Research classified by Journal of Economic Literature (JEL) codes

2020

• Umutlu, Mehmet & Bengitöz, Pelin, 2020, "The cross-section of industry equity returns and global tactical asset allocation across regions and industries," International Review of Financial Analysis, Elsevier, volume 72, issue C, DOI: 10.1016/j.irfa.2020.101574.
• Zavadska, Miroslava & Morales, Lucía & Coughlan, Joseph, 2020, "Brent crude oil prices volatility during major crises," Finance Research Letters, Elsevier, volume 32, issue C, DOI: 10.1016/j.frl.2018.12.026.
• Verdickt, Gertjan, 2020, "Is fertility a leading indicator for stock returns?," Finance Research Letters, Elsevier, volume 33, issue C, DOI: 10.1016/j.frl.2019.06.001.
• Çepni, Oğguzhan & Demirer, Riza & Gupta, Rangan & Pierdzioch, Christian, 2020, "Time-varying risk aversion and the predictability of bond premia," Finance Research Letters, Elsevier, volume 34, issue C, DOI: 10.1016/j.frl.2019.07.014.
• Reus, Lorenzo & Carrasco, José A. & Pincheira, Pablo, 2020, "Do it with a smile: Forecasting volatility with currency options," Finance Research Letters, Elsevier, volume 34, issue C, DOI: 10.1016/j.frl.2019.07.024.
• Wu, Xinyu & Wang, Xiaona, 2020, "Forecasting volatility using realized stochastic volatility model with time-varying leverage effect," Finance Research Letters, Elsevier, volume 34, issue C, DOI: 10.1016/j.frl.2019.08.019.
• González-Fernández, Marcos & González-Velasco, Carmen, 2020, "An alternative approach to predicting bank credit risk in Europe with Google data," Finance Research Letters, Elsevier, volume 35, issue C, DOI: 10.1016/j.frl.2019.08.029.
• Long, Huaigang & Zaremba, Adam & Demir, Ender & Szczygielski, Jan Jakub & Vasenin, Mikhail, 2020, "Seasonality in the Cross-Section of Cryptocurrency Returns," Finance Research Letters, Elsevier, volume 35, issue C, DOI: 10.1016/j.frl.2020.101566.
• Pincheira-Brown, Pablo & Neumann, Federico, 2020, "Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile," Finance Research Letters, Elsevier, volume 37, issue C, DOI: 10.1016/j.frl.2019.101380.
• Faria, Gonçalo & Verona, Fabio, 2020, "The yield curve and the stock market: Mind the long run," Journal of Financial Markets, Elsevier, volume 50, issue C, DOI: 10.1016/j.finmar.2019.100508.
• Pham, Mia Hang, 2020, "In law we trust: Lawyer CEOs and stock liquidity," Journal of Financial Markets, Elsevier, volume 50, issue C, DOI: 10.1016/j.finmar.2020.100548.
• Adrian, Tobias & Capponi, Agostino & Fleming, Michael & Vogt, Erik & Zhang, Hongzhong, 2020, "Intraday market making with overnight inventory costs," Journal of Financial Markets, Elsevier, volume 50, issue C, DOI: 10.1016/j.finmar.2020.100564.
• Cao, Charles & Simin, Timothy & Xiao, Han, 2020, "Predicting the equity premium with the implied volatility spread," Journal of Financial Markets, Elsevier, volume 51, issue C, DOI: 10.1016/j.finmar.2019.100531.
• Çepni, Oğuzhan & Guney, I. Ethem & Gupta, Rangan & Wohar, Mark E., 2020, "The role of an aligned investor sentiment index in predicting bond risk premia of the U.S," Journal of Financial Markets, Elsevier, volume 51, issue C, DOI: 10.1016/j.finmar.2020.100541.
• Chau, Michael & Lin, Chih-Yung & Lin, Tse-Chun, 2020, "Wisdom of crowds before the 2007–2009 global financial crisis," Journal of Financial Stability, Elsevier, volume 48, issue C, DOI: 10.1016/j.jfs.2020.100741.
• Kupiec, Paul H., 2020, "Policy uncertainty and bank stress testing," Journal of Financial Stability, Elsevier, volume 51, issue C, DOI: 10.1016/j.jfs.2020.100761.
• Dicle, Mehmet F. & Levendis, John, 2020, "Historic risk and implied volatility," Global Finance Journal, Elsevier, volume 45, issue C, DOI: 10.1016/j.gfj.2019.100475.
• Gerrard, Russell & Hiabu, Munir & Nielsen, Jens Perch & Vodička, Peter, 2020, "Long-term real dynamic investment planning," Insurance: Mathematics and Economics, Elsevier, volume 92, issue C, pages 90-103, DOI: 10.1016/j.insmatheco.2020.03.002.
• Bales, Kyle & Malikane, Christopher, 2020, "The effect of credit ratings on emerging market volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 65, issue C, DOI: 10.1016/j.intfin.2020.101186.
• Xuan, Chunji & Kim, Chang-Jin, 2020, "Structural breaks in the mean of dividend-price ratios: Implications of learning on stock return predictability," Japan and the World Economy, Elsevier, volume 55, issue C, DOI: 10.1016/j.japwor.2020.101027.
• Liu, Anqi & Paddrik, Mark & Yang, Steve Y. & Zhang, Xingjia, 2020, "Interbank contagion: An agent-based model approach to endogenously formed networks," Journal of Banking & Finance, Elsevier, volume 112, issue C, DOI: 10.1016/j.jbankfin.2017.08.008.
• Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2020, "Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications," Journal of Banking & Finance, Elsevier, volume 115, issue C, DOI: 10.1016/j.jbankfin.2020.105809.
• Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2020, "Beta uncertainty," Journal of Banking & Finance, Elsevier, volume 116, issue C, DOI: 10.1016/j.jbankfin.2020.105834.
• You, Yu & Liu, Xiaochun, 2020, "Forecasting short-run exchange rate volatility with monetary fundamentals: A GARCH-MIDAS approach," Journal of Banking & Finance, Elsevier, volume 116, issue C, DOI: 10.1016/j.jbankfin.2020.105849.
• León, Ángel & Ñíguez, Trino-Manuel, 2020, "Modeling asset returns under time-varying semi-nonparametric distributions," Journal of Banking & Finance, Elsevier, volume 118, issue C, DOI: 10.1016/j.jbankfin.2020.105870.
• Moura, Guilherme V. & Santos, André A.P. & Ruiz, Esther, 2020, "Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection," Journal of Banking & Finance, Elsevier, volume 118, issue C, DOI: 10.1016/j.jbankfin.2020.105882.
• Hüttner, Amelie & Scherer, Matthias & Gräler, Benedikt, 2020, "Geostatistical modeling of dependent credit spreads: Estimation of large covariance matrices and imputation of missing data," Journal of Banking & Finance, Elsevier, volume 118, issue C, DOI: 10.1016/j.jbankfin.2020.105897.
• Wang, Zhen & Sun, Lei & John Wei, K.C., 2020, "Does competition induce analyst effort? evidence from a natural experiment of broker mergers," Journal of Banking & Finance, Elsevier, volume 119, issue C, DOI: 10.1016/j.jbankfin.2020.105914.
• Hollstein, Fabian, 2020, "Estimating beta: The international evidence," Journal of Banking & Finance, Elsevier, volume 121, issue C, DOI: 10.1016/j.jbankfin.2020.105968.
• Westphal, Rebecca & Sornette, Didier, 2020, "Market impact and performance of arbitrageurs of financial bubbles in an agent-based model," Journal of Economic Behavior & Organization, Elsevier, volume 171, issue C, pages 1-23, DOI: 10.1016/j.jebo.2020.01.004.
• Bruna, Karel & Tran, Quang Van, 2020, "The central banks’ ability to control variability of money market interest rates: The case of inflation targeting countries," Journal of Economic Behavior & Organization, Elsevier, volume 176, issue C, pages 384-402, DOI: 10.1016/j.jebo.2020.04.012.
• Ma, Chao, 2020, "Momentum and Reversion to Fundamentals: Are They Captured by Subjective Expectations of House Prices?," Journal of Housing Economics, Elsevier, volume 49, issue C, DOI: 10.1016/j.jhe.2020.101687.
• Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2020, "Forecasting realized oil-price volatility: The role of financial stress and asymmetric loss," Journal of International Money and Finance, Elsevier, volume 104, issue C, DOI: 10.1016/j.jimonfin.2020.102137.
• Beckmann, Joscha & Reitz, Stefan, 2020, "Information rigidities and exchange rate expectations," Journal of International Money and Finance, Elsevier, volume 105, issue C, DOI: 10.1016/j.jimonfin.2020.102136.
• Huang, Kelly, 2020, "Management forecast errors and corporate investment efficiency," Journal of Contemporary Accounting and Economics, Elsevier, volume 16, issue 3, DOI: 10.1016/j.jcae.2020.100208.
• Dichtl, Hubert, 2020, "Forecasting excess returns of the gold market: Can we learn from stock market predictions?," Journal of Commodity Markets, Elsevier, volume 19, issue C, DOI: 10.1016/j.jcomm.2019.100106.
• Arunanondchai, Panit & Sukcharoen, Kunlapath & Leatham, David J., 2020, "Dealing with tail risk in energy commodity markets: Futures contracts versus exchange-traded funds," Journal of Commodity Markets, Elsevier, volume 20, issue C, DOI: 10.1016/j.jcomm.2019.100112.
• Lakshina, Valeriya, 2020, "Do portfolio investors need to consider the asymmetry of returns on the Russian stock market?," The Journal of Economic Asymmetries, Elsevier, volume 21, issue C, DOI: 10.1016/j.jeca.2019.e00152.
• Merikas, Andreas & Merika, Anna & Penikas, Henry I. & Surkov, Mikhail A., 2020, "The Basel II internal ratings based (IRB) model and the transition impact on the listed Greek banks," The Journal of Economic Asymmetries, Elsevier, volume 22, issue C, DOI: 10.1016/j.jeca.2020.e00183.
• Rubaszek, Michał & Karolak, Zuzanna & Kwas, Marek, 2020, "Mean-reversion, non-linearities and the dynamics of industrial metal prices. A forecasting perspective," Resources Policy, Elsevier, volume 65, issue C, DOI: 10.1016/j.resourpol.2019.101538.
• Ashraf, Sumaira & Félix, Elisabete G.S. & Serrasqueiro, Zélia, 2020, "Development and testing of an augmented distress prediction model: A comparative study on a developed and an emerging market," Journal of Multinational Financial Management, Elsevier, volume 57, issue , DOI: 10.1016/j.mulfin.2020.100659.
• Dai, Zhifeng & Zhu, Huan, 2020, "Stock return predictability from a mixed model perspective," Pacific-Basin Finance Journal, Elsevier, volume 60, issue C, DOI: 10.1016/j.pacfin.2020.101267.
• Chae, Joon & Kim, Ryumi, 2020, "Contrarian profits of the firm-specific component on stock returns," Pacific-Basin Finance Journal, Elsevier, volume 61, issue C, DOI: 10.1016/j.pacfin.2019.101176.
• Lo, Huai-Chun & Koedijk, Kees G. & Gao, Xiang & Hsu, Yuan-Teng, 2020, "How do job vacancy rates predict firm performance? A web crawling massive data perspective," Pacific-Basin Finance Journal, Elsevier, volume 62, issue C, DOI: 10.1016/j.pacfin.2020.101371.
• Wang, Haoyu & Di, Junpeng & Yang, Zhaojun & Han, Qing, 2020, "Assessment of mutual fund performance based on Ensemble Empirical Mode Decomposition," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 538, issue C, DOI: 10.1016/j.physa.2019.122804.
• Jiang, Minqi & Liu, Jiapeng & Zhang, Lu & Liu, Chunyu, 2020, "An improved Stacking framework for stock index prediction by leveraging tree-based ensemble models and deep learning algorithms," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 541, issue C, DOI: 10.1016/j.physa.2019.122272.
• Caginalp, Gunduz & DeSantis, Mark, 2020, "Nonlinear price dynamics of S&P 100 stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 547, issue C, DOI: 10.1016/j.physa.2019.122067.
• Berger, Theo & Czudaj, Robert L., 2020, "Commodity futures and a wavelet-based risk assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 554, issue C, DOI: 10.1016/j.physa.2020.124339.
• Bouri, Elie & Shahzad, Syed Jawad Hussain & Roubaud, David & Kristoufek, Ladislav & Lucey, Brian, 2020, "Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis," The Quarterly Review of Economics and Finance, Elsevier, volume 77, issue C, pages 156-164, DOI: 10.1016/j.qref.2020.03.004.
• Moreira, Afonso M. & Martins, Luis F., 2020, "A new mechanism for anticipating price exuberance," International Review of Economics & Finance, Elsevier, volume 65, issue C, pages 199-221, DOI: 10.1016/j.iref.2019.10.006.
• González-Fernández, Marcos & González-Velasco, Carmen, 2020, "A sentiment index to measure sovereign risk using Google data," International Review of Economics & Finance, Elsevier, volume 69, issue C, pages 406-418, DOI: 10.1016/j.iref.2020.05.011.
• Virgilio, Gianluca Piero Maria, 2020, "When spread bites fast – Volatility and wide bid-ask spread in a mixed high-frequency and low-frequency environment," Research in International Business and Finance, Elsevier, volume 51, issue C, DOI: 10.1016/j.ribaf.2019.101066.
• Huynh, Toan Luu Duc & Hille, Erik & Nasir, Muhammad Ali, 2020, "Diversification in the age of the 4th industrial revolution: The role of artificial intelligence, green bonds and cryptocurrencies," Technological Forecasting and Social Change, Elsevier, volume 159, issue C, DOI: 10.1016/j.techfore.2020.120188.
• Martín García, Rodrigo & Ventura Pérez, Enrique & Arguedas Sanz, Raquel, 2020, "Temporal optimisation of signals emitted automatically by securities exchange indicators," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
• J Reade & C Singleton & L Vaughan Williams, 2020, "Betting Markets for English Premier League Results and Scorelines: Evaluating a Simple Forecasting Model," Economic Issues Journal Articles, Economic Issues, volume 25, issue 1, pages 87-106, March.
• Xiyang Li & Bin Li & Tarlok Singh & Kan Shi, 2020, "Predicting stock market returns in the US: evidence from an average correlation approach," Accounting Research Journal, Emerald Group Publishing Limited, volume 33, issue 2, pages 411-433, February, DOI: 10.1108/ARJ-10-2018-0168.
• Conghua Wen & Fei Jia & Jianli Hao, 2020, "Does VPIN provide predictive information for realized volatility forecasting: evidence from Chinese stock index futures market," China Finance Review International, Emerald Group Publishing Limited, volume 13, issue 2, pages 285-303, November, DOI: 10.1108/CFRI-05-2020-0049.
• Hasan Hüseyin Yildirim & Bahadir Ildokuz, 2020, "Determining the Relationship Between CAMLS Variables and Profitability: An Application on Banks in the BIST Bank Index," Contemporary Studies in Economic and Financial Analysis, Emerald Group Publishing Limited, "Contemporary Issues in Business Economics and Finance", DOI: 10.1108/S1569-375920200000104017.
• Guglielmo Maria Caporale & Alex Plastun, 2020, "Daily abnormal price changes and trading strategies in the FOREX," Journal of Economic Studies, Emerald Group Publishing Limited, volume 48, issue 1, pages 211-222, September, DOI: 10.1108/JES-11-2019-0503.
• Julia S. Mehlitz & Benjamin R. Auer, 2020, "A Monte Carlo evaluation of non-parametric estimators of expected shortfall," Journal of Risk Finance, Emerald Group Publishing Limited, volume 21, issue 4, pages 355-397, October, DOI: 10.1108/JRF-07-2019-0122.
• Renu Isidore R. & P. Christie & C. Joe Arun, 2020, "Influence of the biological age of the investor on decision-making in the secondary equity market," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, volume 13, issue 1, pages 99-117, October, DOI: 10.1108/QRFM-02-2020-0021.
• Katarzyna Kubiszewska & Marcin Potrykus, 2020, "Balkan Stock Exchanges – Consideration of the Length of the Estimation Window in Similar Markets," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4, pages 1047-1067.
• Beata Zmyslona & Agnieszka Marciniuk, 2020, "Financial Protection for the Elderly - Contracts Based on Equity Release and Critical Health Insurance," European Research Studies Journal, European Research Studies Journal, volume 0, issue Special 1, pages 867-882.
• Grzegorz Przekota, 2020, "Application of the Surface Division Method to Segregate Investments in Capital Markets for Shares‘ Portfolio," European Research Studies Journal, European Research Studies Journal, volume 0, issue Special 1, pages 883-896.
• Bakas, Dimitrios & Ioakimidis, Marilou & Triantafyllou, Athanasios, 2020, "Commodity Price Uncertainty as a Leading Indicator of Economic Activity," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 27361, Apr.
• Megaritis, Anastasios & Vlastakis, Nikolaos & Triantafyllou, Athanasios, 2020, "Stock market volatility and jumps in times of uncertainty," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 29200, Nov.
• Jens H. E. Christensen & Glenn D. Rudebusch & Patrick Shultz, 2020, "Accounting for Low Long-Term Interest Rates: Evidence from Canada," Working Paper Series, Federal Reserve Bank of San Francisco, number 2020-35, Nov, DOI: 10.24148/wp2020-35.
• Nida Çakır Melek & Charles W. Calomiris & Harry Mamaysky, 2020, "Big Data Meets the Turbulent Oil Market," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 20-20, Dec, revised Nov 2022, DOI: 10.18651/RWP2020-20.
• Patrick A. Adams & Tobias Adrian & Nina Boyarchenko & Domenico Giannone & J. Nellie Liang & Eric Qian, 2020, "What Do Financial Conditions Tell Us about Risks to GDP Growth?," Liberty Street Economics, Federal Reserve Bank of New York, number 20200521, May.
• Fabrizio Cipollini & Giampiero Gallo & Alessandro Palandri, 2020, "A Dynamic Conditional Approach to Portfolio Weights Forecasting," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2020_06, May.
• David Ardia & Lukasz T. Gatarek & Lennart Hoogerheide & Herman K. Van Dijk, 2020, "Correction: Ardia, D., et al. Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices. Econometrics 2016, 4 , 14," Econometrics, MDPI, volume 8, issue 1, pages 1-1, February.
• Dean Fantazzini & Nikita Kolodin, 2020, "Does the Hashrate Affect the Bitcoin Price?," JRFM, MDPI, volume 13, issue 11, pages 1-29, October.
• João F. Caldeira & Rangan Gupta & Hudson S. Torrent, 2020, "Forecasting U.S. Aggregate Stock Market Excess Return: Do Functional Data Analysis Add Economic Value?," Mathematics, MDPI, volume 8, issue 11, pages 1-16, November.
• Raquel M. Gaspar & Sara D. Lopes & Bernardo Sequeira, 2020, "Neural Network Pricing of American Put Options," Risks, MDPI, volume 8, issue 3, pages 1-24, July.
• Matteo Bonato & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2020, "Investor Happiness and Predictability of the Realized Volatility of Oil Price," Sustainability, MDPI, volume 12, issue 10, pages 1-11, May.
• Brice Corgnet & Cary Deck & Mark DeSantis & David Porter, 2020, "Forecasting Skills in Experimental Markets: Illusion or Reality?," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Etienne (GATE Lyon St-Etienne), Université de Lyon, number 2020.
• Mario Cerrato & Danyang Li & Zhekai Zhang, 2020, "Factor Investing and forex Portfolio Management," Working Papers, Business School - Economics, University of Glasgow, number 2020_01, Aug.
• Ioannis Kyriakou & Parastoo Mousavi & Jens Perch Nielsen & Michael Scholz, 2020, "Short-Term Exuberance and long-term stability: A simultaneous optimization of stock return predictions for short and long horizons," Graz Economics Papers, University of Graz, Department of Economics, number 2020-20, Dec.
• Saker Sabkha & Christian de Peretti & Sabrine Mallek, 2020, "Forecasting sovereign CDS volatility: A comparison of univariate GARCH-class models," Post-Print, HAL, number hal-01769390, Jun, DOI: 10.3917/vse.209.0027.
• Nikola Gradojevic & Deniz Erdemlioglu & Ramazan Gençay, 2020, "A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage," Post-Print, HAL, number hal-02512423, Feb, DOI: 10.1016/j.econmod.2019.05.006.
• Dominique Pépin & Stephen Miller, 2020, "The Time-Varying Nature of Risk Aversion: Evidence from 60 Years of U.S. Stock Market Data," Post-Print, HAL, number hal-04648224, DOI: 10.2139/ssrn.3660949.
• Olivier Dessaint & Thierry Foucault & Laurent Frésard, 2020, "Does Big Data Improve Financial Forecasting? The Horizon Effect," Working Papers, HAL, number hal-03031876, Nov, DOI: 10.2139/ssrn.3702411.
• Brice Corgnet & Cary Deck & Mark Desantis & David Porter, 2020, "Forecasting Skills in Experimental Markets: Illusion or Reality?," Working Papers, HAL, number halshs-02893291.
• Kiss, Tamás & Nguyen, Hoang & Österholm, Pär, 2020, "Modelling Returns in US Housing Prices – You’re the One for Me, Fat Tails," Working Papers, Örebro University, School of Business, number 2020:13, Oct.
• Alfelt, Gustav & Bodnar, Taras & Javed, Farrukh & Tyrcha, Joanna, 2020, "Singular conditional autoregressive Wishart model for realized covariance matrices," Working Papers, Örebro University, School of Business, number 2021:1, Oct.
• Lundström, Christian, 2020, "On the Profitability of Momentum Strategies and Optimal Leverage Rules," Umeå Economic Studies, Umeå University, Department of Economics, number 974, May.
• Tatyana Erofeeva, 2020, "Assessment of the Functional Relationship between the Yield Spread and the Default Spread," HSE Economic Journal, National Research University Higher School of Economics, volume 24, issue 1, pages 28-52.
• Inna S. Lola & Anton Manukov & Murat Bakeev, 2020, "Stress Testing As A Tool For Monitoring And Modelling The Dynamics Of Business Activity Of Manufacturing Enterprises In Russia In The Face Of Market Shocks: Short-Term Scenarios Of Industry Tendencies," HSE Working papers, National Research University Higher School of Economics, number WP BRP 108/STI/2020.
• Donatello Caruso & Tetiana Lunkina & Alla Burkovska & Anna Burkovska, 2020, "Assessment of the Influence of the National Bank of Ukraine Monetary Policy on Food Security of the State," Oblik i finansi, Institute of Accounting and Finance, issue 4, pages 45-51, December.
• H. W. Wayne Yang & Po-Wei Shen & An-Sing Chen, 2020, "Trimming Effects And Momentum Investing," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 14, issue 2, pages 73-87.
• Deepa Bannigidadmath, 2020, "Consumer Sentiment and Indonesia's Stock Returns," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 23, issue Special I, pages 1-14, January, DOI: https://doi.org/10.21098/bemp.v23i0.
• Toshiaki Ogawa & Masato Ubukata & Toshiaki Watanabe, 2020, "Stock Return Predictability and Variance Risk Premia around the ZLB," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 20-E-09, Jul.
• Roberto Gallardo Del Ángel, 2020, "Financial time series forecasting using Artificial Neural Networks," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 15, issue 1, pages 105-122, Enero - M.
• Rey Francisco Ayala Castrejon & Christian Bucio Pacheco, 2020, "Modelo ARIMA aplicado al tipo de cambio peso-dólar en el periodo 2016-2017 mediante ventanas temporales deslizantes," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 15, issue 3, pages 331-354, Julio - S.
• Joana Almeida & Raquel M. Gaspar, 2020, "Accuracy of European Stock Target Prices," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2020/0115, Jan.
• Raquel M. Gaspar & Sara D. Lopes & Bernardo Sequeira, 2020, "Neural Network pricing of American put options," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2020/0122, Apr.
• Amparo Soler-Domínguez & Juan Carlos Matallín-Sáez & Diego Víctor de Mingo-López & Emili Tortosa-Ausina, 2020, "Social responsible mutual funds and lowcarbon economy," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain), number 2020/15.
• Söhnke M. Bartram & Jürgen Branke & Mehrshad Motahari, 2020, "Artificial intelligence in asset management," Working Papers, Cambridge Judge Business School, University of Cambridge, number 20202001, Mar.
• Prasenjit Chakrabarti & K Kiran Kumar, 2020, "High-Frequency Return-Implied Volatility Relationship: Empirical Evidence from Nifty and India VIX," Journal of Developing Areas, Tennessee State University, College of Business, volume 54, issue 3, pages 53-68, July-Sept.
• Jochen Güntner & Benjamin Karner, 2020, "Hedging with commodity futures and the end of normal Backwardation," Economics working papers, Department of Economics, Johannes Kepler University Linz, Austria, number 2020-21, Nov.
• Hatıra SADEGHZADEH EMSEN & Ömer Selçuk EMSEN & Ömer YALÇINKAYA, 2020, "An Effort To Construct A Mechanism Similar To The Taylor Rule Mechanism: Tests On Bist-100," JOURNAL OF LIFE ECONOMICS, Holistence Publications, volume 7, issue 1, pages 79-102, January, DOI: 10.15637/jlecon.7.006.
• Caio Vigo Pereira, 2020, "Portfolio Efficiency with High-Dimensional Data as Conditioning Information," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202015, Sep, revised Sep 2020.
• Mario Maggi & Maria-Laura Torrente & Pierpaolo Uberti, 2020, "Proper measures of connectedness," Annals of Finance, Springer, volume 16, issue 4, pages 547-571, December, DOI: 10.1007/s10436-020-00363-3.
• Polin Wu & Wasin Siwasarit, 2020, "Capturing the Order Imbalance with Hidden Markov Model: A Case of SET50 and KOSPI50," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 27, issue 1, pages 115-144, March, DOI: 10.1007/s10690-019-09285-1.
• Hyeong-Ohk Bae & Seung-Yeal Ha & Yongsik Kim & Hyuncheul Lim & Jane Yoo, 2020, "Volatility Flocking by Cucker–Smale Mechanism in Financial Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 27, issue 3, pages 387-414, September, DOI: 10.1007/s10690-019-09299-9.
• Parthajit Kayal & Sayanti Mondal, 2020, "Speed of Price Adjustment in Indian Stock Market: A Paradox," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 27, issue 4, pages 453-476, December, DOI: 10.1007/s10690-020-09303-7.
• Alexandru Mandes, 2020, "Impact of Electronic Liquidity Providers Within a High-Frequency Agent-Based Modeling Framework," Computational Economics, Springer;Society for Computational Economics, volume 55, issue 2, pages 407-450, February, DOI: 10.1007/s10614-019-09891-1.

2019

• Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2019, "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2019-02, Mar.
• Hyeongwoo Kim & Kyunghwan Ko, 2019, "Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2019-03, Apr.
• Sarthak Behera & Hyeongwoo Kim, 2019, "Forecasting Dollar Real Exchange Rates and the Role of Real Activity Factors," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2019-04, Oct.
• T. Bazhenov & D. Fantazzini, 2019, "Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility," Russian Journal of Industrial Economics, MISIS, volume 12, issue 1, DOI: 10.17073/2072-1633-2019-1-79-88.
• Daniel J. Wilson, 2019, "Clearing the Fog: The Predictive Power of Weather for Employment Reports and Their Asset Price Responses," American Economic Review: Insights, American Economic Association, volume 1, issue 3, pages 373-388, December.
• Mohamed Chikhi & Claude Diebolt, 2019, "Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors," Working Papers, Association Française de Cliométrie (AFC), number 03-19.
• Mohamed CHIKHI & Claude DIEBOLT & Tapas MISHRA, 2019, "Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model," Working Papers, Association Française de Cliométrie (AFC), number 07-19.
• Niyazi TELÇEKEN & Murat KIYILAR & Eyüp KADIOĞLU, 2019, "Volatilite Endeksleri: Gelişimi, Türleri, Uygulamaları ve TRVIX Önerisi," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, volume 4, issue 2, pages 204-228, DOI: 10.30784/epfad.534052.
• Stanimir Ivanov Kabaivanov & Veneta Markovska, 2019, "Making a Difference: Accounting for the Impact of Management Decisions in Environmental Management," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 66, issue 2, pages 131-139, June.
• Andrea Bucci & Giulio Palomba & Eduardo Rossi, 2019, "Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 440, Oct.
• Claudia Pigini, 2019, "Penalized Maximum Likelihood Estimation Of Logit-Based Early Warning Systems," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 441, Nov.
• Jean Paul Rabanal & Aleksei Chernulich & John Horowitz & Olga A. Rud & Manizha Sharifova, 2019, "Market timing under public and private information," Working Papers, Peruvian Economic Association, number 151, Aug.
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• Gergana Taneva, 2019, "An analysis and a forecast of the cryptomarket based on the ARIMA model," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 66-84.
• Pablo Aguilar & Samuel Hurtado & Stephan Fahr & Eddie Gerba, 2019, "Quest for robust optimal macroprudential policy," Working Papers, Banco de España, number 1916, Jul.
• Wilmar Cabrera-Rodríguez & Santiago Segovia-Baquero & Juan Sebastián Mariño-Montaña & Eduardo Yanquen, 2019, "Probabilidad de incumplimiento de entidades financieras colombianas: una aproximación estructural," Borradores de Economia, Banco de la Republica de Colombia, number 1097, Nov, DOI: https://doi.org/10.32468/be.1097.
• Pei Kuang & Renbin Zhang & Tongbin Zhang, 2019, "New Tests of Expectation Formation with Applications to Asset Pricing Models," Discussion Papers, Department of Economics, University of Birmingham, number 19-05, May.
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• Leonardo Gambacorta & Yiping Huang & Han Qiu & Jingyi Wang, 2019, "How do machine learning and non-traditional data affect credit scoring? New evidence from a Chinese fintech firm," BIS Working Papers, Bank for International Settlements, number 834, Dec.
• Koresh Galil & Neta Gilat, 2019, "Predicting Default More Accurately: To Proxy or Not to Proxy for Default?," International Review of Finance, International Review of Finance Ltd., volume 19, issue 4, pages 731-758, December, DOI: 10.1111/irfi.12197.
• Jean‐Philippe Bouchaud & Philipp Krüger & Augustin Landier & David Thesmar, 2019, "Sticky Expectations and the Profitability Anomaly," Journal of Finance, American Finance Association, volume 74, issue 2, pages 639-674, April, DOI: 10.1111/jofi.12734.
• Ian W. R. Martin & Christian Wagner, 2019, "What Is the Expected Return on a Stock?," Journal of Finance, American Finance Association, volume 74, issue 4, pages 1887-1929, August, DOI: 10.1111/jofi.12778.
• Tobias Adrian & Richard K. Crump & Erik Vogt, 2019, "Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds," Journal of Finance, American Finance Association, volume 74, issue 4, pages 1931-1973, August, DOI: 10.1111/jofi.12776.
• Senarathne Chamil W., 2019, "The Impact of Internet Information Flow Regarding ‘Innovation’ on Common Stock Returns: Volume vs Google Search Quarries," Management of Sustainable Development, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, volume 11, issue 1, pages 43-49, June.
• Sun-Joong Yoon, 2019, "Determinants of Variance Risk Premium (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 25, issue 1, pages 1-33, March.
• René Garcia & Nour Meddahi, 2019, "Prime de risque et prix du risque sur les actions," Revue d'économie financière, Association d'économie financière, volume 0, issue 1, pages 199-211.
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• Xiomara Esther Vazquez Carrazana & Gilberto Jos� Miranda, 2019, "Relación entre indicadores económicos y precio de acciones en empresas brasilenas," Revista Facultad de Ciencias Económicas, Universidad Militar Nueva Granada, volume 27, issue 2, pages 51-66, DOI: 10.18359/rfce.3510.
• Edwin Alexander Veloza Moreno, 2019, "Aplicación del modelo estocástico de difusion -salto de merton para la simulación del valor del índice colcap," Vniversitas Económica, Universidad Javeriana - Bogotá, volume 0, issue 0, pages 1-23.
• BAUWENS Luc, & XU Yongdeng,, 2019, "DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2019025, Dec.
• Tomasz Sosnowski & Anna Wawryszuk-Misztal, 2019, "Diversity on management and supervisory board and accuracy of management earnings forecasts in IPO prospectuses," Ekonomia i Prawo, Uniwersytet Mikolaja Kopernika, volume 18, issue 3, pages 347-363, September, DOI: 10.12775/EiP.2019.024.
• Sentana, Enrique & Fiorentini, Gabriele, 2019, "New testing approaches for mean-variance predictability," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13426, Jan.
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• Mele, Antonio & Distaso, Walter & Vilkov, Grigory, 2019, "Correlation Risk, Strings and Asset Prices," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13873, Jul.
• Taylor, Alan M. & Davis, Josh, 2019, "The Leverage Factor: Credit Cycles and Asset Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14115, Nov.
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• Gambacorta, Leonardo & Huang, Yiping & Qiu, Han & Wang, Jingyi, 2019, "How do machine learning and non-traditional data affect credit scoring? New evidence from a Chinese fintech firm," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14259, Dec.
• Moura, Guilherme V. & Santos, André A. P. & Ruiz Ortega, Esther, 2019, "Comparing Forecasts of Extremely Large Conditional Covariance Matrices," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 29291, Nov.
• Kuo-Hwa Chang & Michael Nayat Young, 2019, "Portfolios Optimizations of Behavioral Stocks with Perception Probability Weightings," Annals of Economics and Finance, Society for AEF, volume 20, issue 2, pages 817-845, November.
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• Karlo Kauko & Eero Tölö, 2019, "Banking Crisis Prediction with Differenced Relative Credit," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot GmbH, Berlin, volume 65, issue 4, pages 277-297, DOI: 10.3790/aeq.65.4.277.
• Михаела Монова, 2019, "Новите Законодателните Промени По Застраховка „Гражданска Отговорност” На Автомобилистите И Влиянието Им Върху Финансовата Стабилност На Българския Застрахователен Пазар," Almanac of PhD Students, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, volume 15, issue 15 Year 2, pages 125-154.
• Анелия Пенева, 2019, "Анализ На Взаимовръзките Между Капиталовите И Валутните Пазари," Almanac of PhD Students, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, volume 15, issue 15 Year 2, pages 29-50.
• Стефан Симеонов & Теодор Тодоров & Даниел Николаев, 2019, "Развитие На Честотния Анализ На Променливостта В Модел За Прогнозиране Тренда На Финансовите Пазари И Сравнителна Емпирична Оценка С Техническия Анализ," Electronic magazine "Dialogue", D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 1 Year 20, pages 37-70.
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• Chin-Sheng Huang & Yi-Sheng Liu, 2019, "Machine Learning on Stock Price Movement Forecast: The Sample of the Taiwan Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, volume 9, issue 2, pages 189-201.
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• Arindam Banerjee, 2019, "Forecasting of India VIX as a Measure of Sentiment," International Journal of Economics and Financial Issues, Econjournals, volume 9, issue 3, pages 268-276.
• Rama Krishna Yelamanchili, 2019, "Impact of Consumer Sentiment on Defensive and Aggressive Stock Returns: Indian Evidence," International Journal of Economics and Financial Issues, Econjournals, volume 9, issue 4, pages 109-114.
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• Zhang, Han & Fan, Xiaoyun & Guo, Bin & Zhang, Wei, 2019, "Reexamining time-varying bond risk premia in the post-financial crisis era," Journal of Economic Dynamics and Control, Elsevier, volume 109, issue C, DOI: 10.1016/j.jedc.2019.103777.
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