Research classified by Journal of Economic Literature (JEL) codes

2017

• Astorino, Eduardo & Chague, Fernando & Giovannetti, Bruno Cara & da Silva, Marcos Eugênio, 2017, "Variance Premium and Implied Volatility in a Low-Liquidity Option Market," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), volume 71, issue 1, May.
• Nikolay Gospodinov, 2017, "Asset Co-movements: Features and Challenges," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2017-11, Nov.
• Michelle L. Barnes & Giovanni P. Olivei, 2017, "Financial variables and macroeconomic forecast errors," Working Papers, Federal Reserve Bank of Boston, number 17-17, Oct.
• Edward S. Knotek & Saeed Zaman, 2017, "Financial Nowcasts and Their Usefulness in Macroeconomic Forecasting," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1702, Mar, DOI: 10.26509/frbc-wp-201702.
• Daniel J. Wilson, 2017, "Clearing the Fog: The Predictive Power of Weather for Employment Reports and their Asset Price Responses," Working Paper Series, Federal Reserve Bank of San Francisco, number 2017-13, Sep, DOI: 10.24148/wp2017-13.
• Scott A. Brave & Jose A. Lopez, 2018, "Calibrating Macroprudential Policy to Forecasts of Financial Stability," Working Paper Series, Federal Reserve Bank of San Francisco, number 2017-17, Jul, DOI: 10.24148/wp2017-17.
• Martin M. Andreasen & Jens H. E. Christensen & Glenn D. Rudebusch, 2017, "Term Structure Analysis with Big Data," Working Paper Series, Federal Reserve Bank of San Francisco, number 2017-21, Sep.
• Serhat YÜKSEL, İsmail CANÖZ, Zafer ADALI, 2017, "Türkiye’deki Mevduat Bankalarının Fiyat-Kazanç Oranını Etkileyen Değişkenlerin Mars Yöntemi İle Belirlenmesi," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 3.
• Ionuț Cosmin Năstase, 2017, "Previziunea evenimentelor extreme pe piețele financiare," Journal of Financial Studies, Institute of Financial Studies, volume 3, issue 2, pages 125-139, June.
• Katarina Juselius, 2017, "Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge," Econometrics, MDPI, volume 5, issue 3, pages 1-20, July.
• Terence Tai-Leung Chong, Bingqing Cao, Wing Keung Wong, 2017, "A Principal Component Approach to Measuring Investor Sentiment in Hong Kong," Journal of Management Sciences, Geist Science, Iqra University, Faculty of Business Administration, volume 4, issue 2, pages 237-247, October.
• Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2017, "Testing for Leverage Effects in the Returns of US Equities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00973922, Jan.
• Hamrouni Amal & Ramzi Benkraiem & Karmani Majdi, 2017, "Voluntary information disclosure and sell-side analyst coverage intensity," Post-Print, HAL, number hal-01528402, May.
• Marielle Brunette & Arnaud Dragicevic & Jonathan Lenglet & Alexandra Niedzwiedz & Vincent Badeau & Jean-Luc Dupouey, 2017, "Biotechnical portfolio management of mixed-species forests," Post-Print, HAL, number hal-01530808, DOI: 10.1007/s10818-017-9247-x.
• Amélie Charles & Olivier Darné, 2017, "Forecasting crude-oil market volatility: Further evidence with jumps," Post-Print, HAL, number hal-01598141, Sep, DOI: 10.1016/j.eneco.2017.09.002.
• Sébastien Galanti & Anne-Gaël Vaubourg, 2017, "Optimism bias in financial analysts' earnings forecasts: Do commissions sharing agreements reduce conflicts of interest?," Post-Print, HAL, number hal-01724257, DOI: 10.1016/j.econmod.2017.02.001.
• Tim Xiao, 2017, "A New Model for Pricing Collateralized Financial Derivatives," Post-Print, HAL, number hal-01800559.
• Sébastien Galanti & Anne-Gaël Vaubourg, 2017, "Optimism bias in financial analysts' earnings forecasts: Do commissions sharing agreements reduce conflicts of interest?," Working Papers, HAL, number hal-01724253.
• Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2017, "How to Estimate Beta?," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-617, Nov.
• Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2017, "The Term Structure of Systematic and Idiosyncratic Risk," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-618, Nov.
• Prokopczuk, Marcel & Tharann, Björn & Wese Simen, Chardin, 2017, "Predicting the Equity Market with Option Implied Variables," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-619, Nov.
• Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2017, "International Tail Risk and World Fear," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-620, Nov.
• Lundström, Christian, 2017, "On the Returns of Trend-Following Trading Strategies," Umeå Economic Studies, Umeå University, Department of Economics, number 948, Mar.
• TAKAMIZAWA, Hideyuki & 高見澤, 秀幸, 2017, "A Term Structure Model of Interest Rates with Quadratic Volatility," Working Paper Series, Hitotsubashi University Center for Financial Research, number G-1-18, Dec.
• Nataliya Trusova, 2017, "Structure of the Total Financial Potential of Agriculture: Regional Aspect," Oblik i finansi, Institute of Accounting and Finance, issue 3, pages 119-125, September.
• Nataliya Trusova, 2017, "Environment of Multifactorial Risk in the Financial System of Agribusiness Enterprises," Oblik i finansi, Institute of Accounting and Finance, issue 4, pages 127-138, December.
• Sonia Benito Muela & Carmen López-Martín & Mª Ángeles Navarro, 2017, "The Role of the Skewed Distributions in the Framework of Extreme Value Theory (EVT)," International Business Research, Canadian Center of Science and Education, volume 10, issue 11, pages 88-102, November.
• Gaglianone, Wagner Piazza & Dutra Areosa, Waldyr, 2017, "Financial Conditions Indicator for Brazil," IDB Publications (Working Papers), Inter-American Development Bank, number 8488, Aug, DOI: http://dx.doi.org/10.18235/0011805.
• Aditya Anta Taruna & Cicilia A. Harun, 2017, "Micro Risk Assessment Dalam Estimasi Risiko Kredit Perbankan," Working Papers, Bank Indonesia, number WP/3/2017.
• Luo Wang & Bin Li & Rakesh Gupta & Jen-Je Su & Benjamin Liu, 2017, "Return Predictability in Australian Managed Funds," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 16, issue 1, pages 1-19, June.
• Gabriel Rodriguez, 2017, "Selecting between Autoregressive Conditional Heteroskedasticity Models: An Empirical Application to the Volatility of Stock Returns in Peru," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 32, issue 1, pages 69-94, April.
• Oscar Valdemar De la Torre Torres & Luis Guadalupe Macías Trejo, 2017, "Los beneficios de la inversión socialmente responsable en el desempeño de fondos de pensiones mexicanos," 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 12, issue 3, pages 67-87, Julio-Sep.
• Alberto Saavedra Espinosa, 2017, "Estimation of Market Risk Measures in Mexican Financial Time Series," 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 12, issue 4, pages 365-388, Octubre-D.
• William A. Barnett & Liting Su, 2017, "Financial Firm Production Of Inside Monetary And Credit Card Services: An Aggregation Theoretic Approach1," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201707, Oct, revised Oct 2017.
• Hideharu Funahashi & Masaaki Kijima, 2017, "Does the Hurst index matter for option prices under fractional volatility?," Annals of Finance, Springer, volume 13, issue 1, pages 55-74, February, DOI: 10.1007/s10436-016-0289-1.
• Takayuki Morimoto & Yoshinori Kawasaki, 2017, "Forecasting Financial Market Volatility Using a Dynamic Topic Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 24, issue 3, pages 149-167, September, DOI: 10.1007/s10690-017-9228-z.
• Mohammadreza Janvisloo Alizadeh & Reza Sherafatian-Jahromi, 2017, "Merton Model and Capital Measurement in Commercial Banks: A Case Study of Selected Emerging Countries in Southeast Asia," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 24, issue 3, pages 169-191, September, DOI: 10.1007/s10690-017-9229-y.
• D. V. Boreiko & Y. M. Kaniovski & G. Ch. Pflug, 2017, "Numerical Modeling of Dependent Credit Rating Transitions with Asynchronously Moving Industries," Computational Economics, Springer;Society for Computational Economics, volume 49, issue 3, pages 499-516, March, DOI: 10.1007/s10614-016-9576-1.
• Daniel Mantilla-García & Vijay Vaidyanathan, 2017, "Predicting stock returns in the presence of uncertain structural changes and sample noise," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 31, issue 3, pages 357-391, August, DOI: 10.1007/s11408-017-0290-3.
• Marielle Brunette & Arnaud Dragicevic & Jonathan Lenglet & Alexandra Niedzwiedz & Vincent Badeau & Jean-Luc Dupouey, 2017, "Biotechnical portfolio management of mixed-species forests," Journal of Bioeconomics, Springer, volume 19, issue 2, pages 223-245, July, DOI: 10.1007/s10818-017-9247-x.
• Hideharu Funahashi & Masaaki Kijima, 2017, "A unified approach for the pricing of options relating to averages," Review of Derivatives Research, Springer, volume 20, issue 3, pages 203-229, October, DOI: 10.1007/s11147-017-9128-4.
• Dorra Najar, 2017, "Private equity managers’ fees: estimation and sensitivity analysis using Monte Carlo simulation," Review of Quantitative Finance and Accounting, Springer, volume 48, issue 1, pages 239-263, January, DOI: 10.1007/s11156-015-0549-6.
• Meng-Jou Lu & Cathy Yi-Hsuan Chen & Wolfgang Karl Härdle, 2017, "Copula-based factor model for credit risk analysis," Review of Quantitative Finance and Accounting, Springer, volume 49, issue 4, pages 949-971, November, DOI: 10.1007/s11156-016-0613-x.
• Diana-Maria Chis & Cristina Ciumas & Emilia-Anuta Corovei, 2017, "Equilibrium Prices Of Guarantees Under Unit-Linked Life Insurance Contracts," Knowledge Horizons - Economics, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, volume 9, issue 2, pages 47-53, June.
• Ouael EL JEBARI & Abdelati HAKMAOUI, 2017, "Modeling persistence of volatility in the Moroccan exchange market using a fractionally integrated EGARCH," Turkish Economic Review, KSP 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, KSP Journals, volume 4, issue 2, pages 206-226, June.
• Katarina Juselius, 2017, "Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge," Discussion Papers, University of Copenhagen. Department of Economics, number 17-07, Apr.
• Katarina Juselius, 2017, "A CVAR scenario for a standard monetary model using theory-consistent expectations," Discussion Papers, University of Copenhagen. Department of Economics, number 17-08, Apr.
• José Hernández & Fernando Carvajal-Serna, 2017, "Risk coverage in the face of hydrological variability in a run-off hydraulic power plant using weather derivatives," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 87, pages 191-222, Julio - D, DOI: 10.17533/udea.le.n87a07.
• Sébastien GALANTI & Anne-Gaël VAUBOURG, 2017, "Optimism bias in financial analysts' earnings forecasts: Do commissions sharing agreements reduce conflicts of interest?," LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans, number 2493.
• Mohseni, Hossein & Botshekan, mohammad Hashem, 2017, "Volatility Spillover and Dynamic conditional correlation of exchange rate on banks stock index," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 10, issue 31, pages 1-28, April.
• mirzadeh, fatemeh, 2017, "Check the Efficiency of Futures Gold Coin: The Role of Maturity and Open Commitment Position," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 10, issue 32, pages 227-246, July.
• Samit Paul & Madhusudan Karmakar, 2017, "Relative Efficiency of Component GARCH-EVT Approach in Managing Intraday Market Risk," Multinational Finance Journal, Multinational Finance Journal, volume 21, issue 4, pages 247-283, December.
• Marcell Béli & Kata Váradi, 2017, "A possible methodology for determining the initial margin," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), volume 16, issue 2, pages 119-147.
• Antoine Kornprobst, 2017, "Winning Investment Strategies Based on Financial Crisis Indicators," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 17039, Sep.
• Tingting Cheng & Jiti Gao & Oliver Linton, 2017, "Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 13/17.
• Jiti Gao & Kai Xia, 2017, "Heterogeneous panel data models with cross-sectional dependence," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 16/17.
• Biqing Cai & Jiti Gao, 2017, "A simple nonlinear predictive model for stock returns," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 18/17.
• Nithi Sopitpongstorn & Param Silvapulle & Jiti Gao, 2017, "Local logit regression for recovery rate," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 19/17.
• Oscar De la Torre Torres & Mª Isabel Martínez Torre Enciso, 2017, "Is socially responsible investment useful in Mexico? A multi-factor and ex-ante review," Contaduría y Administración, Accounting and Management, volume 62, issue 1, pages 222-238, Enero-Mar.
• Juan Benjamin Duarte Duarte & Leonardo Hernán Talero Sarmiento & Katherine Julieth Sierra Suárez, 2017, "Evaluación del efecto de la psicología del inversionista en un mercado bursátil artificial mediante su grado de eficiencia," Contaduría y Administración, Accounting and Management, volume 62, issue 4, pages 1345-1360, Octubre-D.
• Juan Benjamin Duarte Duarte & Leonardo Hernán Talero Sarmiento & Katherine Julieth Sierra Suárez, 2017, "Evaluation of the effect of investor psychology on an artificial stock market through its degree of efficiency," Contaduría y Administración, Accounting and Management, volume 62, issue 4, pages 1361-1376, Octubre-D.
• Marcin Flotyński, 2017, "Basel III long-term liquidity standard in the context of the profitability of banks and volatility of their stock prices – quantitative analysis for the euro area," NBP Working Papers, Narodowy Bank Polski, number 274.
• Gustavo S. Cortes & Marc D. Weidenmier, 2017, "Stock Volatility and the Great Depression," NBER Working Papers, National Bureau of Economic Research, Inc, number 23554, Jun.
• William N. Goetzmann & Dasol Kim, 2017, "Negative Bubbles: What Happens After a Crash," NBER Working Papers, National Bureau of Economic Research, Inc, number 23830, Sep.
• Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2017, "Predicting Relative Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 23886, Sep.
• Igor ENICOV, 2017, "Applying Petri Nets Extensions To Modeling Commercial Bank Activity," ECONOMY AND SOCIOLOGY: Theoretical and Scientifical Journal, Socionet;Complexul Editorial "INCE", issue 1-2, pages 90-94.
• Júlio Lobão, 2017, "O efeito de smart money nos fundos de investimento: o caso português [The smart money effect in mutual funds: the Portuguese case]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 27, issue 1, pages 241-270, January-A.
• Abdinardo Moreira Barreto de Oliveira & Joséte Florencio dos Santos, 2017, "Previsões de razões ótimas de hedge para a manga exportada brasileira [Forecasting of optimal hedge ratios for the Brazilian exported mango]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 27, issue 3, pages 671-703, September.
• Bekiros, Stelios & Loukeris, Nikolaos & Eleftheriadis, Iordanis, 2017, "Portfolio Optimization With Investor Utility Preference of Higher-Order Moments: A Behavioral Approach," Review of Behavioral Economics, now publishers, volume 4, issue 2, pages 83-106, September, DOI: 10.1561/105.00000060.
• Hom Nath Gaire, 2017, "Stock Index, Interest Rate and Gold Price of Nepal: Cointegration and Causality Analysis," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, volume 29, issue 2, pages 15-30, October.
• Emil Asenov, 2017, "Model for Insurance Fraud Risk Assessment and Prevention," Godishnik na UNSS, University of National and World Economy, Sofia, Bulgaria, issue 1, pages 47-59, December.
• Mark Paddrik & H. Peyton Young, 2017, "How Safe are Central Counterparties in Derivatives Markets?," Working Papers, Office of Financial Research, US Department of the Treasury, number 17-06, Nov.
• Igor Enicov & Emilian Gutuleac, 2017, "Modeling Activities Of Commercial Bank Through Petri Nets," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 325-334, July.
• Xiao, Tim, 2017, "A New Model for Pricing Collateralized Financial Derivatives," SocArXiv, Center for Open Science, number fvdzh, Jul, DOI: 10.31219/osf.io/fvdzh.
• Xun Gong & Chunmei Lin & Remco C. J. Zwinkels, 2017, "Forecasting Crashes: Correlated Fund Flows and Skewness in Stock Returns," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 1, pages 36-61.
• João F. Caldeira & Guilherme V. Moura & Francisco J. Nogales & André A. P. Santos, 2017, "Combining Multivariate Volatility Forecasts: An Economic-Based Approach," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 2, pages 247-285.
• Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017, "Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 3, pages 333-376.
• Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2017, "Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 3, pages 377-387.
• Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017, "Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 3, pages 418-426.
• Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017, "Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 3, pages 504-504.
• Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2017, "Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 3, pages 505-505.
• Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk, 2017, "Forecasting Value-at-Risk under Temporal and Portfolio Aggregation," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 4, pages 649-677.
• Egon A. Kalotay & Edward I. Altman, 2017, "Intertemporal Forecasts of Defaulted Bond Recoveries and Portfolio Losses," Review of Finance, European Finance Association, volume 21, issue 1, pages 433-463.
• Michael S. O’Doherty & N. E. Savin & Ashish Tiwari, 2017, "Hedge Fund Replication: A Model Combination Approach," Review of Finance, European Finance Association, volume 21, issue 4, pages 1767-1804.
• H Peyton Young & Mark Paddrik & Sriram Rajan, 2017, "Contagion in the CDS Market," Economics Series Working Papers, University of Oxford, Department of Economics, number 821, Jan.
• H Peyton Young & Mark Paddrik, 2017, "How Safe are Central Counterparties in Derivatives Markets?," Economics Series Working Papers, University of Oxford, Department of Economics, number 826, Jun.
• Tascón, María T. & Castaño, Francisco J., 2017, "Selection of Variables in Small Business Failure Analysis: Mean Selection vs. Median Selection || Selección de variables en el análisis de fracaso de empresas pequeñas: selección de medias frente a selección de medianas," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 24, issue 1, pages 54-88, Diciembre.
• Austin Shelton, 2017, "The value of stop-loss, stop-gain strategies in dynamic asset allocation," Journal of Asset Management, Palgrave Macmillan, volume 18, issue 2, pages 124-143, March, DOI: 10.1057/s41260-016-0010-y.
• Rania Jammazi & Duc Khuong Nguyen, 2017, "Estimating and forecasting portfolio’s Value-at-Risk with wavelet-based extreme value theory: Evidence from crude oil prices and US exchange rates," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, volume 68, issue 11, pages 1352-1362, November, DOI: 10.1057/s41274-016-0133-z.
• Casper Agaton, 2017, "Coal, Renewable, or Nuclear? A Real Options Approach to Energy Investments in the Philippines," International Journal of Sustainable Energy and Environmental Research, Conscientia Beam, volume 6, issue 2, pages 50-62.
• Gonçalo Faria & Fabio Verona, 2017, "Forecasting stock market returns by summing the frequency-decomposed parts," CEF.UP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 1702, Nov.
• Ganna Gridina, 2017, "Фінансовий Лізинг: Проблеми Та Перспективи Розвитку В Україні
  [Financial Leasing: Problems and Prospects of Development in Ukraine]," Traektoriâ Nauki = Path of Science, Altezoro, s.r.o. & Dialog, volume 3, issue 9(26), pages 3019-3025, September, DOI: 10.22178/pos.26-2.
• S, Suresh Kumar & V, Joseph James & S R, Shehnaz, 2017, "The Dual Index Model That Astutely Augurs Stock Prices Using Sectoral Indices – An Empirical Evaluation of Securities That Are Not Constituents of India's Premier Stock Exchange Index Namely BSE-Sensex," MPRA Paper, University Library of Munich, Germany, number 109030, Jul, revised 16 Sep 2017.
• S, Suresh Kumar & V, Joseph James & S R, Shehnaz, 2017, "The dual index model - Empirical proof of an astute model that augurs stock prices across assorted sectors," MPRA Paper, University Library of Munich, Germany, number 109031, Jan, revised Feb 2017.
• CHIKHI, Mohamed, 2017, "Chocs exogènes et non linéarités dans les séries boursières: Application à la modélisation non paramétrique du cours de l'action Orange
  [Exogenous Shocks and nonlinearity in the stock exchange series: Application to the nonparametric modelling of ," MPRA Paper, University Library of Munich, Germany, number 76691, revised 2017.
• Alexandre, Michel & Antônio Silva Brito, Giovani & Cotrim Martins, Theo, 2017, "Default contagion among credit modalities: evidence from Brazilian data," MPRA Paper, University Library of Munich, Germany, number 76859, Feb.
• Chong, Terence Tai-Leung & Cao, Bingqing & Wong, Wing Keung, 2017, "A Principal Component Approach to Measuring Investor Sentiment in Hong Kong," MPRA Paper, University Library of Munich, Germany, number 77147, Feb.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2017, "Investment in capital markets," MPRA Paper, University Library of Munich, Germany, number 77414, Mar.
• Egorova, Yana, 2017, "Инвестирование Денежных Средств В Условиях Экономического Кризиса В 2017 Году," MPRA Paper, University Library of Munich, Germany, number 77648, Mar.
• Jamalludin, Nadia, 2017, "Risk and Performance of SapuraKencana Petroleum Berhad," MPRA Paper, University Library of Munich, Germany, number 78422, Apr.
• Jamalludin, Nadia, 2017, "Risk and Performance of SapuraKencana Petroleum Berhad," MPRA Paper, University Library of Munich, Germany, number 78423, Apr.
• Sofi, Farah Nuramalina, 2017, "The Relationship of RHB Bank Berhad’s Profitability with Leverage and Size (Total Asset)," MPRA Paper, University Library of Munich, Germany, number 78499, Mar.
• Senarathne, Chamil W & Jayasinghe, Prabhath, 2017, "Information Flow Interpretation of Heteroskedasticity for Capital Asset Pricing: An Expectation-based View of Risk," MPRA Paper, University Library of Munich, Germany, number 78771, Mar, revised 04 Apr 2017.
• FERROUHI, El Mehdi, 2017, "Determinants of bank deposits in Morocco," MPRA Paper, University Library of Munich, Germany, number 79075, Apr.
• Quaas, Georg, 2017, "Irrungen und Wirrungen im Umfeld der Geldtheorie: Wohin einseitige Darstellungen der Zentralbanken führen
  [Aberrations and confusions of the theory of money: Where ambiguous formulations lead to]," MPRA Paper, University Library of Munich, Germany, number 79735, Jun.
• Bukvić, Rajko & Pavlović, Radica & Gajić, Aleksandar, 2017, "Static and Dynamic Indicators in the Analysis of Internal Sources of Companies’ Investments Financing," MPRA Paper, University Library of Munich, Germany, number 79810, revised 2017.
• Parker, Edgar, 2017, "The Entropic Linkage between Equity and Bond Market Dynamics," MPRA Paper, University Library of Munich, Germany, number 80036, Jun.
• Lindblad, Annika, 2017, "Sentiment indicators and macroeconomic data as drivers for low-frequency stock market volatility," MPRA Paper, University Library of Munich, Germany, number 80266, Jul.
• Bell, Peter, 2017, "Example of a Rising NPV Profile for a Mining Project," MPRA Paper, University Library of Munich, Germany, number 81353, Sep.
• Pönkä, Harri, 2017, "Sentiment and sign predictability of stock returns," MPRA Paper, University Library of Munich, Germany, number 81861, Oct.
• Jin, Xin & Maheu, John M & Yang, Qiao, 2017, "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," MPRA Paper, University Library of Munich, Germany, number 81920, Oct.
• Agaton, Casper, 2017, "Real Options Analysis of Renewable Energy Investment Scenarios in the Philippines," MPRA Paper, University Library of Munich, Germany, number 83478, Dec.
• Agaton, Casper, 2017, "Coal, Renewable, or Nuclear? A Real Options Approach to Energy Investments in the Philippines," MPRA Paper, University Library of Munich, Germany, number 83798, Dec.
• Nguyen, Duc Khuong & Walther, Thomas, 2017, "Modeling and forecasting commodity market volatility with long-term economic and financial variables," MPRA Paper, University Library of Munich, Germany, number 84464, May, revised Jan 2018.
• Xiao, Tim, 2017, "A New Model for Pricing Collateralized Financial Derivatives," MPRA Paper, University Library of Munich, Germany, number 87088, Jul.
• Olkhov, Victor, 2017, "Quantitative Description of Financial Transactions and Risks," MPRA Paper, University Library of Munich, Germany, number 87316.
• Ekong, Christopher N. & Onye, Kenneth U., 2017, "Application of Garch Models to Estimate and Predict Financial Volatility of Daily Stock Returns in Nigeria," MPRA Paper, University Library of Munich, Germany, number 88309.
• Ayanda Sikhosana & Goodness C. Aye, 2017, "Asymmetric Volatility Effects between the Real Exchange Rate and Stock Prices in South Africa," Working Papers, University of Pretoria, Department of Economics, number 201721, Mar.
• Petr Makovsky, 2017, "The Value of the Firm in Dependence on Technological Shocks – the Czech Republic Case," ACTA VSFS, University of Finance and Administration, volume 11, issue 1, pages 45-60.
• Petr Houdek & Petr Koblovský & Jan Plaček & Luboš Smrčka, 2017, "Causality Illusion and Overconfidence in Predicting (Quasi)Stochastic Financial Events
  [Iluze kauzality a nadměrná důvěra ve schopnost predikce (kvazi)náhodných finančních událostí]," Acta Oeconomica Pragensia, Prague University of Economics and Business, volume 2017, issue 1, pages 51-63, DOI: 10.18267/j.aop.568.
• Ján Malega & Roman Horváth, 2017, "Financial Stress in the Czech Republic: Measurement and Effects on the Real Economy," Prague Economic Papers, Prague University of Economics and Business, volume 2017, issue 3, pages 257-268, DOI: 10.18267/j.pep.608.
• Voraprapa Nakavachara & Nuarpear Lekfuangfu, 2017, "Predicting the Present Revisited: The Case of Thailand," PIER Discussion Papers, Puey Ungphakorn Institute for Economic Research, number 70, Oct.
• Leslie G. Manison & Savvakis C. Savvides, 2017, "Neglect Private Debt at the Economy’s Peril: Applying Balance Sheet Recession Analysis to the Post Bail-in Cyprus Economy," Development Discussion Papers, JDI Executive Programs, number 2017-06, Jun.
• Savvakis C. Savvides, 2017, "Private debt is the problem: Why the economic recovery of Cyprus remains an elusive and distant dream," Development Discussion Papers, JDI Executive Programs, number 2017-17.
• Savvakis C. Savvides, 2017, "Private debt is the problem: Why the economic recovery of Cyprus remains an elusive and distant dream," Development Discussion Papers, JDI Executive Programs, number 2017-17.
• Alain Kabundi & Asi Mbelu, 2017, "Estimating a timevarying financial conditions index for South Africa," Working Papers, South African Reserve Bank, number 8008, Sep.
• Christian Wagner & Ian Martin, 2017, "What Is the Expected Return on a Stock?," 2017 Meeting Papers, Society for Economic Dynamics, number 146.
• Francesco Bianchi, 2017, "Monetary Policy and Asset Valuation," 2017 Meeting Papers, Society for Economic Dynamics, number 500.
• Andreea Costea, 2017, "A Quantitative Approach to Credit Risk Management in the Underwriting Process for the Retail Portfolio," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 20, issue 63, pages 157-186, March.
• Dean Fantazzini & Erik Nigmatullin & Vera Sukhanovskaya & Sergey Ivliev, 2017, "Everything you always wanted to know about bitcoin modelling but were afraid to ask. Part 2," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 45, pages 5-28.
• Atanu Saha & Alex Rinaudo, 2017, "Downside Risk Protection of Retirement Assets: A New Approach," Journal of Financial Transformation, Capco Institute, volume 45, pages 111-120.
• Andrew Freeman & Iordanis Karagiannidis & D. Sykes Wilford, 2017, "The Power of “Negative Beta”: Why Every Portfolio Should Include Private Equity," Journal of Financial Transformation, Capco Institute, volume 45, pages 101-110.
• Emil Mihalina & Ivan Krivicic & Tihomir Antunovic, 2017, "Winter Saeculum," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, volume 8, issue 1, pages 39-52.
• Nicu MARCU & Carmen Elena DOBROTA & Raluca ANTONEAC (CALIN), 2017, "An Investigation of the Day-of-the-week Effect in Conditional Variance at the Bucharest Stock Exchange," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 124-134, June.
• Doojin RYU & Hyein SHIM, 2017, "Intraday Dynamics of Asset Returns, Trading Activities, and Implied Volatilities: A Trivariate GARCH Framework," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 45-61, June.
• Krzysztof DRACHAL, 2017, "Volatility Clustering, Leverage Effects and Risk-Return Tradeoff in the Selected Stock Markets in the CEE Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 37-53, September.
• Dan Gabriel ANGHEL, 2017, "Intraday Market Efficiency for a Typical Central and Eastern European Stock Market: The Case of Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 88-109, September.
• Nanthakumar LOGANATHAN & Suraya ISMAIL & Dalia STREIMIKIENE & Asan Ali Golam HASSAN & Edmundas Kazimieras ZAVADSKAS & Abbas MARDANI, 2017, "Tax Reform, Inflation, Financial Development And Economic Growth In Malaysia," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 152-165, December.
• Andrey Kudryavtsev & Shosh Shahrabani & Yaniv Azoulay, 2017, "Frequency of Adjusting Asset Allocations in the Life-Cycle Pension Model: When Doing More Is Not Necessarily Better," Bulletin of Applied Economics, Risk Market Journals, volume 4, issue 1, pages 13-33.
• Priviledge Cheteni, 2017, "Stock Market Volatility Using GARCH Models: Evidence from South Africa and China Stock Markets," Journal of Economics and Behavioral Studies, AMH International, volume 8, issue 6, pages 237-245, DOI: 10.22610/jebs.v8i6(J).1497.
• Constantin ANGHELACHE & Madalina-Gabriela ANGHEL & Gyorgy BODO, 2017, "Theoretical Aspects Of The Role Of Information In The Process Of Decisions/Risks Modeling," Romanian Statistical Review Supplement, Romanian Statistical Review, volume 65, issue 6, pages 102-111, June.
• Florin Paul Costel LILEA & Andreea – Ioana MARINESCU, 2017, "Macroeconomic Forecast Models – Concepts And Theoretical Notions," Romanian Statistical Review Supplement, Romanian Statistical Review, volume 65, issue 6, pages 118-123, June.
• Davide De Gaetano, 2017, "Forecasting With Garch Models Under Structural Breaks: An Approach Based On Combinations Across Estimation Windows," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0219, May.
• Davide De Gaetano, 2017, "A Bootstrap Bias Correction Of Long Run Fourth Order Moment Estimation In The Cusum Of Squares Test," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0220, Jul.
• Amandha Ganegoda & John Evans, 2017, "The Australian retirement lottery: A system failure," Australian Journal of Management, Australian School of Business, volume 42, issue 1, pages 3-31, February, DOI: 10.1177/0312896214554267.
• Argel S. Masa & John Francis T. Diaz, 2017, "Long-memory Modelling and Forecasting of the Returns and Volatility of Exchange-traded Notes (ETNs)," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, volume 11, issue 1, pages 23-53, February, DOI: 10.1177/0973801016676012.
• Thushari N. Vidanage & Fabrizio Carmignani & Tarlok Singh, 2017, "Predictability of Return Volatility Across Different Emerging Capital Markets: Evidence from Asia," South Asian Journal of Macroeconomics and Public Finance, , volume 6, issue 2, pages 157-177, December, DOI: 10.1177/2277978717727172.
• Santos, André Alves Portela & Ferreira, Alexandre R., 2017, "On the choice of covariance specifications for portfolio selection problems," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, volume 37, issue 1, May.
• Simone Kruse & Thomas Tischer & Timo Wittig, 2017, "A New Empirical Investigation Of The Platinum Spot Returns," Journal of Smart Economic Growth, , volume 2, issue 2, pages 141-148, September.
• GÜNE? TOPÇU & Ahmet Burak Emel & Tu?çe Özbey Gürkan, 2017, "Early Warning Modeling For Financial Failure: Borsa Istanbul Case," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 5808259, Oct.
• Macías Villalba, Gloria Inés, 2017, "Pérdidas inesperadas por riesgo operativo en una entidad financiera con Teoría de Cópulas / Unexpected Losses for Operational Risk in a Financial Institution with Copula Theory," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 7, issue 2, pages 237-268, julio-dic.
• Michał Chojnowski & Piotr Dybka, 2017, "Is Exchange Rate Moody? Forecasting Exchange Rate with Google Trends Data," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, volume 2, issue 1, pages 1-21, June, DOI: 10.33119/ERFIN.2017.2.1.1.
• Hubert Wisniewski, 2017, "Panelowa weryfikacja wplywu zmiennych makroekonomicznych na indeksy gieldowe," Problemy Zarzadzania, University of Warsaw, Faculty of Management, volume 15, issue 66, pages 162-177.
• Yu-Chin Hsu & Hsiou-Wei Lin & Kendro Vincent, 2017, "Analyzing the Performance of Multi-Factor Investment Strategies under Multiple Testing Framework," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 17-A001, Jan.
• Boryana Bogdanova & Bozhidar Nedev, 2017, "Changes in Temporal Patterns of the Momentum Effect in Times of Turmoil: Evidence from the Bulgarian Stock," Bulgarian Economic Papers, Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski - Bulgaria // Center for Economic Theories and Policies at Sofia University St Kliment Ohridski, number bep-2017-11, Dec, revised Dec 2017.
• David Haab & Thomas Nitschka, 2017, "Predicting returns on asset markets of a small, open economy and the influence of global risks," Working Papers, Swiss National Bank, number 2017-14.
• Dimitrios Lyridis & Nikolaos Manos & Panayotis Zacharioudakis & Athanassios Pappas & Aristidis Mavris, 2017, "Measuring Tanker Market Future Risk with the use of FORESIM," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, volume 67, issue 1, pages 38-53, January-M.
• Umit Bulut, 2017, "Financial Conditions Index as a Leading Indicator of Business Cycles in Turkey," Contributions to Economics, Springer, in: Ümit Hacioğlu & Hasan Dinçer, "Global Financial Crisis and Its Ramifications on Capital Markets", DOI: 10.1007/978-3-319-47021-4_17.
• Harri Pönkä, 2017, "Predicting the direction of US stock markets using industry returns," Empirical Economics, Springer, volume 52, issue 4, pages 1451-1480, June, DOI: 10.1007/s00181-016-1098-0.
• Hanxiong Zhang & Robert Hudson & Hugh Metcalf & Viktor Manahov, 2017, "Investigation of institutional changes in the UK housing market using structural break tests and time-varying parameter models," Empirical Economics, Springer, volume 53, issue 2, pages 617-640, September, DOI: 10.1007/s00181-016-1127-z.
• Fabian Lutzenberger & Benedikt Gleich & Herbert G. Mayer & Christian Stepanek & Andreas W. Rathgeber, 2017, "Metals: resources or financial assets? A multivariate cross-sectional analysis," Empirical Economics, Springer, volume 53, issue 3, pages 927-958, November, DOI: 10.1007/s00181-016-1162-9.
• Hakan Er & Adnan Hushmat, 2017, "The application of technical trading rules developed from spot market prices on futures market prices using CAPM," Eurasian Business Review, Springer;Eurasia Business and Economics Society, volume 7, issue 3, pages 313-353, December, DOI: 10.1007/s40821-016-0056-2.
• Alessio Emanuele Biondo & Alessandro Pluchino & Andrea Rapisarda, 2017, "Informative Contagion Dynamics in a Multilayer Network Model of Financial Markets," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), volume 3, issue 3, pages 343-366, November, DOI: 10.1007/s40797-017-0052-4.
• Amit K. Sinha & Philip A. Horvath & Robert C. Scott, 2017, "The real miss-specification in the forward rate premium puzzle," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 41, issue 3, pages 463-473, July, DOI: 10.1007/s12197-016-9363-9.
• Beatriz Vaz de Melo Mendes & Victor Bello Accioly, 2017, "Improving (E)GARCH forecasts with robust realized range measures: Evidence from international markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 41, issue 4, pages 631-658, October, DOI: 10.1007/s12197-017-9386-x.
• Alexandru Mandes & Peter Winker, 2017, "Complexity and model comparison in agent based modeling of financial markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 12, issue 3, pages 469-506, October, DOI: 10.1007/s11403-016-0173-0.
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• Dirk Becherer & Klebert Kentia, 2017, "Hedging under generalized good-deal bounds and model uncertainty," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 86, issue 1, pages 171-214, August, DOI: 10.1007/s00186-017-0588-y.
• Simone Farinelli & Luisa Tibiletti, 2017, "Portfolio Management and Stochastic Optimization in Discrete Time: An Application to Intraday Electricity Trading and Water Values for Hydroassets," Operations Research Proceedings, Springer, in: Karl Franz Dörner & Ivana Ljubic & Georg Pflug & Gernot Tragler, "Operations Research Proceedings 2015", DOI: 10.1007/978-3-319-42902-1_85.
• Wali Ullah, 2017, "Term structure forecasting in affine framework with time-varying volatility," Statistical Methods & Applications, Springer;Società Italiana di Statistica, volume 26, issue 3, pages 453-483, August, DOI: 10.1007/s10260-017-0378-y.
• Bing Li, 2017, "Network Evolution of the Chinese Stock Market: A Study based on the CSI 300 Index," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 7, issue 3, pages 1-5.
• Vasilios Sogiakas, 2017, "Option trading for optimizing volatility forecasting," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, volume 6, issue 3, pages 1-3.
• Glenn Otto & Nigel Stapledon, 2017, "How Predictable? Rent Growth and Returns in Sydney and Melbourne Housing Markets," Discussion Papers, School of Economics, The University of New South Wales, number 2017-01, Jan.
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• J. Daniel AromÍ, 2017, "Conventional Views and Asset Prices: What to Expect After Times of Extreme Opinions?," Journal of Applied Economics, Taylor & Francis Journals, volume 20, issue 1, pages 49-73, May, DOI: 10.1016/S1514-0326(17)30003-X.
• Gila-Gourgoura, E. & Nikolaidou, E., 2017, "Credit Risk Determinants in the Vulnerable Economies of Europe: Evidence from the Spanish Banking System," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 10, issue 1, pages 60-71, March.
• Philip Stork & Luiz Felix & Roman Kraussl, 2017, "Implied Volatility Sentiment: A Tale of Two Tails," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-002/IV, Jan, revised 26 Jan 2018.
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• Beutner, Eric & Heinemann, Alexander & Smeekes, Stephan, 2017, "A Justification of Conditional Confidence Intervals," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 023, Oct, DOI: 10.26481/umagsb.2017023.
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• ŞENOL, Zekai & KARACA, Süleyman Serdar, 2017, "The Effect Of Enterprise Risk Management On Firm Performance: A Case Study On Turkey," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 21, issue 2, pages 6-30.