPRA Paper, University Library of Munich, Germany, number 107745, Jun, revised 14 May 2021.
• Liew, Venus Khim-Sen, 2020, "The effect of novel coronavirus pandemic on tourism share prices," MPRA Paper, University Library of Munich, Germany, number 107985.
• Liew, Venus Khim-Sen, 2020, "Abnormal returns on tourism shares in the Chinese stock exchanges amid COVID-19 pandemic," MPRA Paper, University Library of Munich, Germany, number 107987.
• Ballis, Antonis & Drakos, Konstantinos, 2020, "A Markov Chain Analysis for Capitalization Dynamics in the Cryptocurrency Market," MPRA Paper, University Library of Munich, Germany, number 109329, May.
• Aliyu, Shehu Usman Rano, 2020, "What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?," MPRA Paper, University Library of Munich, Germany, number 110382, Jun, revised 06 Jun 2021.
• Urom, christian & Guesmi, Khaled & abid, ilyes & Dagher, Leila, 2020, "Dynamic integration and transmission channels among interest rates and oil price shocks," MPRA Paper, University Library of Munich, Germany, number 116082.
• Saydaliev, Hayot Berk & Chin, Lee & OSKENBAYEV, Yessengali, 2020, "The Nexus of Remittances, Institutional Quality and Financial Inclusion," MPRA Paper, University Library of Munich, Germany, number 121423.
• Rangoanana, Motena Sefora & Bonga-Bonga, Lumengo, 2020, "Carry trade and capital market returns in South Africa," MPRA Paper, University Library of Munich, Germany, number 98607, Feb.
• Levy, Daniel & Mayer, Tamir & Raviv, Alon, 2020, "Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers," MPRA Paper, University Library of Munich, Germany, number 98785, Feb.
• Younsi, Moheddine & Bechtini, Marwa, 2020, "Développement de l'assurance, dépenses de santé et croissance économique dans les pays de l'OCDE: Nouvelle approche de causalité en panel
  [Insurance Development, Health Expenditure and Economic Growth in the OECD Countries: New insights from a Pan," MPRA Paper, University Library of Munich, Germany, number 99091, Mar.
• Inderst, Georg, 2020, "Social Infrastructure Finance and Institutional Investors. A Global Perspective," MPRA Paper, University Library of Munich, Germany, number 99239, Mar.
• Ozili, Peterson & Arun, Thankom, 2020, "Spillover of COVID-19: Impact on the Global Economy," MPRA Paper, University Library of Munich, Germany, number 99317.
• Ozili, Peterson K, 2020, "Covid-19 pandemic and economic crisis: The Nigerian experience and structural causes," MPRA Paper, University Library of Munich, Germany, number 99424.
• Joseph, Byrne & Sakemoto, Ryuta, 2020, "The Conditional Risk and Return Trade-Off on Currency Portfolios," MPRA Paper, University Library of Munich, Germany, number 99497, Apr.
• Mpoha, Salifya & Bonga-Bonga, Lumengo, 2020, "Assessing the extent of exchange rate risk pricing in equity markets: emerging versus developed economies," MPRA Paper, University Library of Munich, Germany, number 99597, Apr.
• Bhandari, Avishek, 2020, "Long memory and fractality among global equity markets: A multivariate wavelet approach," MPRA Paper, University Library of Munich, Germany, number 99653, Apr.
• Dumitriu, Ramona & Stefanescu, Răzvan, 2020, "Provocări pentru Finanţele Comportamentale în contextul COVID-19
  [Some challenges for the Behavioral Finance in the Context of COVID-19]," MPRA Paper, University Library of Munich, Germany, number 99675, Apr, revised 16 Apr 2020.
• Kerzabi, Zouleykha samiya & Kerzabi, Dounya, 2020, "L’enracinement des dirigeants : cas des entreprises algériennes cotées en bourse (durant la période 2005 – 2017)
  [The rooting of leaders: the case of Algerian listed companies (during the period 2005 – 2017)]," MPRA Paper, University Library of Munich, Germany, number 99716, Mar, revised Apr 2020.
• Tweneboah Senzu, Emmanuel, 2020, "Modern currency exchange rate behaviour and proposed trend-like forecasting model," MPRA Paper, University Library of Munich, Germany, number 99933, May.
• Matteo Bonato & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2020, "A Note on Investor Happiness and the Predictability of Realized Volatility of Gold," Working Papers, University of Pretoria, Department of Economics, number 202004, Jan.
• Matteo Bonato & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2020, "Investor Happiness and Predictability of the Realized Volatility of Oil Price," Working Papers, University of Pretoria, Department of Economics, number 202009, Jan.
• Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2020, "Globalization, Long Memory, and Real Interest Rate Convergence: A Historical Perspective," Working Papers, University of Pretoria, Department of Economics, number 2020106, Dec.
• Elie Bouri & Oguzhan Cepni & Rangan Gupta & Naji Jalkh, 2020, "Geopolitical Risks and Stock Market Volatility in the G7 Countries: A Century of Evidence from a Time-Varying Nonparametric Panel Data Model," Working Papers, University of Pretoria, Department of Economics, number 202029, Apr.
• Oguzhan Cepni & Rangan Gupta & Cenk C. Karahan & Brian M. Lucey, 2020, "Oil Price Shocks and Yield Curve Dynamics in Emerging Markets," Working Papers, University of Pretoria, Department of Economics, number 202036, May.
• Elie Bouri & Oguzhan Cepni & David Gabauer & Rangan Gupta, 2020, "Return Connectedness across Asset Classes around the COVID-19 Outbreak," Working Papers, University of Pretoria, Department of Economics, number 202047, May.
• Riza Demirer & Rangan Gupta & Asli Yuksel & Aydin Yuksel, 2020, "The U.S. Term Structure and Return Volatility in Global REIT Markets," Working Papers, University of Pretoria, Department of Economics, number 202069, Jul.
• Afees A. Salisu & Juncal Cunado & Kazeem Isah & Rangan Gupta, 2020, "Stock Markets and Exchange Rate Behaviour of the BRICS," Working Papers, University of Pretoria, Department of Economics, number 202086, Sep.
• Xolani Sibande & Rangan Gupta & Riza Demirer & Elie Bouri, 2020, "Investor Sentiment and (Anti-)Herding in the Currency Market: Evidence from Twitter Feed Data," Working Papers, University of Pretoria, Department of Economics, number 202088, Sep.
• Elie Bouri & Riza Demirer & Rangan Gupta & Jacobus Nel, 2020, "COVID-19 Pandemic and Investor Herding in International Stock Markets," Working Papers, University of Pretoria, Department of Economics, number 202089, Sep.
• Tomáš Jeøábek, 2020, "The Efficiency of GARCH Models in Realizing Value at Risk Estimates," ACTA VSFS, University of Finance and Administration, volume 14, issue 1, pages 32-50.
• Dušan Staniek, 2020, "Cross-Currency Basis Spread and Its Impact on Corporate Lending Rates in the Czech Banking Sector," Prague Economic Papers, Prague University of Economics and Business, volume 2020, issue 6, pages 688-709, DOI: 10.18267/j.pep.747.
• Peter Árendáš & Božena Chovancová & Ľuboš Pavelka, 2020, "Vplyv nemeckého akciového trhu na akciové trhy krajín V4
  [Influence of German Stock Market on Stock Markets of V4 Countries]," Politická ekonomie, Prague University of Economics and Business, volume 2020, issue 5, pages 554-568, DOI: 10.18267/j.polek.1288.
• Bernardina Algieri & Emiliano Brancaccio & Damiano Buonaguidi, 2020, "Stock market volatility, speculation and unemployment: A Granger-causality analysis," PSL Quarterly Review, Economia civile, volume 73, issue 293, pages 137-160.
• Montoro, Carlos & Ortiz, Marco, 2020, "Information Heterogeneity and the Role of Foreign Exchange Interventions," Working Papers, Banco Central de Reserva del Perú, number 2020-008, Nov.
• Marwan Mohamed Abdeldayem & Saeed Hameed Al Dulaimi, 2020, "Investors’ herd behavior related to the pandemic-risk reflected on the GCC stock markets," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, volume 38, issue 2, pages 563-584.
• Ocampo, José Antonio & Orbegozo, German D. & Villamizar-Villegas, Mauricio, 2020, "Post-graduation from the original sin problem The effects of market participation on sovereign debt markets," Working papers, Red Investigadores de Economía, number 39, Apr.
• Gomez-Gonzalez, Jose Eduardo & Hirs-Garzon, Jorge & Uribe, Jorge M., 2020, "Spillovers beyond the variance: exploring the natural gas and oil higher order risk linkages with the global financial markets," Working papers, Red Investigadores de Economía, number 46, Jun.
• Gomez-Gonzalez, Jose Eduardo & Hirs-Garzon, Jorge, 2020, "Dynamic Spillovers between REITs and Stock Markets in Global Financial Markets," Working papers, Red Investigadores de Economía, number 47, Jun.
• Gomez-Gonzalez, Jose Eduardo & Hirs-Garzon, Jorge & Uribe, Jorge M., 2020, "Global effects of US uncertainty: real and financial shocks on real and financial markets," Working papers, Red Investigadores de Economía, number 69, Oct.
• Fahad Khan & Arief Ramayandi & Marcel Schröder, 2020, "Conditions for Effective Macroprudential Policy Interventions," ADB Economics Working Paper Series, Asian Development Bank, number 609, Feb.
• Donghyun Park & Arief Ramayandi & Shu Tian, 2020, "Debt Buildup and Currency Vulnerability: Evidence from Global Markets," ADB Economics Working Paper Series, Asian Development Bank, number 623, Oct.
• Polina Pogorelova & Anatoly Peresetsky, 2020, "Extracting the global stochastic trend from non-synchronous data on the volatility of financial indices," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 57, pages 53-71.