Research classified by Journal of Economic Literature (JEL) codes

2020

• John B. Guerard Jr. & Harry Markowitza & GanLin Xu, 2020, "Earnings forecasting in a global stock selection model and efficient portfolio construction and management," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, in: John B Guerard & William T Ziemba, "HANDBOOK OF APPLIED INVESTMENT RESEARCH".
• Bijan Beheshti & John B. Guerard Jr. & Chris Mercs, 2020, "Truly Active Management Requires a Commitment to Excellence: Portfolio Construction and Management with FactSet," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, in: John B Guerard & William T Ziemba, "HANDBOOK OF APPLIED INVESTMENT RESEARCH".
• Brian Bruce & Douglas Stark, 2020, "The Hillcrest Management Sentiment Indicator," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: John B Guerard & William T Ziemba, "HANDBOOK OF APPLIED INVESTMENT RESEARCH".
• William T. Ziemba, 2020, "Seasonality Effects In Japanese Futures Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, in: John B Guerard & William T Ziemba, "HANDBOOK OF APPLIED INVESTMENT RESEARCH".
• Constantine Dzhabarov & William T. Ziemba, 2020, "Sell-in-May-and-Go-Away in the U.S. Equity Index Futures Markets, 1993–2019," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: John B Guerard & William T Ziemba, "HANDBOOK OF APPLIED INVESTMENT RESEARCH".
• William T. Ziemba, 2020, "Japanese security market regularities: Monthly, turn-of-the-month and year, holiday and golden week effects," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 11, in: John B Guerard & William T Ziemba, "HANDBOOK OF APPLIED INVESTMENT RESEARCH".
• William T. Ziemba, 2020, "World wide security market regularities," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, in: John B Guerard & William T Ziemba, "HANDBOOK OF APPLIED INVESTMENT RESEARCH".
• Constantine Dzhabarov & Alexandre Ziegler & William T. Ziemba, 2020, "Sell-in-May-and-Go-Away: The International Evidence," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 13, in: John B Guerard & William T Ziemba, "HANDBOOK OF APPLIED INVESTMENT RESEARCH".
• Blair Hull & Petra Bakosova & Alexander Kment, 2020, "Seasonal Effects, Trends and Pre-Announcement Drifts: Turning Anomalies into Investment Strategies," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 14, in: John B Guerard & William T Ziemba, "HANDBOOK OF APPLIED INVESTMENT RESEARCH".
• Sebastien Lleo & William T Ziemba, 2020, "Stock Market Crashes in 2006–2009: Were We Able to Predict Them?," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 15, in: John B Guerard & William T Ziemba, "HANDBOOK OF APPLIED INVESTMENT RESEARCH".
• J. B. Guerard Jr. & S. T. Rachev & B. P. Shao, 2020, "Efficient global portfolios: Big data and investment universes," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 16, in: John B Guerard & William T Ziemba, "HANDBOOK OF APPLIED INVESTMENT RESEARCH".
• Harry M. Markowitz & David Starer & Harvey Fram & Sander Gerber, 2020, "Avoiding the Downside: A Practical Review of the Critical Line Algorithm for Mean–Semivariance Portfolio Optimization," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 17, in: John B Guerard & William T Ziemba, "HANDBOOK OF APPLIED INVESTMENT RESEARCH".
• Chong Li & Edward Tower & Rhona Zhang, 2020, "Alternative Measures of Mutual Fund Performance: Ranking DFA, Fidelity, and Vanguard," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 18, in: John B Guerard & William T Ziemba, "HANDBOOK OF APPLIED INVESTMENT RESEARCH".
• Boryana Racheva-Iotova, 2020, "Wealth Management Next Frontiers — The Inevitable Need to Meet Behavioral and Quantitative Approaches," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 19, in: John B Guerard & William T Ziemba, "HANDBOOK OF APPLIED INVESTMENT RESEARCH".
• Foteini Kyriazi & Dimitrios D. Thomakos, 2020, "Foreign Exchange Rate Predictability: Seek and Ye Shall Find It," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 20, in: John B Guerard & William T Ziemba, "HANDBOOK OF APPLIED INVESTMENT RESEARCH".
• Tim Leung & Brian Ward, 2020, "Tracking VIX with VIX Futures: Portfolio Construction and Performance," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 21, in: John B Guerard & William T Ziemba, "HANDBOOK OF APPLIED INVESTMENT RESEARCH".
• Barret Pengyuan Shao, 2020, "Long-Memory Processes in High-Frequency Foreign Exchange and U.S. Equity Market," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 22, in: John B Guerard & William T Ziemba, "HANDBOOK OF APPLIED INVESTMENT RESEARCH".
• William T. Ziemba, 2020, "Arbitrage and Risk Arbitrage in the Nikkei Put Warrant Market," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 23, in: John B Guerard & William T Ziemba, "HANDBOOK OF APPLIED INVESTMENT RESEARCH".
• William T. Ziemba & S. Lleo & M. Zhitlukhin, 2020, "A Stopping Rule Model for Exiting Bubble-like Markets with Applications," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 24, in: John B Guerard & William T Ziemba, "HANDBOOK OF APPLIED INVESTMENT RESEARCH".
• H. D. Vinod, 2020, "Econometric Tools for Stress Testing Using Time Heterogeneity and Maximum Entropy," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 25, in: John B Guerard & William T Ziemba, "HANDBOOK OF APPLIED INVESTMENT RESEARCH".
• H. D. Vinod & John B. Guerard Jr., 2020, "Causality Studies of Real GDP, Unemployment, and Leading Indicators," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 26, in: John B Guerard & William T Ziemba, "HANDBOOK OF APPLIED INVESTMENT RESEARCH".
• Robert A. Gillam & Russell Read, 2020, "Investing on the “Far Side of the Moon”: Capturing Capital Market Inclusion Opportunity across MEASA (Middle East–Africa–South Asia)," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 27, in: John B Guerard & William T Ziemba, "HANDBOOK OF APPLIED INVESTMENT RESEARCH".
• Chern Lu, 2020, "The Overview of WTI Crude Oil Futures’ Epic Fall," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, in: George Xianzhi Yuan, "The CME Vulnerability The Impact of Negative Oil Futures Trading".
• Rongbing Huang & George Yuan, 2020, "The Better Way for CME’s Execution: Based on the Perspective of Industry’s Best Practice Rule," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, in: George Xianzhi Yuan, "The CME Vulnerability The Impact of Negative Oil Futures Trading".
• James Zhan, 2020, "Impact of Negative Oil Price on Risk Measuring," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, in: George Xianzhi Yuan, "The CME Vulnerability The Impact of Negative Oil Futures Trading".
• Duoqi Xu & Peiran Wang & Yicheng Wang, 2020, "Three Legal Reflections on the “Crude Oil Treasure” Incident: Starting with the CME Rule Change," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, in: George Xianzhi Yuan, "The CME Vulnerability The Impact of Negative Oil Futures Trading".
• Chenghu Ma & Xianzhen Wang, 2020, "Why Oil Prices Plunged and Settled Negative: A Game-Theoretical Perspective," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, in: George Xianzhi Yuan, "The CME Vulnerability The Impact of Negative Oil Futures Trading".
• Cong Sui & Mo Yang, 2020, "Tanker Shipping and Negative Oil Prices: More Than Just the Freight Rates," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, in: George Xianzhi Yuan, "The CME Vulnerability The Impact of Negative Oil Futures Trading".
• Henry Yang, 2020, "Option Pricing with Shifted Lognormal Model for Negative Oil Prices," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, in: George Xianzhi Yuan, "The CME Vulnerability The Impact of Negative Oil Futures Trading".
• Bin Zhu, 2020, "The Paradox of Negative Oil Prices," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: George Xianzhi Yuan, "The CME Vulnerability The Impact of Negative Oil Futures Trading".
• Michael Peng, 2020, "The Challenges of Negative Oil Future Price Posed to Risk Managers and Quants," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, in: George Xianzhi Yuan, "The CME Vulnerability The Impact of Negative Oil Futures Trading".
• Weiping Li, 2020, "Negative Asset Pricing and Moral Hazard," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: George Xianzhi Yuan, "The CME Vulnerability The Impact of Negative Oil Futures Trading".
• You Zhang & Lingtong (Stanley) Meng, 2020, "The Bachelier Model: Option Pricing with Negative Strike and Asset Price," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 11, in: George Xianzhi Yuan, "The CME Vulnerability The Impact of Negative Oil Futures Trading".
• Yali Chang & Jianwu Lin & Chengying He, 2020, "Blockchain-based Options for Physical Settlement of Commodity Futures," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, in: George Xianzhi Yuan, "The CME Vulnerability The Impact of Negative Oil Futures Trading".
• Faria, Gonçalo & Verona, Fabio, 2020, "Frequency-domain information for active portfolio management," Bank of Finland Research Discussion Papers, Bank of Finland, number 2/2020.
• Faria, Gonçalo & Verona, Fabio, 2020, "Time-frequency forecast of the equity premium," Bank of Finland Research Discussion Papers, Bank of Finland, number 6/2020.
• Juselius, Mikael & Tarashev, Nikola A., 2020, "Forecasting expected and unexpected losses," Bank of Finland Research Discussion Papers, Bank of Finland, number 18/2020.
• Jager, Maximilian & Siemsen, Thomas & Vilsmeier, Johannes, 2020, "Interbank risk assessment: A simulation approach," Discussion Papers, Deutsche Bundesbank, number 23/2020.
• Hartwig, Benny & Meinerding, Christoph & Schüler, Yves, 2020, "Identifying indicators of systemic risk," Discussion Papers, Deutsche Bundesbank, number 33/2020.
• Kuntz, Laura-Chloé, 2020, "Beta dispersion and market timing," Discussion Papers, Deutsche Bundesbank, number 46/2020.
• Lux, Thomas, 2020, "Can heterogeneous agent models explain the alleged mispricing of the S&P 500?," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2020-03.
• Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2020, "Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 20-01.
• Hendriock, Mario, 2020, "Implied cost of capital and mutual fund performance," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 20-11.
• Chao, Shih-Kang & Härdle, Wolfgang Karl & Yuan, Ming, 2020, "Factorisable Multitask Quantile Regression," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-004.
• Xu, Xiu & Wang, Weining & Shin, Yongcheol, 2020, "Dynamic Spatial Network Quantile Autoregression," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-024.
• Demary, Markus & Hasenclever, Stefan, 2020, "IW Financial Expert Survey: Second Quarter 2020," IW-Reports, Institut der deutschen Wirtschaft (IW) / German Economic Institute, number 27/2020.
• Reh, Laura & Krüger, Fabian & Liesenfeld, Roman, 2020, "Predicting the global minimum variance portfolio," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 141, DOI: 10.5445/IR/1000122441.
• Grammig, Joachim & Hanenberg, Constantin & Schlag, Christian & Sönksen, Jantje, 2020, "Diverging roads: Theory-based vs. machine learning-implied stock risk premia," University of Tübingen Working Papers in Business and Economics, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics, number 130, DOI: 10.15496/publikation-39286.
• Beckmann, Joscha & Czudaj, Robert L., 2020, "Fundamental determinants of exchange rate expectations," VfS Annual Conference 2020 (Virtual Conference): Gender Economics, Verein für Socialpolitik / German Economic Association, number 224617.
• Berislav Žmuk & Hrvoje Jošiæ, 2020, "Forecasting stock market indices using machine learning algorithms," Interdisciplinary Description of Complex Systems - scientific journal, Croatian Interdisciplinary Society Provider Homepage: http://indecs.eu, volume 18, issue 4, pages 471-489.
• Sarthak Behera & Hyeongwoo Kim & Soohyon Kim, 2020, "Forecasting the US Dollar-Korean Won Exchange Rate: A Factor-Augmented Model Approach," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2020-02, May.
• Hyeongwoo Kim & Wen Shi, 2020, "Forecasting Financial Vulnerability in the US: A Factor Model Approach," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2020-04, Jul.
• Mhamed-Ali El-Aroui & Wafa Snoussi, 2020, "Value-at-Risk in Frontier Markets: Adapted Models and Evidences from Two North-African Stock Exchanges," The African Finance Journal, Africagrowth Institute, volume 22, issue 1, pages 1-20.
• Bogdan Cosmin GOMOI, 2020, "Study Regarding the Budgeting of an Economic Entity’s Cash Flow in the Context of the Accrual Accounting System," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), volume 1, issue 11, pages 23-35, November, DOI: 10.37945/cbr.2020.11.03.
• Horia CRISTEA & Claudiu BOȚOC, 2020, "The Effects of Indebting the Entity as a Result of Choosing Long Term Financing," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), volume 1, issue 4, pages 38-45, April, DOI: 10.37945/cbr.2020.04.05.
• Elena Valentina ȚILICĂ & Radu CIOBANU, 2020, "The Time Value of Money," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), volume 1, issue 6, pages 38-42, June, DOI: 10.37945/cbr.2020.06.05.
• Elena Valentina ȚILICĂ & Radu CIOBANU, 2020, "Evaluation Indicators for Investment Projects (I)," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), volume 1, issue 7, pages 39-47, July, DOI: 10.37945/cbr.2020.07.05.
• Bogdan Cosmin GOMOI & Natalia Ioana PANTELIMON, 2020, "Comparative Analysis Regarding the Financial and Financing Structure of Limited Liability Companies," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), volume 1, issue 8, pages 30-40, August, DOI: 10.37945/cbr.2020.08.04.
• Elena Valentina ȚILICĂ & Radu CIOBANU, 2020, "Evaluation Indicators for Investment Projects (II)," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), volume 1, issue 8, pages 41-44, August, DOI: 10.37945/cbr.2020.08.05.
• Ayesha Haroon & Mumtaz Ahmed, 2020, "Change Management and Risk Assessment in IT Industry," Pakistan Journal of Economic Studies, Department of Economics, The Islamia University of Bahawalpur, Pakistan., volume 3, issue 2, pages 123-147, December.
• Farmer, J. Doyne & Kleinnijenhuis, Alissa & Wetzer, Thom & Wiersema, Garbrand, 2020, "Scenario-Free Analysis of Financial Stability with Interacting Contagion Channels," INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford, number 2019-10, Jan.
• Farmer, J. Doyne & Kleinnijenhuis, Alissa & Nahai-Williamson, Paul & Wetzer, Thom, 2020, "Foundations of system-wide financial stress testing with heterogeneous institutions," INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford, number 2020-14, May.
• Wei-Zhen Li & Jin-Rui Zhai & Zhi-Qiang Jiang & Gang-Jin Wang & Wei-Xing Zhou, 2020, "Predicting tail events in a RIA-EVT-Copula framework," Papers, arXiv.org, number 2004.03190, Apr, revised Apr 2020.
• Kirill S. Glavatskiy & Mikhail Prokopenko & Adrian Carro & Paul Ormerod & Michael Harre, 2020, "Explaining herding and volatility in the cyclical price dynamics of urban housing markets using a large scale agent-based model," Papers, arXiv.org, number 2004.07571, Apr.
• Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2020, "A dynamic conditional approach to portfolio weights forecasting," Papers, arXiv.org, number 2004.12400, Apr.
• Victor Olkhov, 2020, "Classical Option Pricing and Some Steps Further," Papers, arXiv.org, number 2004.13708, Apr, revised Feb 2021.
• Michael Curran & Patrick O'Sullivan & Ryan Zalla, 2020, "Can Volatility Solve the Naive Portfolio Puzzle?," Papers, arXiv.org, number 2005.03204, May, revised Feb 2022.
• Victor Olkhov, 2020, "Volatility Depends on Market Trades and Macro Theory," Papers, arXiv.org, number 2008.07907, Aug, revised Jun 2024.
• Mykola Babiak & Jozef Barunik, 2020, "Deep Learning, Predictability, and Optimal Portfolio Returns," Papers, arXiv.org, number 2009.03394, Sep, revised Feb 2026.
• Tae-Hwy Lee & Ekaterina Seregina, 2020, "Optimal Portfolio Using Factor Graphical Lasso," Papers, arXiv.org, number 2011.00435, Nov, revised Apr 2023.
• John M. Maheu & Thomas H. McCurdy & Yong Song, 2020, "Bull and Bear Markets During the COVID-19 Pandemic," Papers, arXiv.org, number 2012.01623, Dec.
• Ilya Archakov & Peter Reinhard Hansen & Asger Lunde, 2020, "A Multivariate Realized GARCH Model," Papers, arXiv.org, number 2012.02708, Dec, revised Feb 2025.
• César Omar López à vila & Norma Pontet Ubal, 2020, "Complementary break-even point with economic value added," Documentos de Investigación, Universidad ORT Uruguay. Facultad de Administración y Ciencias Sociales, number 128, Aug.
• Massimo Guidolin & Manuela Pedio, 2020, "Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 20145.
• Massimo Guidolin & Alexei Orlov, 2020, "Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies?," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 20146.
• Nataliya Vnukova & Sergii Kavun & Oleh Kolodiziev & Svitlana Achkasova & Daria Hontar, 2020, "Indicators-Markers for Assessment of Probability of Insurance Companies Relatedness in Implementation of Risk-Oriented Approach," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 151-173.
• Alejandro García & Bena Lands & Xuezhi Liu & Joshua Slive, 2020, "The potential effect of a central bank digital currency on deposit funding in Canada," Staff Analytical Notes, Bank of Canada, number 2020-15, Jul, DOI: 10.34989/san-2020-15.
• Andrés Alonso & José Manuel Carbó, 2020, "Machine learning in credit risk: measuring the dilemma between prediction and supervisory cost," Working Papers, Banco de España, number 2032, Oct.
• Oleg N. Salmanov & Natalia V. Babina & Marina V. Samoshkina & Irina P. Drachena & Irina P. Salmanova, 2020, "The Effects Of Volatility And Changes In Conditional Correlations In The Stock Markets Of Russia And Developed Countries," Economic Annals, Faculty of Economics and Business, University of Belgrade, volume 65, issue 227, pages 67-94, October –.
• Salim Sercan SARI & Þule Yüksel YÝÐÝTER, 2020, "Borsa Istanbul Hisse Senedi Getirilerinin ANFIS Aracýlýðýyla Tahmin Edilmesi," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, volume 4, issue 1, pages 171-193, August, DOI: https://doi.org/10.33399/biibfad.74.
• Ingo Fender & Mike McMorrow & Vahe Sahakyan & Omar Zulaica, 2020, "Reserve management and sustainability: the case for green bonds?," BIS Working Papers, Bank for International Settlements, number 849, Mar.
• Omar Zulaica, 2020, "What share for gold? On the interaction of gold and foreign exchange reserve returns," BIS Working Papers, Bank for International Settlements, number 906, Nov.
• Mikael Juselius & Nikola Tarashev, 2020, "Forecasting expected and unexpected losses," BIS Working Papers, Bank for International Settlements, number 913, Dec.
• Kresta Aleš & Wang Anlan, 2020, "Portfolio Optimization Efficiency Test Considering Data Snooping Bias," Business Systems Research, Sciendo, volume 11, issue 2, pages 73-85, October, DOI: 10.2478/bsrj-2020-0016.
• Ramis Khabibullin & Alexey Ponomarenko, 2020, "An empirical behavioral model of households’ deposit dollarization," Bank of Russia Working Paper Series, Bank of Russia, number wps67, Dec.
• Andrea Barón & María Victoria Landaberry & Rodrigo Lluberas & Jorge Ponce, 2020, "Commercial and banking credit network in Uruguay," Documentos de trabajo, Banco Central del Uruguay, number 2020006.
• J Doyne Farmer & Alissa M Kleinnijenhuis & Paul Nahai-Williamson & Thom Wetzer, 2020, "Foundations of system-wide financial stress testing with heterogeneous institutions," Bank of England working papers, Bank of England, number 861, May.
• Simon Jurkatis, 2020, "Inferring trade directions in fast markets," Bank of England working papers, Bank of England, number 896, Dec.
• Hyeongwoo Kim & Soohyon Kim, 2020, "Common Factor Augmented Forecasting Models for the US Dollar-Korean Won Exchange Rate," Working Papers, Economic Research Institute, Bank of Korea, number 2020-5, Feb.
• Avdoulas Christos & Bekiros Stelios & Lucey Brian, 2020, "The term structure of Eurozone peripheral bond yields: an asymmetric regime-switching equilibrium correction approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 24, issue 4, pages 1-23, September, DOI: 10.1515/snde-2018-0105.
• Zhu Fumin & Bianchi Michele Leonardo & Kim Young Shin & Fabozzi Frank J. & Wu Hengyu, 2020, "Learning for infinitely divisible GARCH models in option pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 25, issue 3, pages 35-62, June, DOI: 10.1515/snde-2019-0088.
• Rice, Jonathan, 2020, "Economic Policy Uncertainty in Small Open Economies: a Case Study in Ireland," Research Technical Papers, Central Bank of Ireland, number 01/RT/20, Jan.
• Bikramaditya Ghosh & Krishna MC, 2020, "Econophysical bourse volatility – Global Evidence," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 9, issue 2, pages 87-107.
• Ron Gecan, 2020, "CBO's Oil Price Forecasting Record: Working Paper 2020-03," Working Papers, Congressional Budget Office, number 56356, May.
• Roberto Marfè & Julien Pénasse, 2020, "Measuring Macroeconomic Tail Risk," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 621.
• Daniele Bianchi & Mykola Babiak, 2020, "On the Performance of Cryptocurrency Funds," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp672, Sep.
• Mykola Babiak & Jozef Barunik, 2020, "Deep Learning, Predictability, and Optimal Portfolio Returns," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp677, Dec.
• Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2020, "The Frequency of One-Day Abnormal Returns and Price Fluctuations in the FOREX," CESifo Working Paper Series, CESifo, number 8196.
• Christian Fieberg & Lars Hornuf & Gerrit Liedtke & Thorsten Poddig, 2020, "Are Characteristics Covariances? A Comment on Instrumented Principal Component Analysis," CESifo Working Paper Series, CESifo, number 8377.
• Guglielmo Maria Caporale & Alex Plastun, 2020, "Gold and Oil Prices: Abnormal Returns, Momentum and Contrarian Effects," CESifo Working Paper Series, CESifo, number 8445.
• Guglielmo Maria Caporale & Alex Plastun, 2020, "Abnormal Returns and Stock Price Movements: Some Evidence from Developed and Emerging Markets," CESifo Working Paper Series, CESifo, number 8783.
• Oksana Bashchenko & Alexis Marchal, 2020, "Deep Learning, Jumps, and Volatility Bursts," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-10, Mar.
• Olivier Dessaint & Thierry Foucault & Laurent Frésard, 2020, "Does Big Data Improve Financial Forecasting? The Horizon Effect," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-106, Nov.
• Walter Distaso & Antonio Mele & Grigory Vilkov, 2020, "Cross-Section Without Factors: Correlation Risk, Strings and Asset Prices," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-119, Sep.
• Rebecca Westphal & Didier Sornette, 2020, "How market intervention can prevent bubbles and crashes," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-74, Aug.
• Jillian Grennan & Roni Michaely, 2020, "Artificial Intelligence and High-Skilled Work: Evidence from Analysts," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-84, Aug.
• J-C Gerlach & Jerome L Kreuser & Didier Sornette, 2020, "Crash-sensitive Kelly Strategy built on a modified Kreuser-Sornette bubble model tested over three decades of twenty equity indices," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-85, Oct.
• Walter Farkas & Fulvia Fringuellotti & Radu Tunaru, 2020, "A Cost-Benefit Analysis of Capital Requirements Adjusted for Model Risk," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-86, Oct.
• Brice Corgnet & Cary Deck & Mark DeSantis & David Porter, 2020, "Forecasting Skills in Experimental Markets: Illusion or Reality?," Working Papers, Chapman University, Economic Science Institute, number 20-27.
• Zuzana Rakovska, 2020, "Composite Survey Sentiment as a Predictor of Future Market Returns: Evidence for German Equity Indices," Working Papers, Czech National Bank, Research and Statistics Department, number 2020/13, Dec.
• Oscar Valdemar de la Torre-Torres & Luis Guadalupe Mac�as-Trejo & Francisco L�pez-Herrera, 2020, "La eficiencia media-varianza de un portafolio sobreponderado en acciones socialmente responsables de México y Estados Unidos," Estudios Gerenciales, Universidad Icesi, volume 36, issue 154, pages 91-99.
• Diego Andrés Correa-Mejía & Mauricio Lopera-Casta�o, 2020, "Financial ratios as a powerful instrument to predict insolvency; a study using boosting algorithms in Colombian firms," Estudios Gerenciales, Universidad Icesi, volume 36, issue 155, pages 229-238, DOI: 10.18046/j.estger.2020.155.3588.
• Aguilar, Pablo & Fahr, Stephan & Gerba, Eddie & Hurtado, Samuel, 2020, "Quest for Robust Optimal Macroprudential Policy," Dynare Working Papers, CEPREMAP, number 53, Feb.
• Favero, Carlo A. & Melone, Alessandro, 2020, "Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14417, Feb.
• Bartram, Söhnke & Branke, Jürgen & Motahari, Mehrshad, 2020, "Artificial Intelligence in Asset Management," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14525, Mar.
• Rossi, Barbara & Odendahl, Florens & Sekhposyan, Tatevik, 2020, "Comparing Forecast Performance with State Dependence," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15217, Aug.
• Pérez-Quirós, Gabriel & Diaz, Elena, 2020, "Daily Tracker of Global Economic Activity. A Close-Up of the Covid-19 Pandemic," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 15451, Nov.
• Nieto Delfin, Maria Rosa & Ruiz Ortega, Esther, 2020, "Direct versus iterated multi-period Value at Risk," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 30349, May.
• Moulay Driss ELBOUSTY & Lahsen OUBDI, 2020, "Volatility stylized facts in the Moroccan stock market: Evidence from both aggregate and disaggregate data," Turkish Economic Review, EconSciences Journals, volume 7, issue 2, pages 111-138, July.
• Nassiba El HAROUS & Taacha El HASSAN, 2020, "Intangible capital: A strategic lever for value creation," Turkish Economic Review, EconSciences Journals, volume 7, issue 3, pages 139-150, October.
• Siméon Maxime BIKOUE, 2020, "The allocation of time in public administrations subject to bribery in developing countries: The basic model of labour supplu revisited," Turkish Economic Review, EconSciences Journals, volume 7, issue 3, pages 151-163, October.
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• Marc Hallin & Carlos Trucíos, 2020, "Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2020-50, Dec.
• Gräb, Johannes & Titzck, Stephanie, 2020, "US yield curve inversion and financial market signals of recession," Economic Bulletin Boxes, European Central Bank, volume 1.
• Borsuk, Marcin & Budnik, Katarzyna & Volk, Matjaz, 2020, "Buffer use and lending impact," Macroprudential Bulletin, European Central Bank, volume 11.
• Lang, Jan Hannes & Forletta, Marco, 2020, "Cyclical systemic risk and downside risks to bank profitability," Working Paper Series, European Central Bank, number 2405, May.
• Montagna, Mattia & Torri, Gabriele & Covi, Giovanni, 2020, "On the origin of systemic risk," Working Paper Series, European Central Bank, number 2502, Dec.
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• Karnaukh, Nina, 2020, "Growth Forecasts and News about Monetary Policy," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2020-27, Oct.
• Chia-Cheng Chen & Chun-Hung Chen & Ting-Yin Liu, 2020, "Investment Performance of Machine Learning: Analysis of S&P 500 Index," International Journal of Economics and Financial Issues, Econjournals, volume 10, issue 1, pages 59-66.
• Hatice Erkekoglu & Aweng Peter Majok Garang & Adire Simon Deng, 2020, "Modeling and Forecasting USD/UGX Volatility through GARCH Family Models: Evidence from Gaussian, T and GED Distributions," International Journal of Economics and Financial Issues, Econjournals, volume 10, issue 2, pages 268-281.
• Rim Ammar Lamouchi, 2020, "Long Memory and Stock Market Efficiency: Case of Saudi Arabia," International Journal of Economics and Financial Issues, Econjournals, volume 10, issue 3, pages 29-34.
• Shailesh Rana & William H. Bommer & G. Michael Phillips, 2020, "Predicting Returns for Growth and Value Stocks: A Forecast Assessment Approach Using Global Asset Pricing Models," International Journal of Economics and Financial Issues, Econjournals, volume 10, issue 4, pages 88-106.
• Hugo Hernandez Palma & William Alejandro Niebles, 2020, "Financial Evaluation of Photovoltaic Energy Projects in Colombia," International Journal of Energy Economics and Policy, Econjournals, volume 10, issue 6, pages 225-228.
• Hugo Hernandez Palma & Kennedy Hurtado Ibarra, 2020, "Evaluation of Photovoltaic Energy Projects using the Real Options Valuation," International Journal of Energy Economics and Policy, Econjournals, volume 10, issue 6, pages 256-265.
• Pagach, Donald P. & Warr, Richard S., 2020, "Analysts versus time-series forecasts of quarterly earnings: A maintained hypothesis revisited," Advances in accounting, Elsevier, volume 51, issue C, DOI: 10.1016/j.adiac.2020.100497.
• Uddin, Ajim & Yu, Dantong, 2020, "Latent factor model for asset pricing," Journal of Behavioral and Experimental Finance, Elsevier, volume 27, issue C, DOI: 10.1016/j.jbef.2020.100353.
• Łukowski, Michał & Gemra, Kamil & Maruszewski, Janusz & Śliwiński, Paweł & Zygmanowski, Piotr, 2020, "Equity premium puzzle — Evidence from Poland," Journal of Behavioral and Experimental Finance, Elsevier, volume 28, issue C, DOI: 10.1016/j.jbef.2020.100398.
• Sherif, Mohamed, 2020, "The impact of Coronavirus (COVID-19) outbreak on faith-based investments: An original analysis," Journal of Behavioral and Experimental Finance, Elsevier, volume 28, issue C, DOI: 10.1016/j.jbef.2020.100403.
• Yuan, Ying & Zhang, Tonghui, 2020, "Forecasting stock market in high and low volatility periods: a modified multifractal volatility approach," Chaos, Solitons & Fractals, Elsevier, volume 140, issue C, DOI: 10.1016/j.chaos.2020.110252.
• Yang, Jun & Lu, Jing & Xiang, Cheng, 2020, "Do disclosures of selective access improve market information acquisition fairness? Evidence from company visits in China," Journal of Corporate Finance, Elsevier, volume 64, issue C, DOI: 10.1016/j.jcorpfin.2020.101631.
• Cowan, Arnold R. & Salotti, Valentina, 2020, "Anti-selective disclosure regulation and analyst forecast accuracy and usefulness," Journal of Corporate Finance, Elsevier, volume 64, issue C, DOI: 10.1016/j.jcorpfin.2020.101669.
• Farkas, Walter & Fringuellotti, Fulvia & Tunaru, Radu, 2020, "A cost-benefit analysis of capital requirements adjusted for model risk," Journal of Corporate Finance, Elsevier, volume 65, issue C, DOI: 10.1016/j.jcorpfin.2020.101753.
• Kukacka, Jiri & Kristoufek, Ladislav, 2020, "Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality," Journal of Economic Dynamics and Control, Elsevier, volume 113, issue C, DOI: 10.1016/j.jedc.2020.103855.
• Oldham, Matthew, 2020, "Quantifying the concerns of Dimon and Buffett with data and computation," Journal of Economic Dynamics and Control, Elsevier, volume 113, issue C, DOI: 10.1016/j.jedc.2020.103864.
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• Lioui, Abraham & Tarelli, Andrea, 2020, "Factor Investing for the Long Run," Journal of Economic Dynamics and Control, Elsevier, volume 117, issue C, DOI: 10.1016/j.jedc.2020.103960.
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• Wiafe, Osei K. & Basu, Anup K. & Chen, En Te, 2020, "Portfolio choice after retirement: Should self-annuitisation strategies hold more equities?," Economic Analysis and Policy, Elsevier, volume 65, issue C, pages 241-255, DOI: 10.1016/j.eap.2020.02.012.
• Gradojevic, Nikola & Erdemlioglu, Deniz & Gençay, Ramazan, 2020, "A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage," Economic Modelling, Elsevier, volume 85, issue C, pages 57-73, DOI: 10.1016/j.econmod.2019.05.006.
• Sha, Yezhou, 2020, "The devil in the style: Mutual fund style drift, performance and common risk factors," Economic Modelling, Elsevier, volume 86, issue C, pages 264-273, DOI: 10.1016/j.econmod.2019.10.004.
• Hussain Shahzad, Syed Jawad & Bouri, Elie & Roubaud, David & Kristoufek, Ladislav, 2020, "Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin," Economic Modelling, Elsevier, volume 87, issue C, pages 212-224, DOI: 10.1016/j.econmod.2019.07.023.
• Kim, Hyeongwoo & Ko, Kyunghwan, 2020, "Improving forecast accuracy of financial vulnerability: PLS factor model approach," Economic Modelling, Elsevier, volume 88, issue C, pages 341-355, DOI: 10.1016/j.econmod.2019.09.046.
• Jayawardena, Nirodha I. & Todorova, Neda & Li, Bin & Su, Jen-Je, 2020, "Volatility forecasting using related markets’ information for the Tokyo stock exchange," Economic Modelling, Elsevier, volume 90, issue C, pages 143-158, DOI: 10.1016/j.econmod.2020.05.008.
• Wang, Jiazhen & Jiang, Yuexiang & Zhu, Yanjian & Yu, Jing, 2020, "Prediction of volatility based on realized-GARCH-kernel-type models: Evidence from China and the U.S," Economic Modelling, Elsevier, volume 91, issue C, pages 428-444, DOI: 10.1016/j.econmod.2020.06.004.
• Xu, Yahua & Xiao, Jun & Zhang, Liguo, 2020, "Global predictive power of the upside and downside variances of the U.S. equity market," Economic Modelling, Elsevier, volume 93, issue C, pages 605-619, DOI: 10.1016/j.econmod.2020.09.006.
• Liang, Chao & Ma, Feng & Li, Ziyang & Li, Yan, 2020, "Which types of commodity price information are more useful for predicting US stock market volatility?," Economic Modelling, Elsevier, volume 93, issue C, pages 642-650, DOI: 10.1016/j.econmod.2020.03.022.
• Wu, Xinyu & Hou, Xinmeng, 2020, "Forecasting volatility with component conditional autoregressive range model," The North American Journal of Economics and Finance, Elsevier, volume 51, issue C, DOI: 10.1016/j.najef.2019.101078.
• Dong, Dayong & Yue, Sishi & Cao, Jiawei, 2020, "Site visit information content and return predictability: Evidence from China," The North American Journal of Economics and Finance, Elsevier, volume 51, issue C, DOI: 10.1016/j.najef.2019.101104.
• Zhang, Yaojie & Lei, Likun & Wei, Yu, 2020, "Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching," The North American Journal of Economics and Finance, Elsevier, volume 52, issue C, DOI: 10.1016/j.najef.2020.101145.
• Díaz-Mendoza, Ana-Carmen & Pardo, Angel, 2020, "Holidays, weekends and range-based volatility," The North American Journal of Economics and Finance, Elsevier, volume 52, issue C, DOI: 10.1016/j.najef.2019.101124.
• Wang, Jiexin & Han, Xue & Huang, Emily J. & Yost-Bremm, Chris, 2020, "Predictability in international stock returns using currency fluctuations and forward rate forecasts," The North American Journal of Economics and Finance, Elsevier, volume 52, issue C, DOI: 10.1016/j.najef.2019.101108.
• Dey, Shubhasis & Sampath, Aravind, 2020, "Returns, volatility and spillover – A paradigm shift in India?," The North American Journal of Economics and Finance, Elsevier, volume 52, issue C, DOI: 10.1016/j.najef.2019.101110.
• Hung, Jui-Cheng & Liu, Hung-Chun & Yang, J. Jimmy, 2020, "Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators," The North American Journal of Economics and Finance, Elsevier, volume 52, issue C, DOI: 10.1016/j.najef.2020.101165.
• Wang, Janchung & Yeh, Shih-Kuo & Wang, Bo-Ting, 2020, "The effect of short-sale restrictions on the information transmission of extended index futures trading," The North American Journal of Economics and Finance, Elsevier, volume 52, issue C, DOI: 10.1016/j.najef.2020.101166.
• Zhang, Xiang, 2020, "Leisure and long-run risks: An empirical evaluation on value premium puzzle," The North American Journal of Economics and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.najef.2020.101223.
• Loginov, Alexander & Heywood, Malcolm, 2020, "On the different impacts of fixed versus floating bid-ask spreads on an automated intraday stock trading," The North American Journal of Economics and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.najef.2020.101247.
• Hai, Hoang Van & Park, Jong Won & Tsai, Ping-Chen & Eom, Cheoljun, 2020, "Lottery mindset, mispricing and idiosyncratic volatility puzzle: Evidence from the Chinese stock market," The North American Journal of Economics and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.najef.2020.101266.
• Yin, Anwen, 2020, "Equity premium prediction and optimal portfolio decision with Bagging," The North American Journal of Economics and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.najef.2020.101274.
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• Karlsson, Sune & Österholm, Pär, 2020, "The relation between the corporate bond-yield spread and the real economy: Stable or time-varying?," Economics Letters, Elsevier, volume 186, issue C, DOI: 10.1016/j.econlet.2019.108883.
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• Gao, Jiti & Xia, Kai & Zhu, Huanjun, 2020, "Heterogeneous panel data models with cross-sectional dependence," Journal of Econometrics, Elsevier, volume 219, issue 2, pages 329-353, DOI: 10.1016/j.jeconom.2020.03.007.
• Koo, Bonsoo & Anderson, Heather M. & Seo, Myung Hwan & Yao, Wenying, 2020, "High-dimensional predictive regression in the presence of cointegration," Journal of Econometrics, Elsevier, volume 219, issue 2, pages 456-477, DOI: 10.1016/j.jeconom.2020.03.011.
• Nevrla, Matěj, 2020, "Systemic risk in European financial and energy sectors: Dynamic factor copula approach," Economic Systems, Elsevier, volume 44, issue 4, DOI: 10.1016/j.ecosys.2020.100820.
• Gribisch, Bastian & Hartkopf, Jan Patrick & Liesenfeld, Roman, 2020, "Factor state–space models for high-dimensional realized covariance matrices of asset returns," Journal of Empirical Finance, Elsevier, volume 55, issue C, pages 1-20, DOI: 10.1016/j.jempfin.2019.08.003.
• Christiansen, Charlotte & Grønborg, Niels S. & Nielsen, Ole L., 2020, "Mutual fund selection for realistically short samples," Journal of Empirical Finance, Elsevier, volume 55, issue C, pages 218-240, DOI: 10.1016/j.jempfin.2019.12.001.
• Nguyen, Linh Hoang & Chevapatrakul, Thanaset & Yao, Kai, 2020, "Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach," Journal of Empirical Finance, Elsevier, volume 58, issue C, pages 333-355, DOI: 10.1016/j.jempfin.2020.06.006.
• Tsiakas, Ilias & Li, Jiahan & Zhang, Haibin, 2020, "Equity premium prediction and the state of the economy," Journal of Empirical Finance, Elsevier, volume 58, issue C, pages 75-95, DOI: 10.1016/j.jempfin.2020.05.004.
• Maio, Paulo & Xu, Danielle, 2020, "Cash-flow or return predictability at long horizons? The case of earnings yield," Journal of Empirical Finance, Elsevier, volume 59, issue C, pages 172-192, DOI: 10.1016/j.jempfin.2020.10.001.
• Kuntz, Laura-Chloé, 2020, "Beta dispersion and market timing," Journal of Empirical Finance, Elsevier, volume 59, issue C, pages 235-256, DOI: 10.1016/j.jempfin.2020.09.003.
• Bissoondoyal-Bheenick, Emawtee & Brooks, Robert & Do, Hung Xuan & Smyth, Russell, 2020, "Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets," Energy Economics, Elsevier, volume 86, issue C, DOI: 10.1016/j.eneco.2020.104689.
• Koten, Silvester Van, 2020, "Forward premia in electricity markets: A replication study," Energy Economics, Elsevier, volume 89, issue C, DOI: 10.1016/j.eneco.2020.104812.
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• Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2020, "Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall," International Review of Financial Analysis, Elsevier, volume 70, issue C, DOI: 10.1016/j.irfa.2017.11.007.
• Lv, Fei & Yang, Chen & Fang, Libing, 2020, "Do the crude oil futures of the Shanghai International Energy Exchange improve asset allocation of Chinese petrochemical-related stocks?," International Review of Financial Analysis, Elsevier, volume 71, issue C, DOI: 10.1016/j.irfa.2020.101537.
• Liang, Chao & Tang, Linchun & Li, Yan & Wei, Yu, 2020, "Which sentiment index is more informative to forecast stock market volatility? Evidence from China," International Review of Financial Analysis, Elsevier, volume 71, issue C, DOI: 10.1016/j.irfa.2020.101552.