Research classified by Journal of Economic Literature (JEL) codes

2018

• Viktoriya Valeryevna Manuylenko & Marina Aleksandrovna Loktionova & Nina Vladimirovna Lipchiu & Natalia Vladimirovna Sobchenko & Tatyana Andreyevna Sadovskaya, 2018, "Options simulation toolkit for strategic evaluation of corporations' financial potential," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, volume 6, issue 2, pages 871-889, December, DOI: 10.9770/jesi.2018.6.2(27).
• Mawuli Segnon & Mark Trede, 2018, "Forecasting market risk of portfolios: copula-Markov switching multifractal approach," The European Journal of Finance, Taylor & Francis Journals, volume 24, issue 14, pages 1123-1143, September, DOI: 10.1080/1351847X.2017.1400453.
• Hideyuki Takamizawa, 2018, "A term structure model of interest rates with quadratic volatility," Quantitative Finance, Taylor & Francis Journals, volume 18, issue 7, pages 1173-1198, July, DOI: 10.1080/14697688.2017.1417623.
• Mohamed Chikhi & Ali Bendob, 2018, "Nonparametric NAR-ARCH Modelling of Stock Prices by the Kernel Methodology," Journal of Economics and Financial Analysis, Tripal Publishing House, volume 2, issue 2, pages 105-120, DOI: http://dx.doi.org/10.1991/jefa.v2i2.
• David E. Allen & Michael McAleer & Abhay K. Singh, 2018, "A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2018-18, Jun.
• Marcin Jaskowski & Michael McAleer, 2018, "Spurious Cross-Sectional Dependence in Credit Spread Changes," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2018-21, Sep.
• Thomas Walther & Duc Khuong Nguyen, 2018, "Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Variables," Working Papers on Finance, University of St. Gallen, School of Finance, number 1824, Dec.
• Luca Bagato & Alessio Gioia & Enrico Mandelli, 2018, "Reflexivity And Interactions In Modern Financial Markets: The Case Of Volatility Indices," Rivista Internazionale di Scienze Sociali, Vita e Pensiero, Pubblicazioni dell'Universita' Cattolica del Sacro Cuore, volume 126, issue 3, pages 231-254.
• DUȚĂ, Violeta, 2018, "Using The Symmetric Models Garch (1.1) And Garch-M (1.1) To Investigate Volatility And Persistence For The European And Us Financial Markets," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 22, issue 1, pages 64-86.
• BARANGA, Laurentiu Paul & PANAIT, Iulian, 2018, "Estimating The Credit Risk Score For Non Bank Stock Exchange Intermediaries In The Eventuality Of Changeover To Euro Currency," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 22, issue 4, pages 25-40, December.
• MILEA, Camelia, 2018, "Vulnerabilities Of The Romanian Economy Generated By The Foreign Trade, The External Debt And The Exchange Rate After Romania’S Accession To The European Union," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 22, issue 4, pages 41-56, December.
• DRAGOI, Catalin, 2018, "The Influence Of Country Ratings On Foreign Direct Investment In Romania," Journal of Financial and Monetary Economics, Centre of Financial and Monetary Research "Victor Slavescu", volume 6, issue 1, pages 134-142, October.
• Ślepaczuk Robert & Zenkova Maryna, 2018, "Robustness of Support Vector Machines in Algorithmic Trading on Cryptocurrency Market," Central European Economic Journal, Sciendo, volume 5, issue 52, pages 186-205, January, DOI: 10.1515/ceej-2018-0022.
• Ryś Przemysław & Ślepaczuk Robert, 2018, "Machine Learning Methods in Algorithmic Trading Strategy Optimization – Design and Time Efficiency," Central European Economic Journal, Sciendo, volume 5, issue 52, pages 206-229, January, DOI: 10.1515/ceej-2018-0021.
• Behr Adam & Mielcarz Paweł & Osiichuk Dmytro, 2018, "Terminal Value Calculation in DCF Valuation Models: An Empirical Verification," Financial Internet Quarterly (formerly e-Finanse), Sciendo, volume 14, issue 1, pages 27-38, March, DOI: 10.2478/fiqf-2018-0003.
• Przemysław Ryś & Robert Ślepaczuk, 2018, "Machine learning in algorithmic trading strategy optimization - implementation and efficiency," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2018-25.
• Olga Almabekova Roman Kuzmich Elena Antosik, 2018, "Income Approach to Business Valuation: Russian Perspective," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, volume 21, issue 2, pages 115-128, November, DOI: 10.2478/zireb-2018-0017.
• Faria, Gonçalo & Verona, Fabio, 2018, "The equity risk premium and the low frequency of the term spread," Bank of Finland Research Discussion Papers, Bank of Finland, number 7/2018.
• Bichler, Shimshon & Nitzan, Jonathan, 2018, "With their Back to the Future: Will Past Earnings Trigger the Next Crisis," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, issue 18, pages 41-56.
• Pal, Sumantra, 2018, "How to intervene in foreign exchange market without buying/selling dollars?," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 181880.
• Packham, Natalie & Woebbeking, Fabian, 2018, "A factor-model approach for correlation scenarios and correlation stress-testing," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2018-034.
• Packham, Natalie & Papenbrock, Jochen & Schwendner, Peter & Woebbeking, Fabian, 2018, "Tail-Risk Protection Trading Strategies," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2018-038.
• Bommes, Elisabeth & Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl, 2018, "Textual Sentiment and Sector specific reaction," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2018-043.
• Pele, Daniel Traian & Mazurencu-Marinescu-Pele, Miruna, 2018, "Cryptocurrencies, Metcalfe's law and LPPL models," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2018-056.
• Demary, Markus, 2018, "IW Financial Expert Survey: Second Quarter 2018," IW-Reports, Institut der deutschen Wirtschaft (IW) / German Economic Institute, number 13/2018.
• Demary, Markus, 2018, "IW Financial Expert Survey: First Quarter 2018," IW-Reports, Institut der deutschen Wirtschaft (IW) / German Economic Institute, number 2/2018.
• Demary, Markus, 2018, "IW Financial Expert Survey: Third Quarter 2018," IW-Reports, Institut der deutschen Wirtschaft (IW) / German Economic Institute, number 29/2018.
• Demary, Markus, 2018, "IW Financial Expert Survey: Fourth Quarter 2018," IW-Reports, Institut der deutschen Wirtschaft (IW) / German Economic Institute, number 37/2018.
• Schüssler, Rainer & Beckmann, Joscha & Koop, Gary & Korobilis, Dimitris, 2018, "Exchange rate predictability and dynamic Bayesian learning," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy, Verein für Socialpolitik / German Economic Association, number 181523.
• Beckmann, Joscha & Reitz, Stefan, 2018, "Information Rigidities and Exchange Rate Expectations," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy, Verein für Socialpolitik / German Economic Association, number 181628.
• Mike K. P. So & Wing Ki Liu & Amanda M. Y. Chu, 2018, "Bayesian Shrinkage Estimation Of Time-Varying Covariance Matrices In Financial Time Series," Advances in Decision Sciences, Asia University, Taiwan, volume 22, issue 1, pages 369-404, December.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2018, "The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-02, Jan.
• Isabel Casas & Xiuping Mao & Helena Veiga, 2018, "Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-10, Mar.
• Tom Engsted & Thomas Q. Pedersen, 2018, "Disappearing money illusion," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-24, Aug.
• Maxime Morariu-Patrichi & Mikko Pakkanen, 2018, "State-dependent Hawkes processes and their application to limit order book modelling," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-26, Sep.
• Charlotte Christiansen & Niels S. Grønborg & Ole L. Nielsen, 2018, "Mutual Fund Selection for Realistically Short Samples," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-36, Dec.
• Niels S. Grønborg & Asger Lunde & Kasper V. Olesen & Harry Vander Elst, 2018, "Realizing Correlations Across Asset Classes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-37, Dec.
• James Barth & Sunghoon Joo & Hyeongwoo Kim & Kang Bok Lee & Stevan Maglic & Xuan Shen, 2018, "Forecasting Net Charge-Off Rates of Banks: A PLS Approach," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2018-03, Apr.
• Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2018, "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2018-06, Oct.
• Hyeongwoo Kim & Wen Shi, 2018, "Forecasting Financial Vulnerability in the US: A Factor Model Approach," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2018-07, Oct.
• Mehmet Yazıcı, 2018, "Comparison of Discriminant Analysis, Logistic Regression and Artificial Neural Networks in Credit Risk Analysis," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., volume 33, issue 109, pages 91-106, April, DOI: https://doi.org/10.33203/mfy.393348.
• Jean-David Fermanian & Hassan Malongo, 2018, "On the Link between Volatilities, Regime Switching Probabilities and Correlation Dynamics," Annals of Economics and Statistics, GENES, issue 131, pages 1-24, DOI: 10.15609/annaeconstat2009.131.0001.
• Matheus José Silva de Souza & Danilo Guimarães Franco Ramosb & Marina Garcia Pena & Vinicius Amorim Sobreiro & Herbert Kimura, 2018, "Do small caps generate above average returns in the Brazilian stock market?," Review of Development Finance Journal, Chartered Institute of Development Finance, volume 8, issue 1, pages 18-24.
• Mobin Anwar & Sanjay Kumar, 2018, "Sectoral Robustness of Asset Pricing Models: Evidence from the Indian Capital Market," Indian Journal of Commerce and Management Studies, Educational Research Multimedia & Publications,India, volume 9, issue 2, pages 42-50, May, DOI: 10.18843/ijcms/v9i2/05.
• György Surányi, 2018, "Ten Years after the Crisis in Hungary," Acta Oeconomica, Akadémiai Kiadó, Hungary, volume 68, issue supplemen, pages 121-142, November.
• Qingxia (Jenny) Wang, 2018, "A Reverse Engineered Pitch on Cremers et al. (2015), “Aggregate Jump and Volatility Risk in the Cross-Section of Stock Returns”," Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, volume 17, issue 1, pages 178-185, March.
• Chaima Kooli & Raoudha Trabelsi & Fethi Tlili, 2018, "The Impact of Accounting Disclosure On Emerging Stock Market Prediction in an Unstable Socio-Political Context," Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, volume 17, issue 3, pages 313-329, September.
• Stephen Figlewski, 2018, "Risk-Neutral Densities: A Review," Annual Review of Financial Economics, Annual Reviews, volume 10, issue 1, pages 329-359, November, DOI: 10.1146/annurev-financial-110217-02.
• Allan Timmermann, 2018, "Forecasting Methods in Finance," Annual Review of Financial Economics, Annual Reviews, volume 10, issue 1, pages 449-479, November, DOI: 10.1146/annurev-financial-110217-02.
• Markus Spiwoks & Kilian Bizer, 2018, "On the Measurement of Overconfidence: An Experimental Study," International Journal of Economics and Financial Research, Academic Research Publishing Group, volume 4, issue 1, pages 30-37, 01-2018.
• David Lee, 2018, "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," Papers, arXiv.org, number 1804.02289, Apr.
• 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," Papers, arXiv.org, number 1804.07022, Apr.
• Tim Xiao, 2018, "A New Model for Pricing Collateralized Financial Derivatives," Papers, arXiv.org, number 1805.11981, May.
• 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.
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• 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.
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