Research classified by Journal of Economic Literature (JEL) codes

2018

• 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.
• Frantisek Cech & Jozef Barunik, 2017, "Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns," Papers, arXiv.org, number 1708.08622, Aug.
• Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2017, "A Justification of Conditional Confidence Intervals," Papers, arXiv.org, number 1710.00643, Oct, revised Jan 2019.
• Doncho Donev, 2017, "Price bubbles and financial markets efficiency," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 115-131.
• Tom Roberts, 2017, "A Counterfactual Valuation of the Stock Index as a Predictor of Crashes," Staff Working Papers, Bank of Canada, number 17-38, DOI: 10.34989/swp-2017-38.
• José Renato Haas Ornelas, 2017, "Expected Currency Returns and Volatility Risk Premia," Working Papers Series, Central Bank of Brazil, Research Department, number 454, Jan.
• José Renato Haas Ornelas & Roberto Baltieri Mauad, 2017, "Volatility Risk Premia and Future Commodity Returns," Working Papers Series, Central Bank of Brazil, Research Department, number 455, Apr.
• Pinar KAYA & Bulent GULOGLU, 2017, "Modeling and Forecasting the Markets Volatility and VaR Dynamics of Commodity," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 11, issue 1, pages 9-49.
• Santiago Gamba & Oscar Jaulín & Angélica Lizarazo & Juan Carlos Mendoza & Paola Morales & Daniel Osorio & Eduardo Yanquen, 2017, "SYSMO I: A Systemic Stress Model for the Colombian Financial System," Borradores de Economia, Banco de la Republica de Colombia, number 1028, Nov, DOI: 10.32468/be.1028.
• BALTES Nicolae & DRAGOE Alexandra-Gabriela-Maria, 2017, "Estimating The Return Of The Financial Titles Of The Companies From The Manufacturing Industry, Listed On The Bucharest Stock Exchange," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, volume 69, issue 3, pages 19-28, August.
• BRATIAN Vasile, 2017, "Portfolio Optimization - Application Of Sharpe Model Using Lagrange," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, volume 69, issue 5, pages 8-21, December.
• Chiranjit Chakraborty & Andreas Joseph, 2017, "Machine learning at central banks," Bank of England working papers, Bank of England, number 674, Sep.
• Will Dison & Konstantinos Theodoridis, 2017, "Do macro shocks matter for equities?," Bank of England working papers, Bank of England, number 692, Nov.
• Hyeongwoo Kim & Kyunghwan Ko, 2017, "Improving Forecast Accuracy of Financial Vulnerability: Partial Least Squares Factor Model Approach," Working Papers, Economic Research Institute, Bank of Korea, number 2017-14, May.
• Yener Cos‚kun & A. Sevtap Selcuk-Kestel & Bilgi Yilmaz, 2017, "Diversification benefit and return performance of REITs using CAPM and Fama-French: Evidence from Turkey," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 17, issue 4, pages 199-215, December.
• Ormos Mihály & Timotity Dusán, 2017, "The Case of “Less is More”: Modelling Risk-Preference with Expected Downside Risk," The B.E. Journal of Theoretical Economics, De Gruyter, volume 17, issue 2, pages 1-14, June, DOI: 10.1515/bejte-2016-0100.
• Kraicová Lucie & Baruník Jozef, 2017, "Estimation of long memory in volatility using wavelets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 21, issue 3, pages 1-22, June, DOI: 10.1515/snde-2016-0101.
• Chong Terence Tai-Leung & Poon Ka-Ho, 2017, "A new recognition algorithm for “head-and-shoulders” price patterns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 21, issue 5, pages 1-18, December, DOI: 10.1515/snde-2015-0066.
• J. Daniel Aromí, 2017, "Conventional views and asset prices: What to expect after times of extreme opinions," Journal of Applied Economics, Universidad del CEMA, volume 20, pages 49-73, May.
• Ke WU & Spencer WHEATLEY & Didier SORNETTE, 2017, "The British Pound on Brexit night: a natural experiment of market efficiency and real-time predictability," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-12, Mar.
• Zhang Qun & Didier Sornette & Hao Zhang, 2017, "Anticipating Critical Transitions of Chinese Housing Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-18, May.
• Damian Smug & Peter Ashwin & Didier Sornette, 2017, "Predicting Financial Market Crashes Using Ghost Singularities," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-23, Jun.
• Jerome L Kreuser & Didier Sornette, 2017, "Super-Exponential RE Bubble Model with Efficient Crashes," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-33, Nov.
• Alexey Ivashchenko, 2017, "Credit Spreads, Daily Business Cycle, and Corporate Bond Returns Predictability," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-67, Apr, revised Jan 2018.
• José Miguel Hernández Arango & Luis Fernando Carvajal-Serna, 2017, "Cobertura al riesgo ante la variabilidad hidrológica en una central hidráulica a filo de agua usando derivados climáticos," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 87, pages 191-222.
• Fernando Corena, 2017, "Estimación del valor económico transferido al municipio de Montelibano por parte de la actividad de una empresa de explotación minera ante un escenario de cierre de actividades de la mina en el 2029," Revista CIFE, Universidad Santo Tomás, volume 19, issue 30, pages 79-100.
• Pablo Andrés Garay Rodriguez & Peter David Lowy Galvis, 2017, "Análisis de recomposición del portafolio accionario por sectores en Colombia basado en Valor en Riesgo entre el Q2 2013-Q2 2014 y Q2 2015-Q2 2016," Vniversitas Económica, Universidad Javeriana - Bogotá, volume 0, issue 0, pages 1-31.
• Juan Carlos Gutierrez Betancur, 2017, "Robust Estimation of beta and the hedging ratio in Stock Index Futures In the Integrated Latin American Market," Revista Ecos de Economía, Universidad EAFIT, volume 21, issue 44, pages 37-71.
• Timmermann, Allan & Lunde, Asger & Groenborg, Niels & Wermers, Russ, 2017, "Picking Funds with Confidence," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11896, Mar.
• Adrian, Tobias & Capponi, Agostino & Vogt, Erik & Zhang, Hongzhong, 2017, "Intraday Market Making with Overnight Inventory Costs," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12245, Aug.
• Bianchi, Francesco & Lettau, Martin & Ludvigson, Sydney, 2017, "Monetary Policy and Asset Valuation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12275, Sep.
• Cukierman, Alex & Lustenberger, Thomas, 2017, "International evidence on professional interest rates forecasts: The impact of forecasting ability," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12489, Dec.
• Thesmar, David & Bouchaud, Jean-Philippe & Krueger, Philipp & Landier, Augustin, 2017, "Sticky Expectations and the Profi tability Anomaly," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12528, Dec.
• Mawuli Segnon & Mark Trede, 2017, "Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 6617, Sep.
• Guoshi Tong, 2017, "Market Timing under Limited Information: An Empirical Investigation in US Treasury Market," Annals of Economics and Finance, Society for AEF, volume 18, issue 2, pages 291-322, November.
• Afees A. Salisu & Umar B. Ndako, 2017, "Forecasting the return volatility of European equity markets under different market conditions:A GARCH-MIDAS approach," Working Papers, Centre for Econometric and Allied Research, University of Ibadan, number 028, Sep.
• Ouael EL JEBARI & Abdelati HAKMAOUI, 2017, "Modeling persistence of volatility in the Moroccan exchange market using a fractionally integrated EGARCH," Turkish Economic Review, EconSciences Journals, volume 4, issue 4, pages 388-399, December.
• Jaydip SEN & Tamal DATTA CHAUDHURI, 2017, "A Predictive Analysis of the Indian FMCG Sector using Time Series Decomposition - Based Approach," Journal of Economics Library, EconSciences Journals, volume 4, issue 2, pages 206-226, June.
• Kyoung-SookMOON & Heejean KIM & Hongjoong KIM, 2017, "A Prediction Methodology for the Change of the Values of Financial Products," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, volume 51, issue 3, pages 197-210.
• Stefan SIMEONOV, 2017, "A Methodology For Trend Analysis Of Stock Exchange Activities, Based On Indicator Signals And Frequency Volatility," Economics 21, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 1 Year 20, pages 21-39.
• Стефан Симеонов, 2017, "Методика За Анализ На Тренда В Борсовата Активност, Базирана На Индикаторните Сигнали И Честотната Променливост," Economics 21, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 1 Year 20, pages 24-44.
• Kok, Christoffer & Pancaro, Cosimo & Mirza, Harun, 2017, "Macro stress testing euro area banks' fees and commissions," Working Paper Series, European Central Bank, number 2029, Feb.
• Camba-Méndez, Gonzalo & Werner, Thomas, 2017, "The inflation risk premium in the post-Lehman period," Working Paper Series, European Central Bank, number 2033, Mar.
• Gerba, Eddie & Żochowski, Dawid, 2017, "Knightian uncertainty and credit cycles," Working Paper Series, European Central Bank, number 2068, May.
• Jaccard, Ivan & Smets, Frank, 2017, "Structural asymmetries and financial imbalances in the eurozone," Working Paper Series, European Central Bank, number 2076, Jun.
• Andr Tomfort, 2017, "Detecting Asset Price Bubbles: A Multifactor Approach," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 1, pages 46-55.
• Zaidi Isa & Nur Amalina Shafie, 2017, "A Stochastic Approach for Determining Profit Rate of Islamic Financing Products," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 1, pages 154-163.
• Mustapha Ammari & Ghizlane Lakhnat, 2017, "Default-implied Asset Correlation: Empirical Study for Moroccan Companies," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 2, pages 415-425.
• Zi-Yi Guo, 2017, "Order Flow and Exchange Rate Dynamics in Continuous Time: New Evidence from Martingale Regression," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 2, pages 507-512.
• Mustapha Ammari & Ghizlane Lakhnati, 2017, "Loss Given Default Estimating by the Conditional Minimum Value," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 3, pages 779-785.
• Hojatollah Atashi Golestani & Seyyed Mohammad Hosseini & Ehsan Mehrjoo, 2017, "Separating and Merging Cash Flows: Investigating Five-element Cash Flows Statement," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 4, pages 54-61.
• Naliniprava Tripathy, 2017, "Forecasting Gold Price with Auto Regressive Integrated Moving Average Model," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 4, pages 324-329.
• I. Made Suidarma & Yulia Indrawati & I. Gusti Nengah Darma Diatmika & I. Nyoman Anggaradana, 2017, "Financial System Vulnerability Indicators in Indonesia," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 5, pages 299-306.
• Vasile Bratian & Claudiu Opreana & Amelia Bucur, 2017, "Evaluation of the Stock Quote Stochastic Approach, Market Efficiency and Technical Analysis," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 5, pages 307-316.
• Chan, Konan & Li, Fengfei & Lin, Ji-Chai & Lin, Tse-Chun, 2017, "What do stock price levels tell us about the firms?," Journal of Corporate Finance, Elsevier, volume 46, issue C, pages 34-50, DOI: 10.1016/j.jcorpfin.2017.06.013.
• Schmitt, Noemi & Westerhoff, Frank, 2017, "On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations," Journal of Economic Dynamics and Control, Elsevier, volume 80, issue C, pages 34-53, DOI: 10.1016/j.jedc.2017.05.002.
• Llacay, Bàrbara & Peffer, Gilbert, 2017, "Impact of value-at-risk models on market stability," Journal of Economic Dynamics and Control, Elsevier, volume 82, issue C, pages 223-256, DOI: 10.1016/j.jedc.2017.07.002.
• Bernales, Alejandro & Chen, Louisa & Valenzuela, Marcela, 2017, "Learning and forecasts about option returns through the volatility risk premium," Journal of Economic Dynamics and Control, Elsevier, volume 82, issue C, pages 312-330, DOI: 10.1016/j.jedc.2017.06.007.
• Huo, Rui & Ahmed, Abdullahi D., 2017, "Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect," Economic Modelling, Elsevier, volume 61, issue C, pages 260-272, DOI: 10.1016/j.econmod.2016.09.021.
• Liu, Zhangxin (Frank) & Faff, Robert, 2017, "Hitting SKEW for SIX," Economic Modelling, Elsevier, volume 64, issue C, pages 449-464, DOI: 10.1016/j.econmod.2017.02.026.
• Galanti, Sébastien & Vaubourg, Anne Gaël, 2017, "Optimism bias in financial analysts' earnings forecasts: Do commissions sharing agreements reduce conflicts of interest?," Economic Modelling, Elsevier, volume 67, issue C, pages 325-337, DOI: 10.1016/j.econmod.2017.02.001.
• Ng, Kok Haur & Peiris, Shelton & Chan, Jennifer So-kuen & Allen, David & Ng, Kooi Huat, 2017, "Efficient modelling and forecasting with range based volatility models and its application," The North American Journal of Economics and Finance, Elsevier, volume 42, issue C, pages 448-460, DOI: 10.1016/j.najef.2017.08.009.
• Zhang, Keyi & Gençay, Ramazan & Ege Yazgan, M., 2017, "Application of wavelet decomposition in time-series forecasting," Economics Letters, Elsevier, volume 158, issue C, pages 41-46, DOI: 10.1016/j.econlet.2017.06.010.
• Al Janabi, Mazin A.M. & Arreola Hernandez, Jose & Berger, Theo & Nguyen, Duc Khuong, 2017, "Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios," European Journal of Operational Research, Elsevier, volume 259, issue 3, pages 1121-1131, DOI: 10.1016/j.ejor.2016.11.019.
• Cerrato, Mario & Crosby, John & Kim, Minjoo & Zhao, Yang, 2017, "Relation between higher order comoments and dependence structure of equity portfolio," Journal of Empirical Finance, Elsevier, volume 40, issue C, pages 101-120, DOI: 10.1016/j.jempfin.2016.11.007.
• Lee, Kyungsub & Seo, Byoung Ki, 2017, "Marked Hawkes process modeling of price dynamics and volatility estimation," Journal of Empirical Finance, Elsevier, volume 40, issue C, pages 174-200, DOI: 10.1016/j.jempfin.2016.08.004.
• Khimich, Natalya, 2017, "A comparison of alternative cash flow and discount rate news proxies," Journal of Empirical Finance, Elsevier, volume 41, issue C, pages 31-52, DOI: 10.1016/j.jempfin.2016.12.002.
• Fries, Christian P. & Nigbur, Tobias & Seeger, Norman, 2017, "Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates," Journal of Empirical Finance, Elsevier, volume 42, issue C, pages 175-198, DOI: 10.1016/j.jempfin.2017.03.004.
• Han, Xing & Li, Youwei, 2017, "Can investor sentiment be a momentum time-series predictor? Evidence from China," Journal of Empirical Finance, Elsevier, volume 42, issue C, pages 212-239, DOI: 10.1016/j.jempfin.2017.04.001.
• Lawrenz, Jochen & Zorn, Josef, 2017, "Predicting international stock returns with conditional price-to-fundamental ratios," Journal of Empirical Finance, Elsevier, volume 43, issue C, pages 159-184, DOI: 10.1016/j.jempfin.2017.06.003.
• Risse, Marian & Ohl, Ludwig, 2017, "Using dynamic model averaging in state space representation with dynamic Occam’s window and applications to the stock and gold market," Journal of Empirical Finance, Elsevier, volume 44, issue C, pages 158-176, DOI: 10.1016/j.jempfin.2017.09.005.
• Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2017, "Forecasting the term structure of government bond yields in unstable environments," Journal of Empirical Finance, Elsevier, volume 44, issue C, pages 209-225, DOI: 10.1016/j.jempfin.2017.09.004.
• Herrera, Rodrigo & Rodriguez, Alejandro & Pino, Gabriel, 2017, "Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model," Energy Economics, Elsevier, volume 63, issue C, pages 129-143, DOI: 10.1016/j.eneco.2017.01.012.
• Liu, Pan & Vedenov, Dmitry & Power, Gabriel J., 2017, "Is hedging the crack spread no longer all it's cracked up to be?," Energy Economics, Elsevier, volume 63, issue C, pages 31-40, DOI: 10.1016/j.eneco.2017.01.020.
• Campos, I. & Cortazar, G. & Reyes, T., 2017, "Modeling and predicting oil VIX: Internet search volume versus traditional mariables," Energy Economics, Elsevier, volume 66, issue C, pages 194-204, DOI: 10.1016/j.eneco.2017.06.009.
• Taylor, Nick, 2017, "Timing strategy performance in the crude oil futures market," Energy Economics, Elsevier, volume 66, issue C, pages 480-492, DOI: 10.1016/j.eneco.2017.07.019.
• Sukcharoen, Kunlapath & Leatham, David J., 2017, "Hedging downside risk of oil refineries: A vine copula approach," Energy Economics, Elsevier, volume 66, issue C, pages 493-507, DOI: 10.1016/j.eneco.2017.07.012.
• Lyu, Yongjian & Wang, Peng & Wei, Yu & Ke, Rui, 2017, "Forecasting the VaR of crude oil market: Do alternative distributions help?," Energy Economics, Elsevier, volume 66, issue C, pages 523-534, DOI: 10.1016/j.eneco.2017.06.015.
• Han, Liyan & Lv, Qiuna & Yin, Libo, 2017, "Can investor attention predict oil prices?," Energy Economics, Elsevier, volume 66, issue C, pages 547-558, DOI: 10.1016/j.eneco.2017.04.018.
• Afkhami, Mohamad & Cormack, Lindsey & Ghoddusi, Hamed, 2017, "Google search keywords that best predict energy price volatility," Energy Economics, Elsevier, volume 67, issue C, pages 17-27, DOI: 10.1016/j.eneco.2017.07.014.
• Charles, Amélie & Darné, Olivier, 2017, "Forecasting crude-oil market volatility: Further evidence with jumps," Energy Economics, Elsevier, volume 67, issue C, pages 508-519, DOI: 10.1016/j.eneco.2017.09.002.
• Feng, Jiabao & Wang, Yudong & Yin, Libo, 2017, "Oil volatility risk and stock market volatility predictability: Evidence from G7 countries," Energy Economics, Elsevier, volume 68, issue C, pages 240-254, DOI: 10.1016/j.eneco.2017.09.023.
• Pircalabu, A. & Benth, F.E., 2017, "A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets," Energy Economics, Elsevier, volume 68, issue C, pages 283-302, DOI: 10.1016/j.eneco.2017.10.008.
• Ernstsen, Rune Ramsdal & Boomsma, Trine Krogh & Tegnér, Martin & Skajaa, Anders, 2017, "Hedging local volume risk using forward markets: Nordic case," Energy Economics, Elsevier, volume 68, issue C, pages 490-514, DOI: 10.1016/j.eneco.2017.10.017.
• Degiannakis, Stavros & Potamia, Artemis, 2017, "Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data," International Review of Financial Analysis, Elsevier, volume 49, issue C, pages 176-190, DOI: 10.1016/j.irfa.2016.10.008.
• Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2017, "Predictability and diversification benefits of investing in commodity and currency futures," International Review of Financial Analysis, Elsevier, volume 50, issue C, pages 52-66, DOI: 10.1016/j.irfa.2016.12.009.
• Tunaru, Diana, 2017, "Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models," International Review of Financial Analysis, Elsevier, volume 52, issue C, pages 119-129, DOI: 10.1016/j.irfa.2017.05.003.
• Tunaru, Radu & Zheng, Teng, 2017, "Parameter estimation risk in asset pricing and risk management: A Bayesian approach," International Review of Financial Analysis, Elsevier, volume 53, issue C, pages 80-93, DOI: 10.1016/j.irfa.2017.08.004.
• Svec, Jiri & Katrak, Xerxis, 2017, "Forecasting volatility with interacting multiple models," Finance Research Letters, Elsevier, volume 20, issue C, pages 245-252, DOI: 10.1016/j.frl.2016.10.005.
• Basu, Anup K. & Wiafe, Osei K., 2017, "Impact of persistent bad returns and volatility on retirement outcomes," Finance Research Letters, Elsevier, volume 21, issue C, pages 201-205, DOI: 10.1016/j.frl.2016.12.011.
• Dömötör, Barbara, 2017, "Optimal hedge ratio in a biased forward market under liquidity constraints," Finance Research Letters, Elsevier, volume 21, issue C, pages 259-263, DOI: 10.1016/j.frl.2016.11.009.
• Zakamulin, Valeriy, 2017, "Superiority of optimized portfolios to naive diversification: Fact or fiction?," Finance Research Letters, Elsevier, volume 22, issue C, pages 122-128, DOI: 10.1016/j.frl.2016.12.007.
• Lönnbark, Carl, 2017, "Long vs. short term asymmetry in volatility and the term structure of risk," Finance Research Letters, Elsevier, volume 23, issue C, pages 202-209, DOI: 10.1016/j.frl.2017.06.011.
• Lyócsa, Štefan & Molnár, Peter, 2017, "The effect of non-trading days on volatility forecasts in equity markets," Finance Research Letters, Elsevier, volume 23, issue C, pages 39-49, DOI: 10.1016/j.frl.2017.07.002.
• Li, Jiahan & Tsiakas, Ilias, 2017, "Equity premium prediction: The role of economic and statistical constraints," Journal of Financial Markets, Elsevier, volume 36, issue C, pages 56-75, DOI: 10.1016/j.finmar.2016.09.001.
• Slim, Skander & Koubaa, Yosra & BenSaïda, Ahmed, 2017, "Value-at-Risk under Lévy GARCH models: Evidence from global stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 46, issue C, pages 30-53, DOI: 10.1016/j.intfin.2016.08.008.
• Kunze, Frederik & Wegener, Christoph & Bizer, Kilian & Spiwoks, Markus, 2017, "Forecasting European interest rates in times of financial crisis – What insights do we get from international survey forecasts?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 48, issue C, pages 192-205, DOI: 10.1016/j.intfin.2017.01.005.
• Lyócsa, Štefan & Molnár, Peter & Todorova, Neda, 2017, "Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 51, issue C, pages 228-247, DOI: 10.1016/j.intfin.2017.08.005.
• Buchner, Axel & Mohamed, Abdulkadir & Saadouni, Brahim, 2017, "The association between earnings forecast in IPOs prospectuses and earnings management: An empirical analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 51, issue C, pages 92-105, DOI: 10.1016/j.intfin.2017.08.008.
• Taylor, Nick, 2017, "Realised variance forecasting under Box-Cox transformations," International Journal of Forecasting, Elsevier, volume 33, issue 4, pages 770-785, DOI: 10.1016/j.ijforecast.2017.04.001.
• León, Angel & Moreno, Manuel, 2017, "One-sided performance measures under Gram-Charlier distributions," Journal of Banking & Finance, Elsevier, volume 74, issue C, pages 38-50, DOI: 10.1016/j.jbankfin.2016.10.005.
• Møller, Stig V. & Sander, Magnus, 2017, "Dividends, earnings, and predictability," Journal of Banking & Finance, Elsevier, volume 78, issue C, pages 153-163, DOI: 10.1016/j.jbankfin.2017.02.008.
• Chiang, I-Hsuan Ethan & Hughen, W. Keener, 2017, "Do oil futures prices predict stock returns?," Journal of Banking & Finance, Elsevier, volume 79, issue C, pages 129-141, DOI: 10.1016/j.jbankfin.2017.02.012.
• Egami, M. & Kevkhishvili, R., 2017, "An analysis of simultaneous company defaults using a shot noise process," Journal of Banking & Finance, Elsevier, volume 80, issue C, pages 135-161, DOI: 10.1016/j.jbankfin.2017.04.007.
• Cole, Rebel A. & White, Lawrence J., 2017, "When time is not on our side: The costs of regulatory forbearance in the closure of insolvent banks," Journal of Banking & Finance, Elsevier, volume 80, issue C, pages 235-249, DOI: 10.1016/j.jbankfin.2017.03.010.
• Kaeck, Andreas & Rodrigues, Paulo & Seeger, Norman J., 2017, "Equity index variance: Evidence from flexible parametric jump–diffusion models," Journal of Banking & Finance, Elsevier, volume 83, issue C, pages 85-103, DOI: 10.1016/j.jbankfin.2017.06.010.
• Kolev, Gueorgui I. & Karapandza, Rasa, 2017, "Out-of-sample equity premium predictability and sample split–invariant inference," Journal of Banking & Finance, Elsevier, volume 84, issue C, pages 188-201, DOI: 10.1016/j.jbankfin.2016.07.017.
• Kogan, Leonid & Ross, Stephen A. & Wang, Jiang & Westerfield, Mark M., 2017, "Market selection," Journal of Economic Theory, Elsevier, volume 168, issue C, pages 209-236, DOI: 10.1016/j.jet.2016.12.002.
• Bhamra, Harjoat S. & Shim, Kyung Hwan, 2017, "Stochastic idiosyncratic cash flow risk and real options: Implications for stock returns," Journal of Economic Theory, Elsevier, volume 168, issue C, pages 400-431, DOI: 10.1016/j.jet.2016.11.005.
• Avdis, Efstathios & Wachter, Jessica A., 2017, "Maximum likelihood estimation of the equity premium," Journal of Financial Economics, Elsevier, volume 125, issue 3, pages 589-609, DOI: 10.1016/j.jfineco.2017.06.003.
• Chen, Jian & Jiang, Fuwei & Liu, Yangshu & Tu, Jun, 2017, "International volatility risk and Chinese stock return predictability," Journal of International Money and Finance, Elsevier, volume 70, issue C, pages 183-203, DOI: 10.1016/j.jimonfin.2016.08.007.
• Lansing, Kevin J. & Ma, Jun, 2017, "Explaining exchange rate anomalies in a model with Taylor-rule fundamentals and consistent expectations," Journal of International Money and Finance, Elsevier, volume 70, issue C, pages 62-87, DOI: 10.1016/j.jimonfin.2016.08.004.
• Adelino, Manuel & Scott Frame, W. & Gerardi, Kristopher, 2017, "The effect of large investors on asset quality: Evidence from subprime mortgage securities," Journal of Monetary Economics, Elsevier, volume 87, issue C, pages 34-51, DOI: 10.1016/j.jmoneco.2017.03.003.
• Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Mensi, Walid & Kumar, Ronald Ravinesh, 2017, "Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 471, issue C, pages 351-363, DOI: 10.1016/j.physa.2016.12.037.
• Huang, Chun-Kai & North, Delia & Zewotir, Temesgen, 2017, "Exchangeability, extreme returns and Value-at-Risk forecasts," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 477, issue C, pages 204-216, DOI: 10.1016/j.physa.2017.02.080.
• Park, Sung Y. & Ryu, Doojin & Song, Jeongseok, 2017, "The dynamic conditional relationship between stock market returns and implied volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 482, issue C, pages 638-648, DOI: 10.1016/j.physa.2017.04.023.
• Abu-Alkheil, Ahmad & Khan, Walayet A. & Parikh, Bhavik & Mohanty, Sunil K., 2017, "Dynamic co-integration and portfolio diversification of Islamic and conventional indices: Global evidence," The Quarterly Review of Economics and Finance, Elsevier, volume 66, issue C, pages 212-224, DOI: 10.1016/j.qref.2017.02.005.
• Fan, Chenxi & Luo, Xingguo & Wu, Qingbiao, 2017, "Stochastic volatility vs. jump diffusions: Evidence from the Chinese convertible bond market," International Review of Economics & Finance, Elsevier, volume 49, issue C, pages 1-16, DOI: 10.1016/j.iref.2016.04.009.
• Buncic, Daniel & Tischhauser, Martin, 2017, "Macroeconomic factors and equity premium predictability," International Review of Economics & Finance, Elsevier, volume 51, issue C, pages 621-644, DOI: 10.1016/j.iref.2017.07.006.
• Switzer, Lorne N. & Tahaoglu, Cagdas & Zhao, Yun, 2017, "Volatility measures as predictors of extreme returns," Review of Financial Economics, Elsevier, volume 35, issue C, pages 1-10, DOI: 10.1016/j.rfe.2017.04.001.
• Virgilio, Gianluca, 2017, "Is high-frequency trading tiering the financial markets?," Research in International Business and Finance, Elsevier, volume 41, issue C, pages 158-171, DOI: 10.1016/j.ribaf.2017.04.031.
• Stoupos, Nikolaos & Kiohos, Apostolos, 2017, "EU unification and linkages among the European currencies: new evidence from the EU and the EEA," Research in International Business and Finance, Elsevier, volume 41, issue C, pages 28-36, DOI: 10.1016/j.ribaf.2017.04.015.
• Nadal, Raquel & Szklo, Alexandre & Lucena, André, 2017, "Time-varying impacts of demand and supply oil shocks on correlations between crude oil prices and stock markets indices," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 1011-1020, DOI: 10.1016/j.ribaf.2017.07.037.
• French, Jordan, 2017, "Asset pricing with investor sentiment: On the use of investor group behavior to forecast ASEAN markets," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 124-148, DOI: 10.1016/j.ribaf.2017.04.037.
• Jadhao, Gaurav & Chandra, Abhijeet, 2017, "Application of VIX and entropy indicators for portfolio rotation strategies," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 1367-1371, DOI: 10.1016/j.ribaf.2017.07.074.
• Thomas Walther, 2017, "Expected shortfall in the presence of asymmetry and long memory," Pacific Accounting Review, Emerald Group Publishing Limited, volume 29, issue 2, pages 132-151, April, DOI: 10.1108/PAR-06-2016-0063.
• Amal Hamrouni & Ramzi Benkraiem & Majdi Karmani, 2017, "Voluntary information disclosure and sell-side analyst coverage intensity," Review of Accounting and Finance, Emerald Group Publishing Limited, volume 16, issue 2, pages 260-280, May, DOI: 10.1108/RAF-02-2015-0024.
• Samit Paul & Prateek Sharma, 2017, "Improved VaR forecasts using extreme value theory with the Realized GARCH model," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 34, issue 2, pages 238-259, June, DOI: 10.1108/SEF-05-2015-0139.
• Asai, M. & McAleer, M.J., 2017, "Forecasting the Volatility of Nikkei 225 Futures," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number TI 2017-017/III, Jan.
• Beckmann, J & Koop, G & Korobilis, D & Schüssler, R, 2017, "Exchange rate predictability and dynamic Bayesian learning," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 20781, Dec.
• Valentin EPURE, 2017, "Analysis of Structural Breaks in BET Index," Eco-Economics Review, Ecological University of Bucharest, Economics Faculty and Ecology and Environmental Protection Faculty, volume 3, issue 1, pages 21-34, June.
• Petar Pierre Matek & Masa Galic, 2017, "The Impact of Minimum Return Guarantees on Management of Mandatory Pension Funds in Croatia," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 67, issue 4, pages 342-369, August.
• Matej Nevrla, 2017, "Systemic Risk in the European Financial and Energy Sector: Dynamic Factor Copula Approach," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2017/11, May, revised May 2017.
• Jozef Barunik & Lucie Kraicova, 2017, "Common Cycles in Volatility and Cross Section of Stock Returns," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2017/19, Aug, revised Aug 2017.
• Frantisek Cech & Jozef Barunik, 2017, "Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2017/20, Sep, revised Sep 2017.