Research classified by Journal of Economic Literature (JEL) codes

2018

• Liu, Feng & Kalotay, Egon & Trück, Stefan, 2018, "Assessing sovereign default risk: A bottom-up approach," Economic Modelling, Elsevier, volume 70, issue C, pages 525-542, DOI: 10.1016/j.econmod.2017.09.013.
• Mo, Di & Gupta, Rakesh & Li, Bin & Singh, Tarlok, 2018, "The macroeconomic determinants of commodity futures volatility: Evidence from Chinese and Indian markets," Economic Modelling, Elsevier, volume 70, issue C, pages 543-560, DOI: 10.1016/j.econmod.2017.08.032.
• BenSaïda, Ahmed & Litimi, Houda & Abdallah, Oussama, 2018, "Volatility spillover shifts in global financial markets," Economic Modelling, Elsevier, volume 73, issue C, pages 343-353, DOI: 10.1016/j.econmod.2018.04.011.
• Dong, Manh Cuong & Tian, Shaonan & Chen, Cathy W.S., 2018, "Predicting failure risk using financial ratios: Quantile hazard model approach," The North American Journal of Economics and Finance, Elsevier, volume 44, issue C, pages 204-220, DOI: 10.1016/j.najef.2018.01.005.
• Ruenzi, Stefan & Weigert, Florian, 2018, "Momentum and crash sensitivity," Economics Letters, Elsevier, volume 165, issue C, pages 77-81, DOI: 10.1016/j.econlet.2018.01.031.
• Koutmos, Dimitrios, 2018, "Bitcoin returns and transaction activity," Economics Letters, Elsevier, volume 167, issue C, pages 81-85, DOI: 10.1016/j.econlet.2018.03.021.
• González-Fernández, Marcos & González-Velasco, Carmen, 2018, "Can Google econometrics predict unemployment? Evidence from Spain," Economics Letters, Elsevier, volume 170, issue C, pages 42-45, DOI: 10.1016/j.econlet.2018.05.031.
• Lin, Qi & Lin, Xi, 2018, "Expected investment and the cross-section of stock returns," Economics Letters, Elsevier, volume 172, issue C, pages 43-49, DOI: 10.1016/j.econlet.2018.08.012.
• Koutmos, Dimitrios, 2018, "Liquidity uncertainty and Bitcoin’s market microstructure," Economics Letters, Elsevier, volume 172, issue C, pages 97-101, DOI: 10.1016/j.econlet.2018.08.041.
• Koutmos, Dimitrios, 2018, "Return and volatility spillovers among cryptocurrencies," Economics Letters, Elsevier, volume 173, issue C, pages 122-127, DOI: 10.1016/j.econlet.2018.10.004.
• Badshah, Ihsan & Bekiros, Stelios & Lucey, Brian M. & Uddin, Gazi Salah, 2018, "Asymmetric linkages among the fear index and emerging market volatility indices," Emerging Markets Review, Elsevier, volume 37, issue C, pages 17-31, DOI: 10.1016/j.ememar.2018.03.002.
• Stivers, Adam, 2018, "Equity premium predictions with many predictors: A risk-based explanation of the size and value factors," Journal of Empirical Finance, Elsevier, volume 45, issue C, pages 126-140, DOI: 10.1016/j.jempfin.2017.10.004.
• Faria, Gonçalo & Verona, Fabio, 2018, "Forecasting stock market returns by summing the frequency-decomposed parts," Journal of Empirical Finance, Elsevier, volume 45, issue C, pages 228-242, DOI: 10.1016/j.jempfin.2017.11.009.
• Xu, Xiu & Mihoci, Andrija & Härdle, Wolfgang Karl, 2018, "lCARE - localizing conditional autoregressive expectiles," Journal of Empirical Finance, Elsevier, volume 48, issue C, pages 198-220, DOI: 10.1016/j.jempfin.2018.06.006.
• Chorro, Christophe & Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo, 2018, "Testing for leverage effects in the returns of US equities," Journal of Empirical Finance, Elsevier, volume 48, issue C, pages 290-306, DOI: 10.1016/j.jempfin.2018.07.008.
• Malliaropulos, Dimitris & Migiakis, Petros, 2018, "The re-pricing of sovereign risks following the Global Financial Crisis," Journal of Empirical Finance, Elsevier, volume 49, issue C, pages 39-56, DOI: 10.1016/j.jempfin.2018.09.003.
• Zhang, Yaojie & Ma, Feng & Shi, Benshan & Huang, Dengshi, 2018, "Forecasting the prices of crude oil: An iterated combination approach," Energy Economics, Elsevier, volume 70, issue C, pages 472-483, DOI: 10.1016/j.eneco.2018.01.027.
• Hofmann, Erik & Solakivi, Tomi & Töyli, Juuso & Zinn, Martin, 2018, "Oil price shocks and the financial performance patterns of logistics service providers," Energy Economics, Elsevier, volume 72, issue C, pages 290-306, DOI: 10.1016/j.eneco.2018.04.006.
• Drachal, Krzysztof, 2018, "Comparison between Bayesian and information-theoretic model averaging: Fossil fuels prices example," Energy Economics, Elsevier, volume 74, issue C, pages 208-251, DOI: 10.1016/j.eneco.2018.04.043.
• Gong, Xu & Lin, Boqiang, 2018, "The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market," Energy Economics, Elsevier, volume 74, issue C, pages 370-386, DOI: 10.1016/j.eneco.2018.06.005.
• Qu, Hui & Duan, Qingling & Niu, Mengyi, 2018, "Modeling the volatility of realized volatility to improve volatility forecasts in electricity markets," Energy Economics, Elsevier, volume 74, issue C, pages 767-776, DOI: 10.1016/j.eneco.2018.07.033.
• Prakash Ranjan, Ravi & Bhattachharyya, Malay, 2018, "Does investor attention to energy stocks exhibit power law?," Energy Economics, Elsevier, volume 75, issue C, pages 573-582, DOI: 10.1016/j.eneco.2018.09.005.
• Wang, Jianshen & Taylor, Nick, 2018, "A comparison of static and dynamic portfolio policies," International Review of Financial Analysis, Elsevier, volume 55, issue C, pages 111-127, DOI: 10.1016/j.irfa.2017.09.007.
• Bekiros, Stelios & Avdoulas, Christos & Hassapis, Christis, 2018, "Nonlinear equilibrium adjustment dynamics and predictability of the term structure of interest rates," International Review of Financial Analysis, Elsevier, volume 55, issue C, pages 140-155, DOI: 10.1016/j.irfa.2017.11.009.
• Jayasekera, Ranadeva, 2018, "Prediction of company failure: Past, present and promising directions for the future," International Review of Financial Analysis, Elsevier, volume 55, issue C, pages 196-208, DOI: 10.1016/j.irfa.2017.08.009.
• Labidi, Chiaz & Rahman, Md Lutfur & Hedström, Axel & Uddin, Gazi Salah & Bekiros, Stelios, 2018, "Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis," International Review of Financial Analysis, Elsevier, volume 59, issue C, pages 179-211, DOI: 10.1016/j.irfa.2018.08.005.
• Yi, Shuyue & Xu, Zishuang & Wang, Gang-Jin, 2018, "Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?," International Review of Financial Analysis, Elsevier, volume 60, issue C, pages 98-114, DOI: 10.1016/j.irfa.2018.08.012.
• Blazsek, Szabolcs & Carrizo, Daniela & Eskildsen, Ricardo & Gonzalez, Humberto, 2018, "Forecasting rate of return after extreme values when using AR-t-GARCH and QAR-Beta-t-EGARCH," Finance Research Letters, Elsevier, volume 24, issue C, pages 193-198, DOI: 10.1016/j.frl.2017.09.006.
• Zhipeng, Yan & Shenghong, Li, 2018, "Hedge ratio on Markov regime-switching diagonal Bekk–Garch model," Finance Research Letters, Elsevier, volume 24, issue C, pages 49-55, DOI: 10.1016/j.frl.2017.06.015.
• Debata, Byomakesh & Dash, Saumya Ranjan & Mahakud, Jitendra, 2018, "Investor sentiment and emerging stock market liquidity," Finance Research Letters, Elsevier, volume 26, issue C, pages 15-31, DOI: 10.1016/j.frl.2017.11.006.
• Xu, Hai-Chuan & Zhou, Wei-Xing, 2018, "A weekly sentiment index and the cross-section of stock returns," Finance Research Letters, Elsevier, volume 27, issue C, pages 135-139, DOI: 10.1016/j.frl.2018.02.009.
• Barunik, Jozef & Vacha, Lukas, 2018, "Do co-jumps impact correlations in currency markets?," Journal of Financial Markets, Elsevier, volume 37, issue C, pages 97-119, DOI: 10.1016/j.finmar.2017.11.004.
• Baltas, Nick & Karyampas, Dimitrios, 2018, "Forecasting the equity risk premium: The importance of regime-dependent evaluation," Journal of Financial Markets, Elsevier, volume 38, issue C, pages 83-102, DOI: 10.1016/j.finmar.2017.11.002.
• Hung, Weifeng & Yang, J. Jimmy, 2018, "The MAX effect: Lottery stocks with price limits and limits to arbitrage," Journal of Financial Markets, Elsevier, volume 41, issue C, pages 77-91, DOI: 10.1016/j.finmar.2018.07.003.
• Nguyen, Hung T. & Truong, Cameron, 2018, "When are extreme daily returns not lottery? At earnings announcements!," Journal of Financial Markets, Elsevier, volume 41, issue C, pages 92-116, DOI: 10.1016/j.finmar.2018.05.001.
• Henriques, Irene & Sadorsky, Perry, 2018, "Investor implications of divesting from fossil fuels," Global Finance Journal, Elsevier, volume 38, issue C, pages 30-44, DOI: 10.1016/j.gfj.2017.10.004.
• Bruszas, Sandy & Kaschützke, Barbara & Maurer, Raimond & Siegelin, Ivonne, 2018, "Unisex pricing of German participating life annuities—Boon or bane for customer and insurance company?," Insurance: Mathematics and Economics, Elsevier, volume 78, issue C, pages 230-245, DOI: 10.1016/j.insmatheco.2017.09.012.
• Doan, Bao & Papageorgiou, Nicolas & Reeves, Jonathan J. & Sherris, Michael, 2018, "Portfolio management with targeted constant market volatility," Insurance: Mathematics and Economics, Elsevier, volume 83, issue C, pages 134-147, DOI: 10.1016/j.insmatheco.2018.09.010.
• Chen, Jing & Dong, Yizhe & Hou, Wenxuan & McMillan, David G., 2018, "Does feedback trading drive returns of cross-listed shares?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 53, issue C, pages 179-199, DOI: 10.1016/j.intfin.2017.09.018.
• Shahzad, Syed Jawad Hussain & Arreola-Hernandez, Jose & Bekiros, Stelios & Shahbaz, Muhammad & Kayani, Ghulam Mujtaba, 2018, "A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 56, issue C, pages 104-127, DOI: 10.1016/j.intfin.2018.02.013.
• Narayan, Paresh Kumar & Liu, Ruipeng, 2018, "A new GARCH model with higher moments for stock return predictability," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 56, issue C, pages 93-103, DOI: 10.1016/j.intfin.2018.02.016.
• Nazemi, Abdolreza & Fabozzi, Frank J., 2018, "Macroeconomic variable selection for creditor recovery rates," Journal of Banking & Finance, Elsevier, volume 89, issue C, pages 14-25, DOI: 10.1016/j.jbankfin.2018.01.006.
• Chatterjee, Ujjal K., 2018, "Bank liquidity creation and recessions," Journal of Banking & Finance, Elsevier, volume 90, issue C, pages 64-75, DOI: 10.1016/j.jbankfin.2018.03.002.
• de Carvalho, Pablo Jose Campos & Gupta, Aparna, 2018, "A network approach to unravel asset price comovement using minimal dependence structure," Journal of Banking & Finance, Elsevier, volume 91, issue C, pages 119-132, DOI: 10.1016/j.jbankfin.2018.04.012.
• Miller, Patrick & Töws, Eugen, 2018, "Loss given default adjusted workout processes for leases," Journal of Banking & Finance, Elsevier, volume 91, issue C, pages 189-201, DOI: 10.1016/j.jbankfin.2017.01.020.
• Li, Bingxin, 2018, "Speculation, risk aversion, and risk premiums in the crude oil market," Journal of Banking & Finance, Elsevier, volume 95, issue C, pages 64-81, DOI: 10.1016/j.jbankfin.2018.06.002.
• Golez, Benjamin & Koudijs, Peter, 2018, "Four centuries of return predictability," Journal of Financial Economics, Elsevier, volume 127, issue 2, pages 248-263, DOI: 10.1016/j.jfineco.2017.12.007.
• Gao, Lei & Han, Yufeng & Zhengzi Li, Sophia & Zhou, Guofu, 2018, "Market intraday momentum," Journal of Financial Economics, Elsevier, volume 129, issue 2, pages 394-414, DOI: 10.1016/j.jfineco.2018.05.009.
• Chronopoulos, Dimitris K. & Papadimitriou, Fotios I. & Vlastakis, Nikolaos, 2018, "Information demand and stock return predictability," Journal of International Money and Finance, Elsevier, volume 80, issue C, pages 59-74, DOI: 10.1016/j.jimonfin.2017.10.001.
• Khan, Mostafa Saidur Rahim & Bremer, Marc & Kato, Hideaki Kiyoshi, 2018, "Are short-sales constraints binding when there is a centralized lendable securities market? Evidence from Japan," Journal of the Japanese and International Economies, Elsevier, volume 48, issue C, pages 85-96, DOI: 10.1016/j.jjie.2017.11.003.
• Eom, Cheoljun & Park, Jong Won, 2018, "A new method for better portfolio investment: A case of the Korean stock market," Pacific-Basin Finance Journal, Elsevier, volume 49, issue C, pages 213-231, DOI: 10.1016/j.pacfin.2018.05.002.
• Pan, Zheyao & Chan, Kam Fong, 2018, "A new government bond volatility index predictor for the U.S. equity premium," Pacific-Basin Finance Journal, Elsevier, volume 50, issue C, pages 200-215, DOI: 10.1016/j.pacfin.2016.12.007.
• Karabiyik, Hande & Narayan, Paresh Kumar & Phan, Dinh Hoang Bach & Westerlund, Joakim, 2018, "Islamic spot and index futures markets: Where is the price discovery?," Pacific-Basin Finance Journal, Elsevier, volume 52, issue C, pages 123-133, DOI: 10.1016/j.pacfin.2017.04.003.
• Su, Zhi & Fang, Tong & Yin, Libo, 2018, "Does NVIX matter for market volatility? Evidence from Asia-Pacific markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 492, issue C, pages 506-516, DOI: 10.1016/j.physa.2017.10.025.
• Ali, Sajid & Shahzad, Syed Jawad Hussain & Raza, Naveed & Al-Yahyaee, Khamis Hamed, 2018, "Stock market efficiency: A comparative analysis of Islamic and conventional stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 503, issue C, pages 139-153, DOI: 10.1016/j.physa.2018.02.169.
• D’Amico, Guglielmo & Scocchera, Stefania & Storchi, Loriano, 2018, "Financial risk distribution in European Union," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 505, issue C, pages 252-267, DOI: 10.1016/j.physa.2018.03.069.
• Song, Wonho & Park, Sung Y. & Ryu, Doojin, 2018, "Dynamic conditional relationships between developed and emerging markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 507, issue C, pages 534-543, DOI: 10.1016/j.physa.2018.05.007.
• Ayub, Usman & Qaddus, Uzma & Zakaria, Muhammad & Shafique, Attayah & Ahmed, Junaid, 2018, "Thou should not panic! Let calmness fight the Crocodile Bite," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 509, issue C, pages 302-315, DOI: 10.1016/j.physa.2018.06.040.
• Bachmeier, Lance J. & Nadimi, Soheil R., 2018, "Oil shocks and stock return volatility," The Quarterly Review of Economics and Finance, Elsevier, volume 68, issue C, pages 1-9, DOI: 10.1016/j.qref.2018.01.001.
• Ichkitidze, Yuri, 2018, "Temporary price trends in the stock market with rational agents," The Quarterly Review of Economics and Finance, Elsevier, volume 68, issue C, pages 103-117, DOI: 10.1016/j.qref.2017.11.014.
• Lawrenz, Jochen & Zorn, Josef, 2018, "Decomposing the predictive power of local and global financial valuation ratios," The Quarterly Review of Economics and Finance, Elsevier, volume 70, issue C, pages 137-149, DOI: 10.1016/j.qref.2018.04.012.
• Kashyap, Ravi, 2018, "Auction theory adaptations for real life applications," Research in Economics, Elsevier, volume 72, issue 4, pages 452-481, DOI: 10.1016/j.rie.2018.09.001.
• Wan, Xiaoyuan, 2018, "Is the idiosyncratic volatility anomaly driven by the MAX or MIN effect? Evidence from the Chinese stock market," International Review of Economics & Finance, Elsevier, volume 53, issue C, pages 1-15, DOI: 10.1016/j.iref.2017.10.015.
• Tao, Qizhi & Wei, Yu & Liu, Jiapeng & Zhang, Ting, 2018, "Modeling and forecasting multifractal volatility established upon the heterogeneous market hypothesis," International Review of Economics & Finance, Elsevier, volume 54, issue C, pages 143-153, DOI: 10.1016/j.iref.2017.08.003.
• Dbouk, Wassim & Jamali, Ibrahim, 2018, "Predicting daily oil prices: Linear and non-linear models," Research in International Business and Finance, Elsevier, volume 46, issue C, pages 149-165, DOI: 10.1016/j.ribaf.2018.01.003.
• Juan DU, 2018, "Empirical differences between the overnight and day trading hour returns," China Finance Review International, Emerald Group Publishing Limited, volume 8, issue 3, pages 315-331, May, DOI: 10.1108/CFRI-10-2017-0213.
• Philippe Bélanger & Marc-André Picard, 2018, "A multi-factor HJM and PCA approach to risk management of VIX futures," Journal of Risk Finance, Emerald Group Publishing Limited, volume 19, issue 5, pages 524-547, October, DOI: 10.1108/JRF-07-2017-0114.
• Stelios Bekiros & Nikolaos Loukeris & Iordanis Eleftheriadis & Gazi Uddin, 2018, "Revisiting the three factor model in light of circular behavioural simultaneities," Review of Behavioral Finance, Emerald Group Publishing Limited, volume 10, issue 3, pages 210-230, July, DOI: 10.1108/RBF-08-2017-0079.
• Jaskowski, M. & McAleer, M.J., 2018, "Spurious Cross-Sectional Dependence in Credit Spread Changes," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 208-34, Aug.
• 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 ÅžAHÄ°N, 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.

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 Staff Working Paper series, Bank of England, number 674, Sep.
• Will Dison & Konstantinos Theodoridis, 2017, "Do macro shocks matter for equities?," Bank of England Staff Working Paper series, 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.
• Groenborg, Niels & Lunde, Asger & Timmermann, Allan & Wermers, Russ, 2017, "Picking Funds with Confidence," CEPR Discussion Papers, Centre for Economic Policy Research, number 11896, Mar.
• Adrian, Tobias & Capponi, Agostino & Vogt, Erik & Zhang, Hongzhong, 2017, "Intraday Market Making with Overnight Inventory Costs," CEPR Discussion Papers, Centre for Economic Policy Research, number 12245, Aug.
• Bianchi, Francesco & Lettau, Martin & Ludvigson, Sydney, 2017, "Monetary Policy and Asset Valuation," CEPR Discussion Papers, Centre for Economic Policy Research, number 12275, Sep.
• Cukierman, Alex & Lustenberger, Thomas, 2017, "International evidence on professional interest rates forecasts: The impact of forecasting ability," CEPR Discussion Papers, Centre for Economic Policy Research, number 12489, Dec.
• Bouchaud, Jean-Philippe & Krueger, Philipp & Landier, Augustin & Thesmar, David, 2017, "Sticky Expectations and the Profi tability Anomaly," CEPR Discussion Papers, Centre for Economic Policy Research, 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, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, 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.