Research classified by Journal of Economic Literature (JEL) codes

2018

• Renáta Myšková & Petr Hájek & Vladimír Olej, 2018, "Predicting Abnormal Stock Return Volatility Using Textual Analysis of News ? A Meta-Learning Approach," The Audit Financiar journal, Chamber of Financial Auditors of Romania, volume 20, issue 47, pages 185-185, February.
• Massimo Guidolin & Alexei G. Orlov, 2018, "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1887.
• Massimo Guidolin & Andrea Ricci, 2018, "Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1888.
• Massimo Guidolin & Andrea Ricci, 2018, "Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1889.
• Massimo Guidolin & Alexei Orlov, 2018, "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1890.
• Bohdan Stetsiuk & Oleksandr Slyvka & Oleksandr Bashynskyi, 2018, "The Legal Framework For The Implementation Of Currency Regulation In Some Foreign Countries And In Ukraine," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", volume 4, issue 1, DOI: 10.30525/2256-0742/2018-4-1-358-365.
• Svitlana Berezina, 2018, "Methodological Bases Of Classification Of Social Risks," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", volume 4, issue 5, DOI: 10.30525/2256-0742/2018-4-5-18-25.
• Svitlana Pylypenko & Yuliia Udovenko & Vitalii Cherneha, 2018, "Legal Description Of The Factoring Contract In Romania," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", volume 4, issue 5, DOI: 10.30525/2256-0742/2018-4-5-251-255.
• Dmytro Pryimachenko & Tetiana Minka & Volodymyr Marchenko, 2018, "Legal Regulation Of Liability For Offenses In The Financial Sphere In The Eu Countries And Ukraine: Comparative Analysis," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", volume 4, issue 5, DOI: 10.30525/2256-0742/2018-4-5-276-282.
• Natascia Angelini & Giacomo Bormetti & Stefano Marmi & Franco Nardini, 2018, "Value Matters: The Long-run Behavior of Stock Index Returns," Review of Economics & Finance, Better Advances Press, Canada, volume 12, pages 16-28, May.
• Spartak Keremidchiev & Yana Kirilova & Dochka Velkova, 2018, "Financial Aspects of NPP Construction: Implications for NPP Belene," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 6, pages 121-129.
• Emrah Ismail CEVIK, 2018, "Is the Istanbul Stock Exchange Weak Form Efficient? A Markov-Switching ADF Test Approach," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 12, issue 2, pages 9-30.
• Koresh Galil & Neta Gilat, 2018, "Predicting Default More Accurately: To Proxy Or Not To Proxy For Default," Working Papers, Ben-Gurion University of the Negev, Department of Economics, number 1801.
• Elizaveta Danilova & Evgeny Rumyantsev & Ivan Shevchuk, 2018, "Review of the Bank of Russia – IMF Workshop 'Recent Developments in Macroprudential Stress Testing'," Russian Journal of Money and Finance, Bank of Russia, volume 77, issue 4, pages 60-83, December, DOI: 10.31477/rjmf.201804.60.
• Alasdair Brown & Dooruj Rambaccussing & J. James Reade & Giambattista Rossi, 2018, "Forecasting With Social Media: Evidence From Tweets On Soccer Matches," Economic Inquiry, Western Economic Association International, volume 56, issue 3, pages 1748-1763, July, DOI: 10.1111/ecin.12506.
• William N. Goetzmann & Dasol Kim, 2018, "Negative bubbles: What happens after a crash," European Financial Management, European Financial Management Association, volume 24, issue 2, pages 171-191, March, DOI: 10.1111/eufm.12164.
• Shuping Shi & Peter C. B. Phillips & Stan Hurn, 2018, "Change Detection and the Causal Impact of the Yield Curve," Journal of Time Series Analysis, Wiley Blackwell, volume 39, issue 6, pages 966-987, November, DOI: 10.1111/jtsa.12427.
• Christopher F Baum & Paola Zerilli & Liyuan Chen, 2018, "Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data," Boston College Working Papers in Economics, Boston College Department of Economics, number 952, Jun, revised 29 May 2019.
• Liyuan Chen & Paola Zerilli & Christopher F Baum, 2018, "Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications," Boston College Working Papers in Economics, Boston College Department of Economics, number 953, Jan.
• Rickard Nyman & Sujit Kapadia & David Tuckett & David Gregory & Paul Ormerod & Robert Smith, 2018, "News and narratives in financial systems: exploiting big data for systemic risk assessment," Bank of England working papers, Bank of England, number 704, Jan.
• Tobias Neumann, 2018, "Mortgages: estimating default correlation and forecasting default risk," Bank of England working papers, Bank of England, number 708, Feb.
• Marco Bardoscia & Ginestra Bianconi & Gerardo Ferrara, 2018, "Multiplex network analysis of the UK OTC derivatives market," Bank of England working papers, Bank of England, number 726, May.
• Geir-Are Karvik & Joseph Noss & Jack Worlidge & Daniel Beale, 2018, "The deeds of speed: an agent-based model of market liquidity and flash episodes," Bank of England working papers, Bank of England, number 743, Jul.
• Tariq Aziz & Valeed Ahmad Ansari, 2018, "Are extreme negative returns priced in the Indian stock market?," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 18, issue 1, pages 76-90, March.
• Kelly, Jane & Le Blanc, Julia & Lydon, Reamonn, 2018, "Pockets of risk in European Housing Markets: then and now," Research Technical Papers, Central Bank of Ireland, number 12/RT/18, Oct.
• Cronin, David & Dunne, Peter G., 2018, "How Effective are Sovereign Bond-Backed Securities as a Spillover Prevention Device," Research Technical Papers, Central Bank of Ireland, number 4/RT/18, Feb.
• Byrne, Stephen & Rice, Jonathan, 2018, "Non-Tariff Barriers and Goods Trade: a Brexit Impact Analysis," Research Technical Papers, Central Bank of Ireland, number 6/RT/18, May.
• Guglielmo Maria Caporale & Alex Plastun, 2018, "Price Overreactions in the Cryptocurrency Market," CESifo Working Paper Series, CESifo, number 6861.
• Guglielmo Maria Caporale & Alex Plastun, 2018, "On the Frequency of Price Overreactions," CESifo Working Paper Series, CESifo, number 7011.
• Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2018, "Bitcoin Fluctuations and the Frequency of Price Overreactions," CESifo Working Paper Series, CESifo, number 7280.
• Spencer Wheatley & Didier Sornette & Tobias Huber & Max Reppen & Robert N. Gantner, 2018, "Are Bitcoin Bubbles Predictable? Combining a Generalized Metcalfe's Law and the LPPLS Model," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-22, Mar, revised Mar 2018.
• Jerome L Kreuser & Didier Sornette, 2018, "Bitcoin Bubble Trouble," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-24, Mar, revised Jun 2018.
• Feng Zhou & Zhang Qun & Didier Sornette & Liu Jiang, 2018, "Cascading Logistic Regression Onto Gradient Boosted Decision Trees to Predict Stock Market Changes Using Technical Analysis," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-50, Jul, revised Aug 2018.
• Shihao Gu & Bryan T. Kelly & Dacheng Xiu, 2018, "Empirical Asset Pricing via Machine Learning," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-71, Nov.
• Gabriele Fiorentini & Enrique Sentana, 2018, "New Testing Approaches for Mean-Variance Predictability," Working Papers, CEMFI, number wp2018_1814, Dec.
• Erick Translateur, 2018, "Predicción del mercado de TES en el corto plazo," Documentos de Trabajo, Quantil, number 16556, Apr.
• Andrés Felipe Galeano Zurbaran, 2018, "Distribuciones no normales para la selección de activos en el mercado Colombiano," Documentos de Trabajo, Quantil, number 17208, Oct.
• Pedersen, Lasse Heje & Skov Jensen, Christian & Lando, David, 2018, "Generalized Recovery," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12665, Jan.
• Lettau, Martin & Ludvigson, Sydney & Bianchi, Francesco, 2018, "Monetary Policy and Asset Valuation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12671, Jan.
• Buss, Adrian & Vilkov, Grigory & ,, 2018, "Expected Correlation and Future Market Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12760, Dec.
• Esida Gila-Gourgoura & Eftychia Nikolaidou, 2018, "Credit Risk Determinants in the Vulnerable Economies of Europe: Evidence from the Italian Banking System," School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town, number 2018-08.
• Afees A. Salisu & Kazeem Isah & Lateef O. Akanni, 2018, "Predicting the stock prices of G7 countries with Bitcoin prices," Working Papers, Centre for Econometric and Allied Research, University of Ibadan, number 054, Apr.
• Kazeem Isah & Ibrahim D. Raheem, 2018, "The Hidden Predictive Power of Cryptocurrencies: Evidence from US Stock Market," Working Papers, Centre for Econometric and Allied Research, University of Ibadan, number 056, May.
• Afees A. Salisu & Ibrahim D. Raheem, 2018, "A new procedure for pre-testing the distribution properties of Stock returns," Working Papers, Centre for Econometric and Allied Research, University of Ibadan, number 057, Jun.
• Afees A. Salisu & Idris Adediran, 2018, "Testing for time-varying stochastic volatility in Bitcoin returns," Working Papers, Centre for Econometric and Allied Research, University of Ibadan, number 060, Jul.
• Afees A. Salisu & Ahamuefula Ephraim Ogbonna, 2018, "Does time-variation matter in the stochastic volatility components for G7 stock returns," Working Papers, Centre for Econometric and Allied Research, University of Ibadan, number 062, Jul.
• Chabi-Yo, Fousseni & Ruenzi, Stefan & Weigert, Florian, 2018, "Crash Sensitivity and the Cross Section of Expected Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 53, issue 3, pages 1059-1100, June.
• Stefan SIMEONOV & Teodor TODOROV, 2018, "Designing The Investment Profile Of The Shares Traded On The Bulgarian Stock Exchange In The Period From August 2016 To December 2017," Economics 21, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 1 Year 20, pages 70-100.
• Стефан Симеонов & Теодор Тодоров, 2018, "Формиране На Инвестиционен Профил За Акции, Търгувани На Българската Фондова Борса За Периода Август 2016 – Декември 2017," Economics 21, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 1 Year 20, pages 85-116.
• Guglielmo Maria Caporale & Alex Plastun, 2018, "Price Overreactions in the Cryptocurrency Market," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1718.
• Nadia Boussaha & Faycal Hamdi & Saïd Souam, 2018, "Multivariate Periodic Stochastic Volatility Models: Applications to Algerian dinar exchange rates and oil prices modeling," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2018-14.
• Lang, Jan Hannes, 2018, "Cross-country linkages and spill-overs in early warning models for financial crises," Working Paper Series, European Central Bank, number 2160, Jun.
• Lang, Jan Hannes & Peltonen, Tuomas A. & Sarlin, Peter, 2018, "A framework for early-warning modeling with an application to banks," Working Paper Series, European Central Bank, number 2182, Oct.
• Karnaukh, Nina, 2018, "The Dollar Ahead of FOMC Target Rate Changes," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2018-14, Mar.
• Ozkan Haykir, 2018, "Does MAX Anomaly Exist in Emerging Market: Evidence from the Turkish Stock Market?," International Journal of Economics and Financial Issues, Econjournals, volume 8, issue 2, pages 148-153.
• Issa Hijazeen & Ali Al-Assaf, 2018, "Dollarization in Jordan," International Journal of Economics and Financial Issues, Econjournals, volume 8, issue 2, pages 14-24.
• Sisili Rahman & Biplab Das & Tazrina Farah, 2018, "Identifying Spillover Effect & Bubble in Bangladeshi Asset Markets: An Analysis of Stock Market and Real Estate," International Journal of Economics and Financial Issues, Econjournals, volume 8, issue 6, pages 76-83.
• Kunlapath Sukcharoen & David Leatham, 2018, "Analyzing Extreme Comovements in Agricultural and Energy Commodity Markets Using a Regular Vine Copula Method," International Journal of Energy Economics and Policy, Econjournals, volume 8, issue 5, pages 193-201.
• Andrikopoulos, Panagiotis & Khorasgani, Amir, 2018, "Predicting unlisted SMEs' default: Incorporating market information on accounting-based models for improved accuracy," The British Accounting Review, Elsevier, volume 50, issue 5, pages 559-573, DOI: 10.1016/j.bar.2018.02.003.
• Faria, Adriano & Almeida, Caio, 2018, "A hybrid spline-based parametric model for the yield curve," Journal of Economic Dynamics and Control, Elsevier, volume 86, issue C, pages 72-94, DOI: 10.1016/j.jedc.2017.10.009.
• Berger, Theo & Gençay, Ramazan, 2018, "Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment," Journal of Economic Dynamics and Control, Elsevier, volume 92, issue C, pages 30-46, DOI: 10.1016/j.jedc.2018.03.016.
• Sikhosana, Ayanda & Aye, Goodness C., 2018, "Asymmetric volatility transmission between the real exchange rate and stock returns in South Africa," Economic Analysis and Policy, Elsevier, volume 60, issue C, pages 1-8, DOI: 10.1016/j.eap.2018.08.002.
• Liu, Feng & Kalotay, Egon & Trück, Stefan, 2018, "Assessing sovereign default risk: A bottom-up approach," Economic Modelling, Elsevier, volume 70, issue C, pages 525-542, DOI: 10.1016/j.econmod.2017.09.013.
• Mo, Di & Gupta, Rakesh & Li, Bin & Singh, Tarlok, 2018, "The macroeconomic determinants of commodity futures volatility: Evidence from Chinese and Indian markets," Economic Modelling, Elsevier, volume 70, issue C, pages 543-560, DOI: 10.1016/j.econmod.2017.08.032.
• BenSaïda, Ahmed & Litimi, Houda & Abdallah, Oussama, 2018, "Volatility spillover shifts in global financial markets," Economic Modelling, Elsevier, volume 73, issue C, pages 343-353, DOI: 10.1016/j.econmod.2018.04.011.
• Dong, Manh Cuong & Tian, Shaonan & Chen, Cathy W.S., 2018, "Predicting failure risk using financial ratios: Quantile hazard model approach," The North American Journal of Economics and Finance, Elsevier, volume 44, issue C, pages 204-220, DOI: 10.1016/j.najef.2018.01.005.
• Ruenzi, Stefan & Weigert, Florian, 2018, "Momentum and crash sensitivity," Economics Letters, Elsevier, volume 165, issue C, pages 77-81, DOI: 10.1016/j.econlet.2018.01.031.
• Koutmos, Dimitrios, 2018, "Bitcoin returns and transaction activity," Economics Letters, Elsevier, volume 167, issue C, pages 81-85, DOI: 10.1016/j.econlet.2018.03.021.
• González-Fernández, Marcos & González-Velasco, Carmen, 2018, "Can Google econometrics predict unemployment? Evidence from Spain," Economics Letters, Elsevier, volume 170, issue C, pages 42-45, DOI: 10.1016/j.econlet.2018.05.031.
• Lin, Qi & Lin, Xi, 2018, "Expected investment and the cross-section of stock returns," Economics Letters, Elsevier, volume 172, issue C, pages 43-49, DOI: 10.1016/j.econlet.2018.08.012.
• Koutmos, Dimitrios, 2018, "Liquidity uncertainty and Bitcoin’s market microstructure," Economics Letters, Elsevier, volume 172, issue C, pages 97-101, DOI: 10.1016/j.econlet.2018.08.041.
• Koutmos, Dimitrios, 2018, "Return and volatility spillovers among cryptocurrencies," Economics Letters, Elsevier, volume 173, issue C, pages 122-127, DOI: 10.1016/j.econlet.2018.10.004.
• Badshah, Ihsan & Bekiros, Stelios & Lucey, Brian M. & Uddin, Gazi Salah, 2018, "Asymmetric linkages among the fear index and emerging market volatility indices," Emerging Markets Review, Elsevier, volume 37, issue C, pages 17-31, DOI: 10.1016/j.ememar.2018.03.002.
• Stivers, Adam, 2018, "Equity premium predictions with many predictors: A risk-based explanation of the size and value factors," Journal of Empirical Finance, Elsevier, volume 45, issue C, pages 126-140, DOI: 10.1016/j.jempfin.2017.10.004.
• Faria, Gonçalo & Verona, Fabio, 2018, "Forecasting stock market returns by summing the frequency-decomposed parts," Journal of Empirical Finance, Elsevier, volume 45, issue C, pages 228-242, DOI: 10.1016/j.jempfin.2017.11.009.
• Xu, Xiu & Mihoci, Andrija & Härdle, Wolfgang Karl, 2018, "lCARE - localizing conditional autoregressive expectiles," Journal of Empirical Finance, Elsevier, volume 48, issue C, pages 198-220, DOI: 10.1016/j.jempfin.2018.06.006.
• Chorro, Christophe & Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo, 2018, "Testing for leverage effects in the returns of US equities," Journal of Empirical Finance, Elsevier, volume 48, issue C, pages 290-306, DOI: 10.1016/j.jempfin.2018.07.008.
• Malliaropulos, Dimitris & Migiakis, Petros, 2018, "The re-pricing of sovereign risks following the Global Financial Crisis," Journal of Empirical Finance, Elsevier, volume 49, issue C, pages 39-56, DOI: 10.1016/j.jempfin.2018.09.003.
• Zhang, Yaojie & Ma, Feng & Shi, Benshan & Huang, Dengshi, 2018, "Forecasting the prices of crude oil: An iterated combination approach," Energy Economics, Elsevier, volume 70, issue C, pages 472-483, DOI: 10.1016/j.eneco.2018.01.027.
• Hofmann, Erik & Solakivi, Tomi & Töyli, Juuso & Zinn, Martin, 2018, "Oil price shocks and the financial performance patterns of logistics service providers," Energy Economics, Elsevier, volume 72, issue C, pages 290-306, DOI: 10.1016/j.eneco.2018.04.006.
• Drachal, Krzysztof, 2018, "Comparison between Bayesian and information-theoretic model averaging: Fossil fuels prices example," Energy Economics, Elsevier, volume 74, issue C, pages 208-251, DOI: 10.1016/j.eneco.2018.04.043.
• Gong, Xu & Lin, Boqiang, 2018, "The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market," Energy Economics, Elsevier, volume 74, issue C, pages 370-386, DOI: 10.1016/j.eneco.2018.06.005.
• Qu, Hui & Duan, Qingling & Niu, Mengyi, 2018, "Modeling the volatility of realized volatility to improve volatility forecasts in electricity markets," Energy Economics, Elsevier, volume 74, issue C, pages 767-776, DOI: 10.1016/j.eneco.2018.07.033.
• Prakash Ranjan, Ravi & Bhattachharyya, Malay, 2018, "Does investor attention to energy stocks exhibit power law?," Energy Economics, Elsevier, volume 75, issue C, pages 573-582, DOI: 10.1016/j.eneco.2018.09.005.
• Wang, Jianshen & Taylor, Nick, 2018, "A comparison of static and dynamic portfolio policies," International Review of Financial Analysis, Elsevier, volume 55, issue C, pages 111-127, DOI: 10.1016/j.irfa.2017.09.007.
• Bekiros, Stelios & Avdoulas, Christos & Hassapis, Christis, 2018, "Nonlinear equilibrium adjustment dynamics and predictability of the term structure of interest rates," International Review of Financial Analysis, Elsevier, volume 55, issue C, pages 140-155, DOI: 10.1016/j.irfa.2017.11.009.
• Jayasekera, Ranadeva, 2018, "Prediction of company failure: Past, present and promising directions for the future," International Review of Financial Analysis, Elsevier, volume 55, issue C, pages 196-208, DOI: 10.1016/j.irfa.2017.08.009.
• Labidi, Chiaz & Rahman, Md Lutfur & Hedström, Axel & Uddin, Gazi Salah & Bekiros, Stelios, 2018, "Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis," International Review of Financial Analysis, Elsevier, volume 59, issue C, pages 179-211, DOI: 10.1016/j.irfa.2018.08.005.
• Yi, Shuyue & Xu, Zishuang & Wang, Gang-Jin, 2018, "Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?," International Review of Financial Analysis, Elsevier, volume 60, issue C, pages 98-114, DOI: 10.1016/j.irfa.2018.08.012.
• Blazsek, Szabolcs & Carrizo, Daniela & Eskildsen, Ricardo & Gonzalez, Humberto, 2018, "Forecasting rate of return after extreme values when using AR-t-GARCH and QAR-Beta-t-EGARCH," Finance Research Letters, Elsevier, volume 24, issue C, pages 193-198, DOI: 10.1016/j.frl.2017.09.006.
• Zhipeng, Yan & Shenghong, Li, 2018, "Hedge ratio on Markov regime-switching diagonal Bekk–Garch model," Finance Research Letters, Elsevier, volume 24, issue C, pages 49-55, DOI: 10.1016/j.frl.2017.06.015.
• Debata, Byomakesh & Dash, Saumya Ranjan & Mahakud, Jitendra, 2018, "Investor sentiment and emerging stock market liquidity," Finance Research Letters, Elsevier, volume 26, issue C, pages 15-31, DOI: 10.1016/j.frl.2017.11.006.
• Xu, Hai-Chuan & Zhou, Wei-Xing, 2018, "A weekly sentiment index and the cross-section of stock returns," Finance Research Letters, Elsevier, volume 27, issue C, pages 135-139, DOI: 10.1016/j.frl.2018.02.009.
• Barunik, Jozef & Vacha, Lukas, 2018, "Do co-jumps impact correlations in currency markets?," Journal of Financial Markets, Elsevier, volume 37, issue C, pages 97-119, DOI: 10.1016/j.finmar.2017.11.004.
• Baltas, Nick & Karyampas, Dimitrios, 2018, "Forecasting the equity risk premium: The importance of regime-dependent evaluation," Journal of Financial Markets, Elsevier, volume 38, issue C, pages 83-102, DOI: 10.1016/j.finmar.2017.11.002.
• Hung, Weifeng & Yang, J. Jimmy, 2018, "The MAX effect: Lottery stocks with price limits and limits to arbitrage," Journal of Financial Markets, Elsevier, volume 41, issue C, pages 77-91, DOI: 10.1016/j.finmar.2018.07.003.
• Nguyen, Hung T. & Truong, Cameron, 2018, "When are extreme daily returns not lottery? At earnings announcements!," Journal of Financial Markets, Elsevier, volume 41, issue C, pages 92-116, DOI: 10.1016/j.finmar.2018.05.001.
• Henriques, Irene & Sadorsky, Perry, 2018, "Investor implications of divesting from fossil fuels," Global Finance Journal, Elsevier, volume 38, issue C, pages 30-44, DOI: 10.1016/j.gfj.2017.10.004.
• Bruszas, Sandy & Kaschützke, Barbara & Maurer, Raimond & Siegelin, Ivonne, 2018, "Unisex pricing of German participating life annuities—Boon or bane for customer and insurance company?," Insurance: Mathematics and Economics, Elsevier, volume 78, issue C, pages 230-245, DOI: 10.1016/j.insmatheco.2017.09.012.
• Doan, Bao & Papageorgiou, Nicolas & Reeves, Jonathan J. & Sherris, Michael, 2018, "Portfolio management with targeted constant market volatility," Insurance: Mathematics and Economics, Elsevier, volume 83, issue C, pages 134-147, DOI: 10.1016/j.insmatheco.2018.09.010.
• Chen, Jing & Dong, Yizhe & Hou, Wenxuan & McMillan, David G., 2018, "Does feedback trading drive returns of cross-listed shares?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 53, issue C, pages 179-199, DOI: 10.1016/j.intfin.2017.09.018.
• Shahzad, Syed Jawad Hussain & Arreola-Hernandez, Jose & Bekiros, Stelios & Shahbaz, Muhammad & Kayani, Ghulam Mujtaba, 2018, "A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 56, issue C, pages 104-127, DOI: 10.1016/j.intfin.2018.02.013.
• Narayan, Paresh Kumar & Liu, Ruipeng, 2018, "A new GARCH model with higher moments for stock return predictability," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 56, issue C, pages 93-103, DOI: 10.1016/j.intfin.2018.02.016.
• Nazemi, Abdolreza & Fabozzi, Frank J., 2018, "Macroeconomic variable selection for creditor recovery rates," Journal of Banking & Finance, Elsevier, volume 89, issue C, pages 14-25, DOI: 10.1016/j.jbankfin.2018.01.006.
• Chatterjee, Ujjal K., 2018, "Bank liquidity creation and recessions," Journal of Banking & Finance, Elsevier, volume 90, issue C, pages 64-75, DOI: 10.1016/j.jbankfin.2018.03.002.
• de Carvalho, Pablo Jose Campos & Gupta, Aparna, 2018, "A network approach to unravel asset price comovement using minimal dependence structure," Journal of Banking & Finance, Elsevier, volume 91, issue C, pages 119-132, DOI: 10.1016/j.jbankfin.2018.04.012.
• Miller, Patrick & Töws, Eugen, 2018, "Loss given default adjusted workout processes for leases," Journal of Banking & Finance, Elsevier, volume 91, issue C, pages 189-201, DOI: 10.1016/j.jbankfin.2017.01.020.
• Li, Bingxin, 2018, "Speculation, risk aversion, and risk premiums in the crude oil market," Journal of Banking & Finance, Elsevier, volume 95, issue C, pages 64-81, DOI: 10.1016/j.jbankfin.2018.06.002.
• Golez, Benjamin & Koudijs, Peter, 2018, "Four centuries of return predictability," Journal of Financial Economics, Elsevier, volume 127, issue 2, pages 248-263, DOI: 10.1016/j.jfineco.2017.12.007.
• Gao, Lei & Han, Yufeng & Zhengzi Li, Sophia & Zhou, Guofu, 2018, "Market intraday momentum," Journal of Financial Economics, Elsevier, volume 129, issue 2, pages 394-414, DOI: 10.1016/j.jfineco.2018.05.009.
• Chronopoulos, Dimitris K. & Papadimitriou, Fotios I. & Vlastakis, Nikolaos, 2018, "Information demand and stock return predictability," Journal of International Money and Finance, Elsevier, volume 80, issue C, pages 59-74, DOI: 10.1016/j.jimonfin.2017.10.001.
• Khan, Mostafa Saidur Rahim & Bremer, Marc & Kato, Hideaki Kiyoshi, 2018, "Are short-sales constraints binding when there is a centralized lendable securities market? Evidence from Japan," Journal of the Japanese and International Economies, Elsevier, volume 48, issue C, pages 85-96, DOI: 10.1016/j.jjie.2017.11.003.
• Eom, Cheoljun & Park, Jong Won, 2018, "A new method for better portfolio investment: A case of the Korean stock market," Pacific-Basin Finance Journal, Elsevier, volume 49, issue C, pages 213-231, DOI: 10.1016/j.pacfin.2018.05.002.
• Pan, Zheyao & Chan, Kam Fong, 2018, "A new government bond volatility index predictor for the U.S. equity premium," Pacific-Basin Finance Journal, Elsevier, volume 50, issue C, pages 200-215, DOI: 10.1016/j.pacfin.2016.12.007.
• Karabiyik, Hande & Narayan, Paresh Kumar & Phan, Dinh Hoang Bach & Westerlund, Joakim, 2018, "Islamic spot and index futures markets: Where is the price discovery?," Pacific-Basin Finance Journal, Elsevier, volume 52, issue C, pages 123-133, DOI: 10.1016/j.pacfin.2017.04.003.
• Su, Zhi & Fang, Tong & Yin, Libo, 2018, "Does NVIX matter for market volatility? Evidence from Asia-Pacific markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 492, issue C, pages 506-516, DOI: 10.1016/j.physa.2017.10.025.
• Ali, Sajid & Shahzad, Syed Jawad Hussain & Raza, Naveed & Al-Yahyaee, Khamis Hamed, 2018, "Stock market efficiency: A comparative analysis of Islamic and conventional stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 503, issue C, pages 139-153, DOI: 10.1016/j.physa.2018.02.169.
• D’Amico, Guglielmo & Scocchera, Stefania & Storchi, Loriano, 2018, "Financial risk distribution in European Union," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 505, issue C, pages 252-267, DOI: 10.1016/j.physa.2018.03.069.
• Song, Wonho & Park, Sung Y. & Ryu, Doojin, 2018, "Dynamic conditional relationships between developed and emerging markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 507, issue C, pages 534-543, DOI: 10.1016/j.physa.2018.05.007.
• Ayub, Usman & Qaddus, Uzma & Zakaria, Muhammad & Shafique, Attayah & Ahmed, Junaid, 2018, "Thou should not panic! Let calmness fight the Crocodile Bite," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 509, issue C, pages 302-315, DOI: 10.1016/j.physa.2018.06.040.
• Bachmeier, Lance J. & Nadimi, Soheil R., 2018, "Oil shocks and stock return volatility," The Quarterly Review of Economics and Finance, Elsevier, volume 68, issue C, pages 1-9, DOI: 10.1016/j.qref.2018.01.001.
• Ichkitidze, Yuri, 2018, "Temporary price trends in the stock market with rational agents," The Quarterly Review of Economics and Finance, Elsevier, volume 68, issue C, pages 103-117, DOI: 10.1016/j.qref.2017.11.014.
• Lawrenz, Jochen & Zorn, Josef, 2018, "Decomposing the predictive power of local and global financial valuation ratios," The Quarterly Review of Economics and Finance, Elsevier, volume 70, issue C, pages 137-149, DOI: 10.1016/j.qref.2018.04.012.
• Kashyap, Ravi, 2018, "Auction theory adaptations for real life applications," Research in Economics, Elsevier, volume 72, issue 4, pages 452-481, DOI: 10.1016/j.rie.2018.09.001.
• Wan, Xiaoyuan, 2018, "Is the idiosyncratic volatility anomaly driven by the MAX or MIN effect? Evidence from the Chinese stock market," International Review of Economics & Finance, Elsevier, volume 53, issue C, pages 1-15, DOI: 10.1016/j.iref.2017.10.015.
• Tao, Qizhi & Wei, Yu & Liu, Jiapeng & Zhang, Ting, 2018, "Modeling and forecasting multifractal volatility established upon the heterogeneous market hypothesis," International Review of Economics & Finance, Elsevier, volume 54, issue C, pages 143-153, DOI: 10.1016/j.iref.2017.08.003.
• Dbouk, Wassim & Jamali, Ibrahim, 2018, "Predicting daily oil prices: Linear and non-linear models," Research in International Business and Finance, Elsevier, volume 46, issue C, pages 149-165, DOI: 10.1016/j.ribaf.2018.01.003.
• Juan DU, 2018, "Empirical differences between the overnight and day trading hour returns," China Finance Review International, Emerald Group Publishing Limited, volume 8, issue 3, pages 315-331, May, DOI: 10.1108/CFRI-10-2017-0213.
• Philippe Bélanger & Marc-André Picard, 2018, "A multi-factor HJM and PCA approach to risk management of VIX futures," Journal of Risk Finance, Emerald Group Publishing Limited, volume 19, issue 5, pages 524-547, October, DOI: 10.1108/JRF-07-2017-0114.
• Stelios Bekiros & Nikolaos Loukeris & Iordanis Eleftheriadis & Gazi Uddin, 2018, "Revisiting the three factor model in light of circular behavioural simultaneities," Review of Behavioral Finance, Emerald Group Publishing Limited, volume 10, issue 3, pages 210-230, July, DOI: 10.1108/RBF-08-2017-0079.
• Jaskowski, M. & McAleer, M.J., 2018, "Spurious Cross-Sectional Dependence in Credit Spread Changes," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 208-34, Aug.
• Ramona Serrano Bautista & Leovardo Mata Mata, 2018, "Estimación del VaR mediante un modelo condicional multivariado bajo la hipótesis α-estable sub-Gaussiana. (A conditional approach to VaR with multivariate α-stable sub-Gaussian distributions)," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, volume 0, issue 1, pages 43-76, May.
• V.A. Makeev & M.V. Belikova & A.K. Isaev & D.I. Stratan, 2018, "Formation of an Integrated Financial Regulation System of Transport Corporations’ Economic Development," European Research Studies Journal, European Research Studies Journal, volume 0, issue Special 2, pages 377-387.
• Korobilis, D & Yilmaz, K, 2018, "Measuring Dynamic Connectedness with Large Bayesian VAR Models," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 20937, Jan.
• Vasile BRÄ‚TIAN, 2018, "Portfolio Optimization. Application of the Markowitz Model Using Lagrange and Profitability Forecast," Expert Journal of Economics, Sprint Investify, volume 6, issue 1, pages 26-34.
• Bangun WIDOYOKO & Ely SISWANTO & F. Danardana MURWANI, 2018, "Determining the Exchange Rate: Purchasing Power Parity - PPP," Expert Journal of Finance, Sprint Investify, volume 6, issue 1, pages 12-15.
• Trucíos Maza, Carlos César & Hotta, Luiz Koodi & Pereira, Pedro L. Valls, 2018, "On the robustness of the principal volatility components," Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil), number 474, Mar.
• Mark Fisher & Mark J. Jensen, 2018, "Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2018-2, Feb, DOI: 10.29338/wp2018-02.
• Andrew C. Chang, 2018, "Nothing is Certain Except Death and Taxes : The Lack of Policy Uncertainty from Expiring \"Temporary\" Taxes," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2018-041, Jun, DOI: 10.17016/FEDS.2018.041.
• Richard K. Crump & Miro Everaert & Domenico Giannone & Sean Hundtofte, 2018, "Changing Risk-Return Profiles," Staff Reports, Federal Reserve Bank of New York, number 850, Jun.
• Nina Boyarchenko & Domenico Giannone & Or Shachar, 2018, "Flighty liquidity," Staff Reports, Federal Reserve Bank of New York, number 870, Oct.
• Gözde YILDIRIM, Zafer ADALI, 2018, "Linear and Non-Linear Causality Tests of Stock Price and Real Exchange Rate Interactions in Turkey," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 1.
• Eyyüp Ensari ŞAHİN, 2018, "Crypto Money Bitcoin: Price Estimation with ARIMA and Artificial Neural Networks," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 3.
• Ana Sofia Monteiro & Hélder Sebastião & Nuno Silva, 2018, "Predictability of stock returns and dividend growth using dividend yields: An international approach," CeBER Working Papers, Centre for Business and Economics Research (CeBER), University of Coimbra, number 2018-10, Oct.
• Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2018, "Testing for leverage effects in the returns of US equities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-01917590, Sep, DOI: 10.1016/j.jempfin.2018.07.008.
• Syed Jawad Hussain Shahzad & Jose Arreola Hernandez & Stelios Bekiros & Muhammad Shahbaz & Ghulam Mujtaba Kayani, 2018, "A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling," Post-Print, HAL, number hal-01989649, Sep, DOI: 10.1016/j.intfin.2018.02.013.
• Ahmed Bensaïda & Houda Litimi & Oussama Abdallah, 2018, "Volatility spillover shifts in global financial markets," Post-Print, HAL, number hal-02869496, Jun, DOI: 10.1016/j.econmod.2018.04.011.
• Abdallah Ben Saida & Jean-Luc Prigent, 2018, "On the robustness of portfolio allocation under copula misspecification," Post-Print, HAL, number hal-03679698, Mar, DOI: 10.1007/s10479-016-2137-0.
• David Lee, 2018, "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," Working Papers, HAL, number hal-01758922, Apr.
• Becker, Janis & Leschinski, Christian, 2018, "Directional Predictability of Daily Stock Returns," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-624, Jan.
• Becker, Janis & Leschinski, Christian, 2018, "Estimating the Volatility of Asset Pricing Factors," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-631, May.
• Becker, Janis & Leschinski, Christian, 2018, "The Bias of Realized Volatility," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-642, Nov.
• Gick, Wolfgang & Weissensteiner, Alex, 2018, "Analysts' Disagreement and Investor Decisions," Working Paper Series, Research Institute of Industrial Economics, number 1207, Apr.
• Andrey Leonidov & Vladimir Nechitailo & Ekaterina Serebryannikova, 2018, "Interbank Network Topology in the Agent-based Model of Banking System," HSE Economic Journal, National Research University Higher School of Economics, volume 22, issue 3, pages 387-417.
• Karatetskaya Efrosiniya & Lakshina Valeriya, 2018, "Volatility Spillovers With Spatial Effects On The Oil And Gas Market," HSE Working papers, National Research University Higher School of Economics, number WP BRP 72/FE/2018.
• Esther Eiling & Raymond Kan & Ali Sharifkhani, 2018, "Sectoral Labor Reallocation and Return Predictability," Working Papers, Human Capital and Economic Opportunity Working Group, number 2018-006.
• James L. Kuhle & Eric C. Lin, 2018, "Evaluating Real Estate Mutual Fund Performance Using The Morningstar Upside/Downside Capture Ratio," Global Journal of Business Research, The Institute for Business and Finance Research, volume 12, issue 1, pages 15-22.
• James L. Kuhle & Eric C. Lin, 2018, "An Evaluation Of Risk And Return Performance Measure Alternatives: Evidence From Real Estate Mutual Funds," Review of Business and Finance Studies, The Institute for Business and Finance Research, volume 9, issue 1, pages 1-11.
• Solikin M. Juhro & Dinh Hoang Bach Phan, 2018, "Can Economic Policy Uncertainty Predict Exchange Rate And Its Volatility? Evidence From Asean Countries," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 21, issue 2, pages 251-268, October, DOI: https://doi.org/10.21098/bemp.v21i2.
• Tingting Cheng & Jiti Gao & Oliver Linton, 2018, "Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP03/18, Jan.
• Ramona Serrano Bautista & Leovardo Mata Mata, 2018, "Valor en Riesgo mediante un modelo heterocedástico condicional ?-estable," 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 13, issue 1, pages 1-26, Enero-Mar.
• Van Son Lai & Xiaoxia Ye & Lu Zhao, 2018, "Are Market Views on Banking Industry Useful for Forecasting Economic Growth?," Working Papers, Department of Research, Ipag Business School, number 2018-001, Jan.
• Maria Teresa Medeiros Garcia & Vítor Hugo Ferreira Carvalho, 2018, "A static approach to the Nelson-Siegel-Svensson model: an application for several negative yield cases," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2018/35, Mar.
• Salvador Ortí-Camallonga, 2018, "Constraints of Spanish Insolvency Law. A predictive bankruptcy model for Spanish industrial SMEs (2007-2015)," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain), number 2018/01.
• Hazem Krichene & Mhamed-Ali El-Aroui, 2018, "Agent-Based Simulation and Microstructure Modeling of Immature Stock Markets," Computational Economics, Springer;Society for Computational Economics, volume 51, issue 3, pages 493-511, March, DOI: 10.1007/s10614-016-9615-y.
• Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2018, "Short-Term Price Overreactions: Identification, Testing, Exploitation," Computational Economics, Springer;Society for Computational Economics, volume 51, issue 4, pages 913-940, April, DOI: 10.1007/s10614-017-9651-2.
• 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.

2017

• Niels S. Grønborg & Asger Lunde & Allan Timmermann & Russ Wermers, 2017, "Picking Funds with Confidence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-13, Mar.
• Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2017, "Decoupling the short- and long-term behavior of stochastic volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-26, Aug.
• Martin M. Andreasen & Jens H.E. Christensen & Glenn D. Rudebusch, 2017, "Term Structure Analysis with Big Data," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-31, Sep.
• Igor ENICOV, 2017, "Applying Petri Nets Extensions To Modeling Commercial Bank Activity," Economy and Sociology, The Journal Economy and Sociology, issue 1-2, pages 90-94.
• Jumadil Saputra & Suhal Kusairi & Nur Azura Sanusi, 2017, "Modeling the Premium and Contract Properties of Family Takaful (Islamic Life Insurance) نمذجة قسط وخصائص عقد التكافل الأسري (التأمين الإسلامي على الحياة)," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., volume 30, issue 2, pages 135-157, July, DOI: 10.4197/Islec.30-2.12.
• Hyeongwoo Kim & Kyunghwan Ko, 2017, "Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2017-03, May.
• Stanimir Kabaivanov & Veneta Markovska, 2017, "Modelling Environment Changes for Pricing Weather Derivatives," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 64, issue 4, pages 423-430, December.
• Stanimir Kabaivanov & Veneta Markovska, 2017, "Modelling Environment Changes for Pricing Weather Derivatives," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 64, issue 4, pages 423-430, December, DOI: 10.1515/saeb-2017-0031.
• Nikolaos Stoupos & Apostolos Kiohos, 2017, "Post-Communist Countries of the EU and the Euro: Dynamic Linkages between Exchange Rates," Acta Oeconomica, Akadémiai Kiadó, Hungary, volume 67, issue 4, pages 511-538, December.
• Mihaly Ormos & Dusan Timotity, 2017, "The case of 'Less is more': Modelling risk-preference with Expected Downside Risk," Papers, arXiv.org, number 1704.05332, Apr.
• Andrew J. Patton & Johanna F. Ziegel & Rui Chen, 2017, "Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk)," Papers, arXiv.org, number 1707.05108, Jul.