Research classified by Journal of Economic Literature (JEL) codes

2019

• Bazhenov, Timofey & Fantazzini, Dean, 2019, "Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility," MPRA Paper, University Library of Munich, Germany, number 93544, Apr.
• Jurdi, Doureige & Kim, Jae, 2019, "Predicting the U.S. Stock Market Return: Evidence from the Improved Augmented Regression Method," MPRA Paper, University Library of Munich, Germany, number 94028, May.
• Pierrefeu, Alex, 2019, "A New Adaptive Moving Average (Vama) Technical Indicator For Financial Data Smoothing," MPRA Paper, University Library of Munich, Germany, number 94323, May.
• Degiannakis, Stavros & Filis, George, 2019, "Oil price volatility forecasts: What do investors need to know?," MPRA Paper, University Library of Munich, Germany, number 94445, Jun.
• Degiannakis, Stavros & Filis, George & Siourounis, Grigorios & Trapani, Lorenzo, 2019, "Superkurtosis," MPRA Paper, University Library of Munich, Germany, number 94473, Jan.
• Xiao, Tim, 2019, "Incremental Risk Charge Methodology," MPRA Paper, University Library of Munich, Germany, number 94581, May, revised 08 May 2019.
• Tim, Xiao, 2019, "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," MPRA Paper, University Library of Munich, Germany, number 94701, Mar.
• Xiao, Tim, 2019, "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper, University Library of Munich, Germany, number 94861, Jul.
• Olkhov, Victor, 2019, "New Essentials of Economic Theory," MPRA Paper, University Library of Munich, Germany, number 95065, Jul.
• Bucci, Andrea, 2019, "Cholesky-ANN models for predicting multivariate realized volatility," MPRA Paper, University Library of Munich, Germany, number 95137, Jul.
• Bucci, Andrea, 2019, "Realized Volatility Forecasting with Neural Networks," MPRA Paper, University Library of Munich, Germany, number 95443, Aug.
• Pierrefeu, Alex, 2019, "Recursive Bands - A New Indicator For Technical Analysis," MPRA Paper, University Library of Munich, Germany, number 95806, Aug.
• Salles, Andre Assis de & Magrath, Raphael Sebastian & Malheiros, Matheus Manzani, 2019, "Determination of Copper Price Expectations in the International Market: Some Important Variables," MPRA Paper, University Library of Munich, Germany, number 95812, Feb, revised 31 Aug 2019.
• Fantazzini, Dean & Zimin, Stephan, 2019, "A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies," MPRA Paper, University Library of Munich, Germany, number 95988.
• Fantazzini, Dean & Shangina, Tamara, 2019, "The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades," MPRA Paper, University Library of Munich, Germany, number 95992.
• Degiannakis, Stavros & Filis, George & Siourounis, Grigorios & Trapani, Lorenzo, 2019, "Superkurtosis," MPRA Paper, University Library of Munich, Germany, number 96563, Oct.
• Gao, Ya & Han, Xing & Li, Youwei & Xiong, Xiong, 2019, "Overnight Momentum, Informational Shocks, and Late-Informed Trading in China," MPRA Paper, University Library of Munich, Germany, number 96784, Sep.
• Katsafados, Apostolos G. & Androutsopoulos, Ion & Chalkidis, Ilias & Fergadiotis, Emmanouel & Leledakis, George N. & Pyrgiotakis, Emmanouil G., 2019, "Using textual analysis to identify merger participants: Evidence from the U.S. banking industry," MPRA Paper, University Library of Munich, Germany, number 96893, Nov.
• Pincheira, Pablo & Hardy, Nicolás, 2019, "Forecasting Aluminum Prices with Commodity Currencies," MPRA Paper, University Library of Munich, Germany, number 97005, Nov.
• Lozinskaia, Agata & Saltykova, Anastasiia, 2019, "Fundamental Factors Affecting the MOEX Russia Index: Retrospective Analysis," MPRA Paper, University Library of Munich, Germany, number 97308, Sep, revised 23 Sep 2019.
• Muteba Mwamba, John Weirstrass & Tchuinkam Djemo, Charles Raoul, 2019, "Exchange Rate Risk and International Equity Portfolio Diversification: A South African Investor’s Perspective," MPRA Paper, University Library of Munich, Germany, number 97338, Dec.
• Seixas, Mário & Barbosa, António, 2019, "Optimal Value-at-Risk Disclosure," MPRA Paper, University Library of Munich, Germany, number 97526.
• Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2019, "Forecasting Realized Oil-Price Volatility: The Role of Financial Stress and Asymmetric Loss," Working Papers, University of Pretoria, Department of Economics, number 201903, Jan.
• Oguzhan Cepni & Riza Demirer & Rangan Gupta & Christian Pierdzioch, 2019, "Time-Varying Risk Aversion and the Predictability of Bond Premia," Working Papers, University of Pretoria, Department of Economics, number 201906, Jan.
• Joao F. Caldeira & Rangan Gupta & Tahir Suleman & Hudson S. Torrent, 2019, "Forecasting the Term Structure of Interest Rates of the BRICS: Evidence from a Nonparametric Functional Data Analysis," Working Papers, University of Pretoria, Department of Economics, number 201911, Feb.
• Oguzhan Cepni & Rangan Gupta & Mark E. Wohar, 2019, "Variants of Consumption-Wealth Ratios and Predictability of U.S. Government Bond Risk Premia: Old is still Gold," Working Papers, University of Pretoria, Department of Economics, number 201912, Feb.
• Elie Bouri & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2019, "Gold, Platinum and the Predictability of Bond Risk Premia," Working Papers, University of Pretoria, Department of Economics, number 201967, Aug.
• Riza Demirer & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2019, "Risk Aversion and the Predictability of Crude Oil Market Volatility: A Forecasting Experiment with Random Forests," Working Papers, University of Pretoria, Department of Economics, number 201972, Sep.
• Oguzhan Cepni & I. Ethem Guney & Rangan Gupta & Mark E. Wohar, 2019, "The Role of an Aligned Investor Sentiment Index in Predicting Bond Risk Premia of the United States," Working Papers, University of Pretoria, Department of Economics, number 201973, Sep.
• Vasilios Plakandaras & Elie Bouri & Rangan Gupta, 2019, "Forecasting Bitcoin Returns: Is there a Role for the U.S. – China Trade War?," Working Papers, University of Pretoria, Department of Economics, number 201980, Nov.
• Milan Fičura, 2019, "Forecasting Cross-Section of Stock Returns with Realised Moments," European Financial and Accounting Journal, Prague University of Economics and Business, volume 2019, issue 2, pages 71-84, DOI: 10.18267/j.efaj.227.
• Milan Fičura, 2019, "Profitability of Trading in the Direction of Asset Price Jumps - Analysis of Multiple Assets and Frequencies," Prague Economic Papers, Prague University of Economics and Business, volume 2019, issue 4, pages 385-401, DOI: 10.18267/j.pep.703.
• Milan Fičura, 2019, "Forecasting Foreign Exchange Rate Movements with k-Nearest-Neighbour, Ridge Regression and Feed-Forward Neural Networks," FFA Working Papers, Prague University of Economics and Business, number 1.001, Nov, revised 24 Nov 2019.
• Savvakis C. Savvides, 2019, "Unproductive Debt and the Impairment of the Real Economy," Development Discussion Papers, JDI Executive Programs, number 2019-10, Oct.
• Savvakis C. Savvides, 2019, "Collateral Damage," Development Discussion Papers, JDI Executive Programs, number 2019-13.
• Gustavo Cabrera Gonzalez & Adrian de Leon Arias, 2019, "Modelacion markoviana para identificar la dinamica y pronostico del indice de produccion industrial en Mexico de 1980 a 2018," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., volume 16, issue 2, pages 23-41, Julio-Dic.
• J. James Reade & Carl Singleton & Alasdair Brown, 2019, "Evaluating Strange Forecasts: The Curious Case of Football Match Scorelines," Economics Discussion Papers, Department of Economics, University of Reading, number em-dp2019-18, Jun, revised 01 Aug 2020.
• Ivan Jaccard & Frank Smets, 2019, "Online Appendix to "Structural Asymmetries and Financial Imbalances in the Eurozone"," Online Appendices, Review of Economic Dynamics, number 18-135.
• Ivan Jaccard & Frank Smets, 2019, "Code and data files for "Structural Asymmetries and Financial Imbalances in the Eurozone"," Computer Codes, Review of Economic Dynamics, number 18-135, revised .
• Ivan Jaccard, 2019, "Structural Asymmetries and Financial Imbalances," 2019 Meeting Papers, Society for Economic Dynamics, number 988.
• Rados³aw Pastusiak & Jakub Keller, 2019, "Determinants of occurrence of excessive optimism among analysts of the Warsaw Stock Exchange," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, volume 37, issue 1, pages 259-275.
• Chamil W Senarathne, 2019, "The Information Flow Interpretation of Margin Debt Value Data: Evidence from New York Stock Exchange," Asian Journal of Applied Economics/ Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, volume 26, issue 1, pages 45-70.
• Dean Fantazzini & Tamara Shangina, 2019, "The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 55, pages 5-31.
• Artur Nagapetyan, 2019, "Precondition stock and stock indices volatility modeling based on market diversification potential: Evidence from Russian market," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 56, pages 45-61.
• Omer Iskenderoglu & Saffet Akdag, 2019, "Türkiye’de Reel Konut Fiyatlarında Balonların Varlığı Üzerine Uygulamalı Bir Analiz (An Applied Analysis on the Presence of Price Bubbles of Real Estate Prices in Turkey)," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 10, issue 5, pages 1085-1093.
• Nurwahida Yaakub & Mohamed Sherif, 2019, "Performance of initial public offerings (IPOs): the case of Shariah-compliant companies," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), volume 27, pages 65-76.
• Yu-Ho Chi & David A Ziebart & Terry Campbell, 2019, "Option Compensation and Optimistic Bias in Management’s Earnings Forecasts," Journal of Finance and Accounting Research, University of Management and Technology, Lahore, volume 1, issue 2, pages 1-26.
• Asaad Alahrezaee & Ali falahati & Kiomars Soheily, 2019, "Portfolio Optimization Using Three-Objective Particle Swarm Optimization," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, volume 5, issue 4, pages 31-52.
• Mohammad Mehdi Bargi Osguie & Reza Saghafi Killvana, 2019, "An Appraisal of Downside and Upside Risk Spillovers of Exchange Rates, Crude Oil and Gold Prices on Tehran Stock Exchange," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, volume 5, issue 4, pages 143-172.
• Yue Qiu & Tian Xie & Jun Yu & Qiankun Zhou, 2019, "Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 7-2019, Mar.
• Davor Mance & Bojana Olgic Drazenovic & Stella Suljic Nikolaj, 2019, "Croatian Kuna: Money, Or Just A Currency? Evidence From The Interbank Market," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, volume 10, issue 2, pages 149-161.
• Lucian Liviu ALBU & Radu LUPU & Adrian Cantemir CĂLIN & Iulia LUPU, 2019, "Nonlinear Modeling of Financial Stability Using Default Probabilities from the Capital Market," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 19-37, March.
• Wali ULLAH, 2019, "The Role of No-Arbitrage Restriction in Term Structure Model in the Context of an Emerging Market," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 44-66, December.
• Meysam KAVIANI & Parviz SAEEDI & Hosein DIDEHKHANI & Seyed Fakhreddin FAKHREHOSSEINI, 2019, "Government Expenditure, Risk and Return: A Framework for a New Keynesian Model in the Iranian Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 5-24, December.
• Jinyoung YU & Doojin RYU, 2019, "Predicting Banks’ Subordinated Bond Issuances," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 87-99, December.
• Abramov, Alexander E. (Абрамов, Александр) & Radygin, Alexander D. (Радыгин, Александр) & Chernova, Maria I. (Чернова, Мария), 2019, "Efficiency in Portfolio Management of Equity Funds and Methods of Its Evaluation
  [Эффективность Управления Портфелями Паевых Инвестиционных Фондов Акций И Ее Оценка]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, volume 4, pages 8-47, August.
• Oana Mădălina POPESCU, 2019, "Investor Sentiment on the Stock Market using Artificial Neural Networks," REVISTA DE MANAGEMENT COMPARAT INTERNATIONAL/REVIEW OF INTERNATIONAL COMPARATIVE MANAGEMENT, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 20, issue 5, pages 508-518, December.
• Harald Kinateder & Vassilios G. Papavassiliou, 2019, "Sovereign bond return prediction with realized higher moments," Open Access publications, Research Repository, University College Dublin, number 10197/11286, Sep.
• Kriti Kulshrestha & Saumitra N. Bhaduri, 2019, "The Joint Dynamics of Liquidity and Volatility Across Small- and Large- index Indian Funds," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 18, issue 2_suppl, pages 167-182, August, DOI: 10.1177/0972652719846318.
• Suparna Nandy (Pal) & Arup Kr. Chattopadhyay, 2019, "‘Indian Stock Market Volatility’: A Study of Inter-linkages and Spillover Effects," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 18, issue 2_suppl, pages 183-212, August, DOI: 10.1177/0972652719846321.
• V. Minasyan B. & D. Ivko G. & В. Минасян Б. & Д. Ивко Г., 2019, "Анализ модельного риска использования технологии мультипликаторов при оценке акций российских компаний // Model Risk Analysis of Multiplier Technology Applied at Stock Valuation of Russian Companies," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, volume 23, issue 6, pages 91-116.
• Andy Cheng, 2019, "Pairs Trading with Crypto: Evidence from Bitcoin," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 9211529, Jul.
• Ali Bendob & Naima Bentouir, 2019, "Options Pricing by Monte Carlo Simulation, Binomial Tree and BMS Model: a comparative study of Nifty50 options index," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, volume 1, issue 11, pages 79-95, January.
• Elias Cavalcante-Filho, Fernando Chague, Rodrigo De Losso, Bruno Giovannetti, 2019, "US Risk Premia under Emerging Markets Constraints," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2019_28, Jul.
• Zeineb Affes & Rania Hentati-Kaffel, 2019, "Forecast bankruptcy using a blend of clustering and MARS model: case of US banks," Annals of Operations Research, Springer, volume 281, issue 1, pages 27-64, October, DOI: 10.1007/s10479-018-2845-8.
• N. Banholzer & S. Heiden & D. Schneller, 2019, "Exploiting investor sentiment for portfolio optimization," Business Research, Springer;German Academic Association for Business Research, volume 12, issue 2, pages 671-702, December, DOI: 10.1007/s40685-018-0062-6.
• Anna Rita Bacinello & Ivan Zoccolan, 2019, "Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 42, issue 1, pages 21-49, June, DOI: 10.1007/s10203-019-00255-w.
• Fabien Floc’h & Cornelis W. Oosterlee, 2019, "Model-free stochastic collocation for an arbitrage-free implied volatility: Part I," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 42, issue 2, pages 679-714, December, DOI: 10.1007/s10203-019-00238-x.
• Jonathan Haynes & Daniel Schmitt & Lukas Grimm, 2019, "Estimating stochastic volatility: the rough side to equity returns," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 42, issue 2, pages 449-469, December, DOI: 10.1007/s10203-019-00261-y.
• Bernard Dumas & Elisa Luciano, 2019, "From volatility smiles to the volatility of volatility," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 42, issue 2, pages 387-406, December, DOI: 10.1007/s10203-019-00263-w.
• Elisa Alòs & Maria Elvira Mancino & Tai-Ho Wang, 2019, "Volatility and volatility-linked derivatives: estimation, modeling, and pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 42, issue 2, pages 321-349, December, DOI: 10.1007/s10203-019-00271-w.
• Takanobu Mizuta & Sadayuki Horie, 2019, "Mechanism by which active funds make market efficient investigated with agent-based model," Evolutionary and Institutional Economics Review, Springer, volume 16, issue 1, pages 43-63, June, DOI: 10.1007/s40844-018-0102-0.
• Kefan Xie & Zimei Liu & Long Chen & Weiyong Zhang & Sishi Liu & Sohail S. Chaudhry, 2019, "Success factors and complex dynamics of crowdfunding: An empirical research on Taobao platform in China," Electronic Markets, Springer;IIM University of St. Gallen, volume 29, issue 2, pages 187-199, June, DOI: 10.1007/s12525-018-0305-6.
• Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2019, "Volatility-dependent correlations: further evidence of when, where and how," Empirical Economics, Springer, volume 57, issue 2, pages 505-540, August, DOI: 10.1007/s00181-018-1473-0.
• Roi D. Taussig & Dror Tobi & Moti Zwilling, 2019, "The importance of timing in estimating beta," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 9, issue 1, pages 61-70, March, DOI: 10.1007/s40822-018-0103-7.
• Mario Hefter & Arnulf Jentzen, 2019, "On arbitrarily slow convergence rates for strong numerical approximations of Cox–Ingersoll–Ross processes and squared Bessel processes," Finance and Stochastics, Springer, volume 23, issue 1, pages 139-172, January, DOI: 10.1007/s00780-018-0375-5.
• Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2019, "Long-term price overreactions: are markets inefficient?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 43, issue 4, pages 657-680, October, DOI: 10.1007/s12197-018-9464-8.
• James Francisco & Evan Moore, 2019, "Betting with house money: reverse line movement based strategies in college football totals markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 43, issue 4, pages 813-827, October, DOI: 10.1007/s12197-019-09479-3.
• Saffet Akdağ & İlker Kiliç & Hakan Yildirim, 2019, "Does VIX scare stocks of tourism companies?," Letters in Spatial and Resource Sciences, Springer, volume 12, issue 3, pages 215-232, December, DOI: 10.1007/s12076-019-00238-w.
• Jerzy Marcinkowski, 2019, "Dynamics of the Financial Markets and the Wealth Concentration," Springer Proceedings in Business and Economics, Springer, chapter 0, in: Waldemar Tarczyński & Kesra Nermend, "Effective Investments on Capital Markets", DOI: 10.1007/978-3-030-21274-2_22.
• Matthias Demmer & Paul Pronobis & Teri Lombardi Yohn, 2019, "Mandatory IFRS adoption and analyst forecast accuracy: the role of financial statement-based forecasts and analyst characteristics," Review of Accounting Studies, Springer, volume 24, issue 3, pages 1022-1065, September, DOI: 10.1007/s11142-019-9481-7.
• Huaibing Yu, 2019, "Long-run Cointegration and Market Equilibrium in Large Cap Stocks," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, volume 8, issue 1, pages 1-2.
• Huaibing Yu, 2019, "An Econometric Analysis on Influential Power Across Global Stock Markets," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, volume 8, issue 3, pages 1-1.
• Kelly, Jane & Le Blanc, Julia & Lydon, Reamonn, 2019, "Pockets of risk in European housing markets: then and now," ESRB Working Paper Series, European Systemic Risk Board, number 87, Feb.
• Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2019, "Effectiveness of policy and regulation in European sovereign credit risk markets: a network analysis," ESRB Working Paper Series, European Systemic Risk Board, number 90, Mar.
• Irina Maslova & Boris Maslov & Irina Korostelkina & Liudmila Popova, 2019, "Model of statistical economic profile of innovative biomedical product value formation and update," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, volume 7, issue 1, pages 471-483, September, DOI: 10.9770/jesi.2019.7.1(33).
• Fabian Hollstein & Marcel Prokopczuk & Björn Tharann & Chardin Wese Simen, 2019, "Predicting the equity market with option-implied variables," The European Journal of Finance, Taylor & Francis Journals, volume 25, issue 10, pages 937-965, July, DOI: 10.1080/1351847X.2018.1556176.
• Richard Deaves & Jin Lei & Michael Schröder, 2019, "Forecaster Overconfidence and Market Survey Performance," Journal of Behavioral Finance, Taylor & Francis Journals, volume 20, issue 2, pages 173-194, April, DOI: 10.1080/15427560.2018.1505727.
• Xiu Xu & Cathy Yi-Hsuan Chen & Wolfgang Karl Härdle, 2019, "Dynamic credit default swap curves in a network topology," Quantitative Finance, Taylor & Francis Journals, volume 19, issue 10, pages 1705-1726, October, DOI: 10.1080/14697688.2019.1585560.
• Halil Ibrahim Korkmaz & Doruk Kucuksarac & Yigit Onay & Ahmet Senol, 2019, "Estimation of FX Option Implied Density Functions: Nonparametric-Malz Approach," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1903.
• Anne Opschoor & André Lucas & Istvan Barra & Dick van Dijk, 2019, "Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-013/IV, Feb, revised 23 Oct 2019.
• Sander Barendse & Erik Kole & Dick van Dijk, 2019, "Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-058/III, Aug.
• Laura Garcia-Jorcano & Alfonso Novales, 2019, "A dominance approach for comparing the performance of VaR forecasting models," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2019-23, Sep.
• Mohamed Chikhi & Claude Diebolt, 2019, "Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2019-06.
• Mohamed Chikhi & Claude Diebolt & Tapas Mishra, 2019, "Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2019-24.
• Mohamed CHIKHI & Claude DIEBOLT & Tapas MISHRA, 2019, "Does Predictive Ability of an Asset Price Rest in 'Memory'? Insights from a New Approach," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2019-43.
• Emilio Carnevali & Matteo Deleidi & Riccardo Pariboni & Marco Veronese Passarella, 2019, "Cross-Border Financial Effects of Global Warming In a Two-Area Ecological SFC Model," UMASS Amherst Economics Working Papers, University of Massachusetts Amherst, Department of Economics, number 2019-02.
• Fousseni Chabi-Yo & Markus Huggenberger & Florian Weigert, 2019, "Multivariate Crash Risk," Working Papers on Finance, University of St. Gallen, School of Finance, number 1901, Feb.
• Manuel Ammann & Alexander Feser, 2019, "Robust Estimation of Risk-Neutral Moments," Working Papers on Finance, University of St. Gallen, School of Finance, number 1902, Mar.
• Marco Corazza & Giovanni Fasano & Riccardo Gusso & Raffaele Pesenti, 2019, "A comparison among Reinforcement Learning algorithms in financial trading systems," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2019:33.
• KIRKPINAR, Aysegul & ERER, Elif & ERER, Deniz, 2019, "Is There A Rational Bubble In Bist 100 And Sector Indices?," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 23, issue 3, pages 21-33, September.
• JAKI, Alexander & AITSIDIS, Charalampos & PANAGIOTOPOULOS, Fotios & MADITINOS, Dimitrios, 2019, "Development Of A Financial Model In A Business: The Case Of A Company In Plastics Industry," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 23, issue 4, pages 21-38, December.
• Szubzda Filip & Chlebus Marcin, 2019, "Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions," Central European Economic Journal, Sciendo, volume 6, issue 53, pages 70-85, January, DOI: 10.2478/ceej-2019-0005.
• Szubzda Filip & Chlebus Marcin, 2019, "Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions," Central European Economic Journal, Sciendo, volume 6, issue 53, pages 70-85, January, DOI: 10.2478/ceej-2019-0005.
• Ptak-Chmielewska Aneta & Matuszyk Anna, 2019, "Macroeconomic Factors in Modelling the SMEs Bankruptcy Risk. The Case of the Polish Market," Econometrics. Advances in Applied Data Analysis, Sciendo, volume 23, issue 3, pages 40-49, September, DOI: 10.15611/eada.2019.3.04.
• Prusak Błażej, 2019, "Corporate Bankruptcy Prediction in Poland Against the Background of Foreign Experience," Financial Internet Quarterly (formerly e-Finanse), Sciendo, volume 15, issue 1, pages 10-19, March, DOI: 10.2478/fiqf-2019-0002.
• Pitera Rafał, 2019, "Credibility of foreign Discriminatory Models in Relation to the Assessment of the Financial Condition of Polish Enterprises. Case Study of E. Altman’s Method," Financial Internet Quarterly (formerly e-Finanse), Sciendo, volume 15, issue 3, pages 21-28, September, DOI: 10.2478/fiqf-2019-0017.
• Bogołębska Justyna, 2019, "The Dividend Policy of Companies Listed on the Warsaw Stock Exchange," Financial Sciences. Nauki o Finansach, Sciendo, volume 24, issue 2, pages 17-27, June, DOI: 10.15611/fins.2019.2.02.
• Pasieczna Aleksandra Helena, 2019, "Monte Carlo Simulation Approach to Calculate Value at Risk: Application to WIG20 and MWIG40," Financial Sciences. Nauki o Finansach, Sciendo, volume 24, issue 2, pages 61-75, June, DOI: 10.15611/fins.2019.2.05.
• Senarathne Chamil W. & Šoja Tijana, 2019, "Heteroskedasticity in Excess Bitcoin Return Data: Google Trend vs. Garch Effects," Financial Sciences. Nauki o Finansach, Sciendo, volume 24, issue 3, pages 35-45, September, DOI: 10.15611/fins.2019.3.04.
• Piekunko-Mantiuk Iwona, 2019, "Parameterized Trade on the Futures Market on the WIG20," Folia Oeconomica Stetinensia, Sciendo, volume 19, issue 1, pages 114-125, June, DOI: 10.2478/foli-2019-0008.
• Senarathne Chamil W. & Long Wei, 2019, "Industry Competition and Common Stock Returns," Management Sciences. Nauki o Zarządzaniu, Sciendo, volume 24, issue 3, pages 24-35, September, DOI: 10.15611/ms.2019.3.04.
• 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, Sciendo, volume 11, issue 1, pages 43-49, June.
• Shehu U.R. Aliyu, 2019, "Do Presidential Elections Affect Stock Market Returns In Nigeria?," West African Journal of Monetary and Economic Integration, West African Monetary Institute, volume 19, issue 1, pages 40-56, June.
• Maryna Zenkova & Robert Ślepaczuk, 2019, "Robustness of Support Vector Machines in Algorithmic Trading on Cryptocurrency Market," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2019-02.
• Michał Latoszek & Robert Ślepaczuk, 2019, "Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2019-14.
• Kamil Korzeń & Robert Ślepaczuk, 2019, "Hybrid Investment Strategy Based on Momentum and Macroeconomic Approach," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2019-17.
• Cangoz,Mehmet Coskun & Sulla,Olga & Wang,ChunLan & Dychala,Christopher Benjamin, 2019, "A Joint Foreign Currency Risk Management Approach for Sovereign Assets and Liabilities," Policy Research Working Paper Series, The World Bank, number 8728, Feb.
• Amat Adarov & Richard Grieveson & Mario Holzner & Olga Pindyuk & Hermine Vidovic, 2019, "Unsecured Lending in Central and Southeast Europe," wiiw Market Report, The Vienna Institute for International Economic Studies, wiiw, number 1, Mar.
• Xin Jin & John M. Maheu & Qiao Yang, 2019, "Bayesian parametric and semiparametric factor models for large realized covariance matrices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 34, issue 5, pages 641-660, August, DOI: 10.1002/jae.2685.
• Fabian Hollstein & Marcel Prokopczuk & Chardin Wese Simen, 2019, "The term structure of systematic and idiosyncratic risk," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 39, issue 4, pages 435-460, April, DOI: 10.1002/fut.21985.
• Lijuan Huo & Jin Seo Cho, 2019, "Testing for the Sandwich-Form Covariance Matrix Applied to Quasi-Maximum Likelihood Estimation Using Economic and Energy Price Growth Rates," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2019rwp-152, Nov.
• Jin Yeub Kim & Yongjun Kim & Myungkyu Shim, 2019, "Do Financial Analysts Herd?," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2019rwp-161, Dec.
• Kauko, Karlo & Tölö, Eero, 2019, "Banking crisis prediction with differenced relative credit," BoF Economics Review, Bank of Finland, number 4/2019.
• Barasinska, Nataliya & Haenle, Philipp & Koban, Anne & Schmidt, Alexander, 2019, "Stress testing the German mortgage market," Discussion Papers, Deutsche Bundesbank, number 17/2019.
• Baines, Joseph & Hager, Sandy Brian, 2019, "Financial Crisis, Inequality, and Capitalist Diversity: A Critique of the Capital as Power Model of the Stock Market," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, issue Online Fi.
• Dumitru, Ana-Maria & Hizmeri, Rodrigo & Izzeldin, Marwan, 2019, "Forecasting the Realized Variance in the Presence of Intraday Periodicity," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 193631.
• Pele, Daniel Traian & Mazurencu-Marinescu-Pele, Miruna, 2019, "Metcalfe's law and herding behaviour in the cryptocurrencies market," Economics Discussion Papers, Kiel Institute for the World Economy, number 2019-16.
• Pele, Daniel Traian & Mazurencu-Marinescu-Pele, Miruna, 2019, "Metcalfe's law and log-period power laws in the cryptocurrencies market," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 13, pages 1-26, DOI: 10.5018/economics-ejournal.ja.2019-.
• Xu, Jiahua, 2019, "Semiparametric Value-At-Risk Estimation of Portfolios. A replication study of Dias (Journal of Banking & Finance, 2014)," International Journal for Re-Views in Empirical Economics (IREE), ZBW - Leibniz Information Centre for Economics, volume 3, pages 1-20, DOI: 10.18718/81781.15.
• Klochkov, Yegor & Härdle, Wolfgang Karl & Xu, Xiu, 2019, "Localizing Multivariate CAViaR," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2019-007.
• Hu, Junjie & Kuo, Weiyu & Härdle, Wolfgang Karl, 2019, "Risk of Bitcoin Market: Volatility, Jumps, and Forecasts," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2019-024.
• Demary, Markus, 2019, "IW Financial Expert Survey: Second Quarter 2019," IW-Reports, Institut der deutschen Wirtschaft (IW) / German Economic Institute, number 15/2019.
• Demary, Markus, 2019, "IW Financial Expert Survey: Fourth Quarter 2019," IW-Reports, Institut der deutschen Wirtschaft (IW) / German Economic Institute, number 37/2019.
• Demary, Markus, 2019, "IW Financial Expert Survey: First Quarter 2019," IW-Reports, Institut der deutschen Wirtschaft (IW) / German Economic Institute, number 4/2019.
• Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2019, "Effectiveness of policy and regulation in European sovereign credit risk markets: A network analysis," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 125, DOI: 10.5445/IR/1000092476.
• Luo, Jiawen & Klein, Tony & Ji, Qiang & Hou, Chenghan, 2019, "Forecasting Realized Volatility of Agricultural Commodity Futures with Infinite Hidden Markov HAR Models," QBS Working Paper Series, Queen's University Belfast, Queen's Business School, number 2019/10, DOI: 10.2139/ssrn.3435054.

2018

• Patrick Bielstein, 2018, "International asset allocation using the market implied cost of capital," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 32, issue 1, pages 17-51, February, DOI: 10.1007/s11408-017-0302-3.
• Hanen Ben Salah & Jan G. Gooijer & Ali Gannoun & Mathieu Ribatet, 2018, "Mean–variance and mean–semivariance portfolio selection: a multivariate nonparametric approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 32, issue 4, pages 419-436, November, DOI: 10.1007/s11408-018-0317-4.
• Jules Clement Mba & Edson Pindza & Ur Koumba, 2018, "A differential evolution copula-based approach for a multi-period cryptocurrency portfolio optimization," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 32, issue 4, pages 399-418, November, DOI: 10.1007/s11408-018-0320-9.
• Felix Brinkmann & Olaf Korn, 2018, "Risk-adjusted option-implied moments," Review of Derivatives Research, Springer, volume 21, issue 2, pages 149-173, July, DOI: 10.1007/s11147-017-9136-4.
• Mohammad Alomari & David. M. Power & Nongnuch Tantisantiwong, 2018, "Determinants of equity return correlations: a case study of the Amman Stock Exchange," Review of Quantitative Finance and Accounting, Springer, volume 50, issue 1, pages 33-66, January, DOI: 10.1007/s11156-017-0622-4.
• Benjamin Mögel & Benjamin R. Auer, 2018, "How accurate are modern Value-at-Risk estimators derived from extreme value theory?," Review of Quantitative Finance and Accounting, Springer, volume 50, issue 4, pages 979-1030, May, DOI: 10.1007/s11156-017-0652-y.
• Dia Amadou, 2018, "Financial Inclusion and Poverty Reduction: Selected Approaches and Implications for Mali's Choice," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, volume 4, issue 4, pages 50-56, December.
• Maurizio Daniele & Winfried Pohlmeier & Aygul Zagidullina, 2018, "Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2018-07, Oct.
• Dimitris Korobilis & Kamil Yilmaz, 2018, "Measuring Dynamic Connectedness with Large Bayesian VAR Models," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1802, Jan.
• Váradi, Kata & Ladoniczki, Sára Kata, 2018, "Elszámolóházak alapbiztosítéki követelményeinek számítási módszertana
  [Numerical methodology in the basic insurance requirements of clearing houses]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 7, pages 780-809, DOI: 10.18414/KSZ.2018.7-8.780.
• Nadri, Kamran & Ebrahimi, Sajad & Fadaie, Abbas, 2018, "An Investigation of Co-Movement of Financial Stability Index with Macro-Prudential Indicator through Wavelet Analysis," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 13, issue 2, pages 125-151, April.
• Sadeghzadeh Yazdi, Ali & Abounoori, Esmaiel & Erfani, Alireza, 2018, "Modeling the Liquidity Gap in a Private Bank," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 13, issue 2, pages 153-176, April.
• Nadri, Kamran & Ebrahimi, Sajad & Fadaie, Abbas, 2018, "Assessment of Financial Stability in the Banking Sector in Iran," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 13, issue 4, pages 501-523, October.
• Seyedehzahra NEMATOLLAHI & Giancarlo MANZI, 2018, "Portfolio Management Using Prospect Theory: Comparing Genetic Algorithms and Particle Swarm Optimization," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2018-03, Mar.
• Levente Kocsis & Miklos Sallay, 2018, "Credit-to-GDP gap calculation using multivariate HP filter," MNB Occasional Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2018/136.
• Francesco Caloia & Andrea Cipollini & Silvia Muzzioli, 2018, "On the financial connectedness of the commodity market: a replication of the Diebold and Yilmaz (2012) study," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0131, Sep.
• Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2018, "The properties of a skewness index and its relation with volatility and returns," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0133, Sep.
• Hong Wang & Catherine S. Forbes & Jean-Pierre Fenech & John Vaz, 2018, "The determinants of bank loan recovery rates in good times and bad -- new evidence," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 7/18.
• Aneta Ptak-Chmielewska & Anna Matuszyk, 2018, "The importance of financial and non-financial ratios in SMEs bankruptcy prediction," Bank i Kredyt, Narodowy Bank Polski, volume 49, issue 1, pages 45-62.
• Bryan Kelly & Seth Pruitt & Yinan Su, 2018, "Characteristics Are Covariances: A Unified Model of Risk and Return," NBER Working Papers, National Bureau of Economic Research, Inc, number 24540, Apr.
• Bozhidar Nedev, 2018, "Short-term Predictability on the International Capital Markets – Momentum Effect," Ikonomiceski i Sotsialni Alternativi, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 121-135, April.
• Mieczyslaw Adamowicz, 2018, "Long-Term Financial Forecasting As A Part Of Strategic Planning In Local Government Units," OLSZTYN ECONOMIC JOURNAL, University of Warmia and Mazury in Olsztyn, Faculty of Economic Sciences, volume 13, issue 4, pages 357-374, November, DOI: https://doi.org/10.31648/oej.2778.
• Laurențiu Droj & Ioan Gheorghe Tara, 2018, "Early Warning Indicators - Evolution For The Medical Companies Registered At Bse," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 102-108, December.
• Laurențiu Droj, 2018, "Considerations Regarding The Evolution Of The Liquidity And Solvency Indicators Of The Most Important Romanian Production Companies In The Period 2014-2017," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 94-101, December.
• Stefán B. Gunnlaugsson, 2018, "Trading Rules On A Small Stock Market," Oradea Journal of Business and Economics, University of Oradea, Faculty of Economics, volume 3, issue 1, pages 46-55, March.
• Xiao, Tim, 2018, "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," FrenXiv, Center for Open Science, number ds7zj, Aug, DOI: 10.31219/osf.io/ds7zj.
• Caio Almeida & Kym Ardison & Daniela Kubudi & Axel Simonsen & José Vicente, 2018, "Forecasting Bond Yields with Segmented Term Structure Models," Journal of Financial Econometrics, Oxford University Press, volume 16, issue 1, pages 1-33.
• Vintu Denis & Negotei Ioana-Alina, 2018, "Analysis of Financial Stability: The Construction of a New Composite Financial Stability Index for Euro Area," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 264-270, July.
• Èšole Alexandru - Adrian, 2018, "K-Means Clustering Approach for Improving Financial Forecasts," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 514-518, July.
• El Jebari, Ouael & Hakmaoui, Abdelati, 2018, "GARCH Family Models vs EWMA: Which is the Best Model to Forecast Volatility of the Moroccan Stock Exchange Market? || Modelos de la familia GARCH vs EWMA: ¿cuál es el mejor modelo para pronosticar la volatilidad del mercado de valores marroquí?," 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 26, issue 1, pages 237-249, Diciembre.
• Yang Gao & Henry Leung & Stephen Satchell, 2018, "A critique of momentum strategies," Journal of Asset Management, Palgrave Macmillan, volume 19, issue 5, pages 341-350, September, DOI: 10.1057/s41260-018-0080-0.
• Marcin Chlebus, 2018, "One-day-ahead forecast of state of turbulence based on today's economic situation," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 13, issue 3, pages 357-389, September, DOI: 10.24136/eq.2018.018.
• Tomas Kliestik & Jaromir Vrbka & Zuzana Rowland, 2018, "Bankruptcy prediction in Visegrad group countries using multiple discriminant analysis," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 13, issue 3, pages 569-593, September, DOI: 10.24136/eq.2018.028.
• Miskolczi, Panna, 2018, "Comparison of Risk Calculation Based on Historical Simulation and the Copula Function," Public Finance Quarterly, Corvinus University of Budapest, volume 63, issue 1, pages 80-95.
• Abasov, Muzaffar, 2018, "Analyses of the impacts of U.S. macroeconomic announcements on the stock markets of a selection of countries," MPRA Paper, University Library of Munich, Germany, number 104267, Jun.
• Vîntu, Denis & Negotei, Ioana-Alina, 2018, "Analysis of Financial Stability: The Construction of a New Composite Financial Stability Index for Euro Area," MPRA Paper, University Library of Munich, Germany, number 107625, Jun, revised 15 Apr 2018.
• Baydalinova, Aynur & Sandybayeva, Balzhan & Stukach, Victor, 2018, "Financial security of Kazakhstan: gross domestic product, public debt, budget deficit," MPRA Paper, University Library of Munich, Germany, number 73873, May, revised Jan 2019.
• Pincheira, Pablo & Hardy, Nicolas, 2018, "Forecasting Base Metal Prices with Commodity Currencies," MPRA Paper, University Library of Munich, Germany, number 83564, Jan.
• Reyes-García, Nallely Jacqueline & Venegas-Martínez, Francisco & Cruz-Aké, Salvador, 2018, "Un análisis comparativo entre GARCH-M, EGARCH y PJ-RS-EV para modelar la volatilidad de Índice de precios y cotizaciones de la Bolsa Mexicana de Valores
  [A Comparative Analysis among GARCH-M, EGARCH and PJ-RS-SV (Poisson Jumps - Regime Switching -," MPRA Paper, University Library of Munich, Germany, number 84304, Jan.
• Lee, David, 2018, "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper, University Library of Munich, Germany, number 85575, Mar.
• Camilleri, Silvio John & Farrugia, Ritienne, 2018, "The Risk-Adjusted Performance of Alternative Investment Funds and UCITS: A Comparative Analysis," MPRA Paper, University Library of Munich, Germany, number 87070, May.
• Sonntag, Dominik, 2018, "Die Theorie der fairen geometrischen Rendite
  [The Theory of Fair Geometric Returns]," MPRA Paper, University Library of Munich, Germany, number 87082, May.
• Spelta, Alessandro & Pecora, Nicolò & Flori, Andrea & Pammolli, Fabio, 2018, "Transition drivers and crisis signaling in stock markets," MPRA Paper, University Library of Munich, Germany, number 88127, Jul.
• Mtiraoui, Abderraouf & GABSI, Feriel, 2018, "La finance entre l’éthique islamique, la réalité conventionnelle et croissance économique dans la région MENA
  [Finance Between Islamic Ethics, Conventional Reality and Economic Growth in the MENA Region]," MPRA Paper, University Library of Munich, Germany, number 88251, Jul.
• BAYALE, Nimonka & EVLO, Kodjo & TRAORE, Fousseini, 2018, "Foreign aid shocks and macroeconomic adjustment mechanisms in WAEMU countries : an approach based on a computable general equilibrium model," MPRA Paper, University Library of Munich, Germany, number 88466, Aug, revised 17 Aug 2018.
• Olkhov, Victor, 2018, "Expectations, Price Fluctuations and Lorenz Attractor," MPRA Paper, University Library of Munich, Germany, number 89105, Sep.
• Kim, Hyeongwoo & Ko, Kyunghwan, 2018, "Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach," MPRA Paper, University Library of Munich, Germany, number 89449, Oct.
• FERROUHI, El Mehdi, 2018, "Determinants of banks’ profitability and performance: an overview," MPRA Paper, University Library of Munich, Germany, number 89470, Apr.
• Roy Trivedi, Smita, 2018, "Technical Analysis Strategies: Development of Heiken Ashi Stochastic," MPRA Paper, University Library of Munich, Germany, number 89594, Oct.
• Kim, Hyeongwoo & Shi, Wen, 2018, "Forecasting Financial Vulnerability in the US: A Factor Model Approach," MPRA Paper, University Library of Munich, Germany, number 89766, Oct.
• Kim, Hyeongwoo & Shi, Wen & Kim, Hyun Hak, 2018, "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," MPRA Paper, University Library of Munich, Germany, number 89768, Oct.
• Buncic, Daniel & Stern, Cord, 2018, "Forecast ranked tailored equity portfolios," MPRA Paper, University Library of Munich, Germany, number 90382, Nov.
• Pincheira, Pablo & Neumann, Federico, 2018, "Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile," MPRA Paper, University Library of Munich, Germany, number 90432, Dec.
• Rangan Gupta & Christian Pierdzioch & Andrew J. Vivian & Mark E. Wohar, 2018, "The Predictive Value of Inequality Measures for Stock Returns: An Analysis of Long-Span UK Data Using Quantile Random Forests," Working Papers, University of Pretoria, Department of Economics, number 201809, Feb.
• Rangan Gupta & Florian Huber & Philipp Piribauer, 2018, "Predicting International Equity Returns: Evidence from Time-Varying Parameter Vector Autoregressive Models," Working Papers, University of Pretoria, Department of Economics, number 201826, Apr.
• Goodness Aye, 2018, "Causality between Economic Policy Uncertainty and Real Housing Returns in Emerging Economies: A Cross-Sample Validation Approach," Working Papers, University of Pretoria, Department of Economics, number 201827, May.
• Hossein Hassani & Mohammad Reza Yeganegi & Juncal Cunado & Rangan Gupta, 2018, "Forecasting Interest Rate Volatility of the United Kingdom: Evidence from over 150 Years of Data," Working Papers, University of Pretoria, Department of Economics, number 201873, Nov.
• Pavel Srbek, 2018, "Odhad Hurstova exponentu v časových řadách denních výnosů akciových indexů
  [Estimation of the Hurst Exponent in Time Series of Daily Returns of Stock Indices]," Politická ekonomie, Prague University of Economics and Business, volume 2018, issue 4, pages 508-524, DOI: 10.18267/j.polek.1207.