Research classified by Journal of Economic Literature (JEL) codes

2017

• Kabaivanov Stanimir & Markovska Veneta, 2017, "Modelling Environment Changes for Pricing Weather Derivatives," Scientific Annals of Economics and Business, Sciendo, volume 64, issue 4, pages 423-430, December, DOI: 10.1515/saeb-2017-0031.
• Chlebus Marcin, 2017, "EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk," Central European Economic Journal, Sciendo, volume 3, issue 50, pages 01-25, December, DOI: 10.1515/ceej-2017-0014.
• Gurgul Henryk & Machno Artur, 2017, "Trade Pattern on Warsaw Stock Exchange and Prediction of Number of Trades," Statistics in Transition New Series, Statistics Poland, volume 18, issue 1, pages 91-114, March, DOI: 10.21307/stattrans-2016-059.
• Erik Kole & Dick Dijk, 2017, "How to Identify and Forecast Bull and Bear Markets?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 32, issue 1, pages 120-139, January.
• Francine Gresnigt & Erik Kole & Philip Hans Franses, 2017, "Exploiting Spillovers to Forecast Crashes," Journal of Forecasting, John Wiley & Sons, Ltd., volume 36, issue 8, pages 936-955, December.
• Manabu Asai & Michael McAleer, 2017, "Forecasting the volatility of Nikkei 225 futures," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 37, issue 11, pages 1141-1152, November.
• Lorne N. Switzer & Cagdas Tahaoglu & Yun Zhao, 2017, "Volatility measures as predictors of extreme returns," Review of Financial Economics, John Wiley & Sons, volume 35, issue 1, pages 1-10, November, DOI: 10.1016/j.rfe.2017.04.001.
• Schmitt, Noemi & Westerhoff, Frank, 2017, "On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 119.
• Cheung, Yin-Wong & Hui, Cho-Hoi & Tsang, Andrew, 2017, "The Renminbi central parity: An empirical investigation," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 7/2017.
• Faria, Gonçalo & Verona, Fabio, 2017, "Forecasting the equity risk premium with frequency-decomposed predictors," Bank of Finland Research Discussion Papers, Bank of Finland, number 1/2017.
• Kunze, Frederik, 2017, "Predicting exchange rates in Asia: New insights on the accuracy of survey forecasts," University of Göttingen Working Papers in Economics, University of Goettingen, Department of Economics, number 326.
• Felix, Luiz & Kräussl, Roman & Stork, Philip, 2017, "Implied volatility sentiment: A tale of two tails," CFS Working Paper Series, Center for Financial Studies (CFS), number 565.
• Reimers, Benjamin, 2017, "Momentumeffekt: Eine empirische Analyse der DAXsector Indizes des deutschen Prime Standards," Wismar Discussion Papers, Hochschule Wismar, Wismar Business School, number 01/2017.
• Schlütter, Sebastian, 2017, "Scenario-based capital requirements for the interest rate risk of insurance companies," ICIR Working Paper Series, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR), number 28/17.
• Han, Liyan & Xu, Yang & Yin, Libo, 2017, "Does investor attention matter? The attention-return relation in gold futures market," Economics Discussion Papers, Kiel Institute for the World Economy, number 2017-37.
• Schasfoort, Joeri & Stockermans, Christopher, 2017, "Fundamentals unknown: Momentum, mean-reversion and price-to-earnings trading in an artificial stock market," Economics Discussion Papers, Kiel Institute for the World Economy, number 2017-63.
• Demary, Markus, 2017, "IW Financial Expert Survey: 2. Quartal 2017," IW-Reports, Institut der deutschen Wirtschaft (IW) / German Economic Institute, number 12/2017.
• Demary, Markus, 2017, "IW Financial Expert Survey: 3. Quartal 2017," IW-Reports, Institut der deutschen Wirtschaft (IW) / German Economic Institute, number 22/2017.
• Demary, Markus, 2017, "IW Financial Expert Survey: 4. Quartal 2017," IW-Reports, Institut der deutschen Wirtschaft (IW) / German Economic Institute, number 31/2017.
• Schmidt, Reinhard H., 2017, "Microfinance - once and today," SAFE White Paper Series, Leibniz Institute for Financial Research SAFE, number 48.
• Khalifa, Ahmed & Caporin, Massimiliano & Costola, Michele & Hammoudeh, Shawkat, 2017, "Systemic risk for financial institutions of major petroleum-based economies: The role of oil," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 172, revised 2017, DOI: 10.2139/ssrn.2985352.
• Qian, Ya & Härdle, Wolfgang Karl & Chen, Cathy Yi-Hsuan, 2017, "Industry Interdependency Dynamics in a Network Context," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2017-012.
• Adamyan, Larisa & Efimov, Kirill & Chen, Cathy Yi-hsuan & Härdle, Wolfgang Karl, 2017, "Adaptive weights clustering of research papers," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2017-013.

2016

• Pavel Kapinos & Oscar A. Mitnik, 2016, "A Top-down Approach to Stress-testing Banks," Journal of Financial Services Research, Springer;Western Finance Association, volume 49, issue 2, pages 229-264, June, DOI: 10.1007/s10693-015-0228-8.
• Alexis Flageollet & Hamza Bahaji, 2016, "Monetary Policy and Risk-Based Asset Allocation," Open Economies Review, Springer, volume 27, issue 5, pages 851-870, November, DOI: 10.1007/s11079-016-9404-1.
• Dimitris Andriosopoulos & Chrysovalantis Gaganis & Fotios Pasiouras, 2016, "Prediction of open market share repurchases and portfolio returns: evidence from France, Germany and the UK," Review of Quantitative Finance and Accounting, Springer, volume 46, issue 2, pages 387-416, February, DOI: 10.1007/s11156-014-0473-1.
• R. Jared DeLisle & Bong Soo Lee & Nathan Mauck, 2016, "The dynamic relation between options trading, short selling, and aggregate stock returns," Review of Quantitative Finance and Accounting, Springer, volume 47, issue 3, pages 645-671, October, DOI: 10.1007/s11156-015-0516-2.
• Havran, Dániel & Váradi, Kata, 2016, "A limitáras ajánlatok szerkezete és dinamikája a Budapesti Értéktőzsdén. Az OTP- és a Mol-részvények esete
  [The structure and dynamics of limit orders on the Budapest stock exchange: The cases of OTP and MOL shares]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 9, pages 966-992, DOI: 10.18414/KSZ.2016.9.966.
• Issam BOUSALAM, 2016, "Forecasting Daily Stock Volatility Using GARCH-CJ Type Models with Continuous and Jump Variation," Turkish Economic Review, KSP Journals, volume 3, issue 1, pages 160-169, March.
• Jaydip SEN & Tamal DATTA CHAUDHURI, 2016, "An Alternative Framework for Time Series Decomposition and Forecastingand its Relevance for Portfolio Choice – A Comparative Study of the Indian Consumer Durable and Small Cap Sectors," Journal of Economics Library, KSP Journals, volume 3, issue 2, pages 303-326, June.
• Pantelis Promponas & David Alan Peel, 2016, "Forecasting the nominal exchange rate movements in a changing world. The case of the U.S. and the U.K," Working Papers, Lancaster University Management School, Economics Department, number 144439514.
• Maria Luisa Saavedra García & Gabriela Espíndola Armenta, 2016, "El uso de la planeación financiera en las PYME de TI de México," Revista Ciencias Administrativas (CADM), IIA, Universidad Nacional de La Plata, Instituto de Investigaciones Administrativas, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, issue 8, pages 15-32, July-Dece, DOI: -.
• Mateo Velásquez Giraldo & Diego Restrepo Tobón, 2016, "Affine Term Structure Models: Forecasting the Yield Curve for Colombia," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 85, pages 53-90, Julio - D, DOI: 10.17533/udea.le.n85a02.
• Nusrat Jahan & John J. Cheh & Il-woon Kim, 2016, "A comparison of Graham and Piotroski investment models using accounting information and efficacy measurement," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 4, issue 1, pages 43-54, February.
• Davallou, Maryam & Sadrynia, Mostafa, 2016, "The Impact of Asymmetric Risk on Expected Return," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 11, issue 1, pages 1-13, January.
• Ender Demir & Ka Wai Terence Fung & Zhou Lu, 2016, "Capital Asset Pricing Model and Stochastic Volatility: A Case Study of India," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 52, issue 1, pages 52-65, January, DOI: 10.1080/1540496X.2015.1062302.
• Raymond Leh Bin Ling & Jeng Yuan Chia, 2016, "Portfolio Diversification Strategy in the Malaysian Stock Market," Capital Markets Review, Malaysian Finance Association, volume 24, issue 1, pages 38-67.
• Massimiliano Kaucic & Roberto Daris, 2016, "Prospect Theory Based Portfolio Optimization Problem with Imprecise Forecasts," Managing Global Transitions, University of Primorska, Faculty of Management Koper, volume 14, issue 4 (Winter, pages 359-384.
• Gergely Patrik Balla & Tamás Ilyés, 2016, "Liquidity Needs And Liquidity Costs Of An Instant Payment System," MNB Occasional Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2016/124.
• Francesco Giuseppe Caloia & Andrea Cipollini & Silvia Muzzioli, 2016, "A note on normalization schemes:The case of generalized forecast error variance decompositions," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0092, Aug.
• Zeineb Affes & Rania Hentati-Kaffel, 2016, "Forecast bankruptcy using a blend of clustering and MARS model - Case of US banks," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 16026, Mar.
• Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti, 2016, "Are critical slowing down indicators useful to detect financial crises?," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 16045, Jun.
• Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti, 2016, "Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 16046, May.
• Julián Pareja Vasseur & Carolina Cadavid Pérez, 2016, "Pharmaceutical patents valuation through real options: Certainty equivalents and utility function," Contaduría y Administración, Accounting and Management, volume 61, issue 4, pages 794-814, Octubre-D.
• Joel M. David & Ina Simonovska, 2016, "Correlated Beliefs, Returns, and Stock Market Volatility," NBER Chapters, National Bureau of Economic Research, Inc, "NBER International Seminar on Macroeconomics 2015".
• Philip Brookins & Jennifer Brown & Dmitry Ryvkin, 2016, "Peer Information and Risk-taking under Competitive and Non-competitive Pay Schemes," NBER Working Papers, National Bureau of Economic Research, Inc, number 22486, Aug.
• Gonzalo Cortazar & Cristobal Millard & Hector Ortega & Eduardo S. Schwartz, 2016, "Commodity Price Forecasts, Futures Prices and Pricing Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 22991, Dec.
• Igor Živko & Mile BoÅ¡njak, 2016, "A novel approach to modeling price volatility of sovereign debt instruments – the example of the Croatian government’s debt-based instruments," Notitia - journal for economic, business and social issues, Notitia Ltd., volume 1, issue 2, pages 13-20, December.
• Ivan LUCHIAN & George BALAN, 2016, "Financial Mechanisms Of Financial Crises," ECONOMY AND SOCIOLOGY: Theoretical and Scientifical Journal, Socionet;Complexul Editorial "INCE", issue 3, pages 82-87.
• Daniel, Kent & Titman, Sheridan, 2016, "Another Look at Market Responses to Tangible and Intangible Information," Critical Finance Review, now publishers, volume 5, issue 1, pages 165-175, May, DOI: 10.1561/104.00000031.
• Mark Paddrik & Sriram Rajan & H. Peyton Young, 2016, "Contagion in the CDS Market," Working Papers, Office of Financial Research, US Department of the Treasury, number 16-12, Dec.
• Anqi Liu & Mark Paddrik & Steve Yang & Xingjia Zhang, 2016, "Interbank Contagion: An Agent-based Model Approach to Endogenously Formed Networks," Working Papers, Office of Financial Research, US Department of the Treasury, number 16-14, Dec.
• Filip Žikeš & Jozef Baruník, 2016, "Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility," Journal of Financial Econometrics, Oxford University Press, volume 14, issue 1, pages 185-226.
• Angelica CucÅŸa (Stratulat), 2016, "Risk Modeling Approaches in Terms of Volatility Banking Transactions," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 455-460, February.
• Aurora Murgea & Milena-Jana Schank, 2016, "Why do Goals Matter? Sport Events and Capital Market Returns," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 577-582, February.
• Janine Aron & John Muellbauer, 2016, "Modelling and Forecasting Mortgage Delinquency and Foreclosure in the UK," Economics Series Working Papers, University of Oxford, Department of Economics, number 793, Apr.
• Lai, Ping-fu (Brian) & Cho, Kwai-yee (Kevin), 2016, "Relationships Between Stock Returns and Corporate Financial Ratios Based on a Statistical Analysis of Corporate Data from the Hong Kong Stock Market," Public Finance Quarterly, Corvinus University of Budapest, volume 61, issue 1, pages 110-123.
• BOUSALAM, Issam & HAMZAOUI, Moustapha & ZOUHAYR, Otman, 2016, "Forecasting Daily Stock Volatility Using GARCH-CJ Type Models with Continuous and Jump Variation," MPRA Paper, University Library of Munich, Germany, number 69636, Jan.
• Thomadakis, Apostolos, 2016, "Do Combination Forecasts Outperform the Historical Average? Economic and Statistical Evidence," MPRA Paper, University Library of Munich, Germany, number 71589, May.
• Fantazzini, Dean & Nigmatullin, Erik & Sukhanovskaya, Vera & Ivliev, Sergey, 2016, "Everything you always wanted to know about bitcoin modelling but were afraid to ask," MPRA Paper, University Library of Munich, Germany, number 71946, revised 2016.
• Fantazzini, Dean, 2016, "The Oil Price Crash in 2014/15: Was There a (Negative) Financial Bubble?," MPRA Paper, University Library of Munich, Germany, number 72094, Jun.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2016, "Forecast in Capital Markets," MPRA Paper, University Library of Munich, Germany, number 72286, Jun.
• Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting, 2016, "The credit-card-services augmented Divisia monetary aggregates," MPRA Paper, University Library of Munich, Germany, number 73245, Aug.
• Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting, 2016, "Nowcasting nominal gdp with the credit-card augmented Divisia monetary aggregates," MPRA Paper, University Library of Munich, Germany, number 73246, Aug.
• Barnett, William & Su, Liting, 2016, "Risk adjustment of the credit-card augmented Divisia monetary aggregates," MPRA Paper, University Library of Munich, Germany, number 73248, Aug.
• R. Ferreira, Alexandre & A. P. Santos, Andre, 2016, "On the choice of covariance specifications for portfolio selection problems," MPRA Paper, University Library of Munich, Germany, number 73259, Aug.
• Maheu, John M & Shamsi, Azam, 2016, "Nonparametric Dynamic Conditional Beta," MPRA Paper, University Library of Munich, Germany, number 73764, Sep.
• Michaelides, Panayotis G. & Tsionas, Efthymios & Konstantakis, Konstantinos, 2016, "Financial Bubble Detection : A Non-Linear Method with Application to S&P 500," MPRA Paper, University Library of Munich, Germany, number 74477.
• Degiannakis, Stavros & Potamia, Artemis, 2016, "Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: inter-day versus intra-day data," MPRA Paper, University Library of Munich, Germany, number 74670, Jan.
• Byrne, Joseph & Fu, Rong, 2016, "Stock Return Prediction with Fully Flexible Models and Coefficients," MPRA Paper, University Library of Munich, Germany, number 75366, Nov.
• Cheteni, Priviledge, 2016, "Stock market volatility using GARCH models: Evidence from South Africa and China stock markets," MPRA Paper, University Library of Munich, Germany, number 77355, Dec.
• Ripamonti, Alexandre, 2016, "Corwin-Schultz bid-ask spread estimator in the Brazilian stock market," MPRA Paper, University Library of Munich, Germany, number 79459.
• Parker, Edgar, 2016, "Flash Crashes: The Role of Information Processing Based Subordination and the Cauchy Distribution in Market Instability," MPRA Paper, University Library of Munich, Germany, number 80039, Sep.
• Coskun, Yener & Seven, Unal, 2016, "Etkin Piyasalar Hipotezi ve BİST’in Zayıf Form Etkinlik Analizi (Book Chapter)
  [Efficient Market Hypothesis and Weak Form Efficiency Analysis of Borsa Istanbul (Book Chapter)]," MPRA Paper, University Library of Munich, Germany, number 80263, May.
• Širůček, Martin & Galečka, Ondřej, 2016, "Alternative Evaluation of S&P 500 index in Relation to Quantitative Easing," MPRA Paper, University Library of Munich, Germany, number 80526, Jun.
• elias elhannani, farah & boussalem, abou bakr & Benbouziane, Mohamed, 2016, "Financial development and the oil curse: Evidence from Algeria," MPRA Paper, University Library of Munich, Germany, number 81866, Jan, revised May 2016.
• Al Janabi, Mazin A.M. & Arreola Hernandez, Jose & Berger, Theo & Nguyen, Duc Khuong, 2016, "Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios," MPRA Paper, University Library of Munich, Germany, number 84626, Jun, revised Nov 2016.
• Olkhov, Victor, 2016, "On Hidden Problems of Option Pricing," MPRA Paper, University Library of Munich, Germany, number 87173, Aug.
• Zaman, Gheorghe & Georgescu, George, 2016, "Stabilitatea financiară a României. Determinanți și proiecții pentru următoarele două decenii
  [Financial stability in Romania. Determinants and projections for the two next decades]," MPRA Paper, University Library of Munich, Germany, number 96078, Nov.
• Jiří Šindelář, 2016, "Quantitative Forecast of Demand for Life Insurance in CR in 2015-2018: Macroeconomic Growth versus Industry Restructuring
  [Kvantitativní prognóza poptávky po životním pojištění v ČR v letech 2015-2018: makroekonomický růst versus odvětvová restruk," Český finanční a účetní časopis, Prague University of Economics and Business, volume 2016, issue 1, pages 5-23, DOI: 10.18267/j.cfuc.465.
• Petr Makovský, 2016, "The relationship between the real economy and financial sector regarding technological bubbles," Ekonomika a Management, Prague University of Economics and Business, volume 2016, issue 3.
• Jan Hanousek & Evžen Kočenda & Jan Novotný, 2016, "Shluková analýza skoků na kapitálových trzích
  [Cluster Analysis of Jumps on Capital Markets]," Politická ekonomie, Prague University of Economics and Business, volume 2016, issue 2, pages 127-144, DOI: 10.18267/j.polek.1059.
• Jan Hanousek & Anastasiya Shamshur & Jiří Trešl, 2016, "Vliv korupčního prostředí na efektivitu firem v nových zemích Evropské unie
  [Corruption and Firm Efficiency in New EU Countries]," Politická ekonomie, Prague University of Economics and Business, volume 2016, issue 8, pages 905-921, DOI: 10.18267/j.polek.1117.
• Leslie G. Manison & Savvakis C. Savvides, 2016, "Towards Sustainable Growth: Rebuilding the Foundations of the Cyprus Economy," Development Discussion Papers, JDI Executive Programs, number 2016-07, Jul.
• Savvakis C. Savvides, 2016, "Overcoming Private Debt: Unblocking and rebuilding the loan burdened real economy in Cyprus," Development Discussion Papers, JDI Executive Programs, number 2016-08, Aug.
• Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2016, "Volatility Dependent Dynamic Equicorrelation," NCER Working Paper Series, National Centre for Econometric Research, number 111, May.
• Alasdair Brown & Dooruj Rambaccussing & James Reade & Giambattista Rossi, 2016, "Using Social Media to Identify Market Inefficiencies: Evidence from Twitter and Betfair," Economics Discussion Papers, Department of Economics, University of Reading, number em-dp2016-01, Apr.
• Ina Simonovska & Joel David, 2016, "Correlated Beliefs, Returns, and Stock Market Volatility," 2016 Meeting Papers, Society for Economic Dynamics, number 130.
• Lasse Pedersen & David Lando & Christian Skov Jensen, 2016, "Generalized Recovery," 2016 Meeting Papers, Society for Economic Dynamics, number 935.
• Jiahan Li & Ilias Tsiakas, 2016, "Equity Premium Prediction: The Role of Economic and Statistical Constraints," Working Paper series, Rimini Centre for Economic Analysis, number 16-25, Sep.
• Dean Fantazzini & Erik Nigmatullin & Vera Sukhanovskaya & Sergey Ivliev, 2016, "Everything you always wanted to know about bitcoin modelling but were afraid to ask. I," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 44, pages 5-24.
• Riza Emekter & Benjamas Jirasakuldech, 2016, "A Study of Nonlinear Dynamics in Equity Market Index: Evidence from Turkey," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 7, issue 1, pages 1-19.
• İsmail Tuna & Süleyman Serdar Karaca, 2016, "Determining the Firm Specific Factors Affecting the Capital Increase," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 7, issue 1, pages 89-105.
• William Barnett & Marcelle Chauvet & Danilo Leiva-Leon & Liting Su, 2016, "Nowcasting Nominal GDP with the Credit-Card Augmented Divisia Monetary," Studies in Applied Economics, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise, number 59, Aug.
• William Barnett & Liting Su, 2016, "Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates," Studies in Applied Economics, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise, number 67, Oct.
• Mateo Velásquez & Juan Gutiérrez & Paula Almonacid, 2016, "Calibración de parámetros de los modelos de tasas de interés NS y NSS para Colombia: una nota técnica," Journal of Economics, Finance and Administrative Science, Universidad ESAN, volume 21, issue 41, pages 73-80.
• Hongfeng Peng & Xiaoyu Tan & Yi Chen, 2016, "Discretion of Dynamic Position Adjustment in Hedging Strategy," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 86-101, June.
• Achim BACKHAUS & Aliya ZHAKANOVA ISIKSAL, 2016, "The Impact of Momentum Factors on Multi Asset Portfolio," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 146-169, December.
• Davide De Gaetano, 2016, "Forecast Combinations For Realized Volatility In Presence Of Structural Breaks," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0208, Jun.
• Katherine Uylangco & Siqiwen Li, 2016, "An evaluation of the effectiveness of Value-at-Risk (VaR) models for Australian banks under Basel III," Australian Journal of Management, Australian School of Business, volume 41, issue 4, pages 699-718, November, DOI: 10.1177/0312896214557837.
• Rosales Contreras, Jorge, 2016, "Intervalos de confianza para VaR y ES, y su aplicación al mercado colombiano," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 6, issue 1, pages 55-82, enero-jun.
• Pareja Vasseur, Julián & Mejia Aguirre, Mauricio & Gallego Gómez, Marcos, 2016, "Evaluación mediante opciones reales de proyectos de inversión en el sector de distribución de combustibles. / Investment projects evaluation through real option on the fuel distribution sector," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 6, issue 2, pages 219-246, julio-dic.
• Toni Vide, 2016, "Does It Pay To Be Good? An Analysis Of Vice And Virtue Stock Performance In The Eurozone," Faculty of Management Working Paper Series, University of Warsaw, Faculty of Management, number 12016, Jan.
• Toni Vide, 2016, "Does it pay to be good? An analysis of vice and virtue stock performance in the Eurozone," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, volume 2, issue 6, pages 113-125, June, DOI: 10.7172/2353-6845.jbfe.2016.2.6.
• Rafa³ Cieslik, 2016, "Effect of Earnings Quality on the Returns-Earnings Relationship: Evidence from the Warsaw Stock Exchange (Wplyw jakosci zysku na zaleznosc pomiedzy zyskiem a stopa zwrotu z akcji na przykladzie GPW w Warszawie)," Research Reports, University of Warsaw, Faculty of Management, volume 2, issue 22, pages 60-77.
• Boyan Lomev & Nikolay Netov, 2016, "Bulgarian stock market and market risk forecasting under long memory in returns," Yearbook of the Faculty of Economics and Business Administration, Sofia University, Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski - Bulgaria, volume 13, issue 1, pages 185-200, September.
• Taha Bahadır SARAÇ & Ömer İSKENDEROĞLU & Saffet AKDAĞ, 2016, "Yerli ve Yabancı Yatırımcılara Ait Risk İştahlarının İncelenmesi: Türkiye Örneği," Sosyoekonomi Journal, Sosyoekonomi Society, issue 24(30).
• Bruno Cara Giovannetti & Elias Cavalcante Filho, Fernando Daniel Chague, Rodrigo de Losso da Silveira Bueno, 2016, "Risk premia estimation in Brazil: wait until 2041," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2016_38, Dec.
• Tetsuya Takaishi, 2016, "Dynamical cross-correlation of multiple time series Ising model," Evolutionary and Institutional Economics Review, Springer, volume 13, issue 2, pages 455-468, December, DOI: 10.1007/s40844-016-0051-4.
• Yoshifumi Tahira & Takayuki Mizuno, 2016, "Trading strategy of a stock index based on the frequency of news releases for listed companies," Evolutionary and Institutional Economics Review, Springer, volume 13, issue 2, pages 437-444, December, DOI: 10.1007/s40844-016-0054-1.
• Yudong Wang & Li Liu, 2016, "Crude oil and world stock markets: volatility spillovers, dynamic correlations, and hedging," Empirical Economics, Springer, volume 50, issue 4, pages 1481-1509, June, DOI: 10.1007/s00181-015-0983-2.
• Sagi Akron, 2016, "Business cycles and the expectations of short-term central bank rates in light of Construal Level Theory," Eurasian Business Review, Springer;Eurasia Business and Economics Society, volume 6, issue 2, pages 171-187, August, DOI: 10.1007/s40821-016-0043-7.
• Lukito Adi Nugroho, 2016, "Franchise ownership redirection: real options perspective," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 2, issue 1, pages 1-11, December, DOI: 10.1186/s40854-016-0030-0.
• Roy Hayes & Jingwei Wu & Ruijra Chaysiri & Jean Bae & Peter Beling & William Scherer, 2016, "Effects of time horizon and asset condition on the profitability of technical trading rules," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 40, issue 1, pages 41-59, January, DOI: 10.1007/s12197-014-9291-5.
• Jeremiah Green & John R. M. Hand & X. Frank Zhang, 2016, "Errors and questionable judgments in analysts’ DCF models," Review of Accounting Studies, Springer, volume 21, issue 2, pages 596-632, June, DOI: 10.1007/s11142-016-9352-4.
• Alexander Hölzl & Sebastian Lobe, 2016, "Predicting above-median and below-median growth rates," Review of Managerial Science, Springer, volume 10, issue 1, pages 105-133, January, DOI: 10.1007/s11846-014-0145-5.
• Michele Caivano & Andrew Harvey & Alessandra Luati, 2016, "Robust time series models with trend and seasonal components," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 7, issue 1, pages 99-120, March, DOI: 10.1007/s13209-015-0134-1.
• Lorenzo Ricci & Vincenzo Verardi & Catherine Vermandele, 2016, "A Highly Efficient Regression Estimator for Skewed and/or Heavy-tailed Distributed Errors," Working Papers, European Stability Mechanism, number 19, Nov.
• Nikolaos Antonakakis & Vassilios Babalos & Clement Kyei, 2016, "Predictability of sustainable investments and the role of uncertainty: evidence from a non-parametric causality-in-quantiles test," Applied Economics, Taylor & Francis Journals, volume 48, issue 48, pages 4655-4665, October, DOI: 10.1080/00036846.2016.1161724.
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• Rashid Sbia & Helmi Hamdi & Bedri Kamil Onur Tas & Sahel Al Rousan, 2016, "Gulf cooperation council stock returns and the effect of domestic monetary policy shocks," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/231232.
• EMAMVERDI, Ghodratollah & KARIMI, Mohammad Sharif & KHAKIE, Sima & KARIMI, Mojtaba, 2016, "Forecasting The Total Index Of Tehran Stock Exchange," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 20, issue 1, pages 54-68.
• Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2016, "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 63, issue 3, pages 273-291.
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• Michele Costola & Massimiliano Caporin, 2016, "Rational Learning For Risk-Averse Investors By Conditioning On Behavioral Choices," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 11, issue 01, pages 1-26, March, DOI: 10.1142/S2010495216500032.
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• Berdin, Elia, 2016, "Interest rate risk, longevity risk and the solvency of life insurers," ICIR Working Paper Series, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR), number 23/16.
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• Xu, Xiu & Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl, 2016, "Dynamic credit default swaps curves in a network topology," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-059.
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• Tom Engsted & Thomas Q. Pedersen, 2016, "The predictive power of dividend yields for future infl?ation: Money illusion or rational causes?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-11, Apr.
• Ivan LUCHIAN & George BALAN, 2016, "Financial Mechanisms Of Financial Crises," Economy and Sociology, The Journal Economy and Sociology, issue 3, pages 82-87.
• Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2016, "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2016-10, Sep.
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• Shah, Anand, 2016, "Pricing of Rainfall Insurance in India using Gaussian and t Copulas," 90th Annual Conference, April 4-6, 2016, Warwick University, Coventry, UK, Agricultural Economics Society, number 236288, Apr, DOI: 10.22004/ag.econ.236288.
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• Daniel José Aromí, 2016, "Conventional Views and Asset Prices: What to Expect After Times of Extreme Opinions?," Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET), Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET), number 2016-15, Dec.
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• Yulia Yelnikova, 2016, "Relationship Derivatives Financial Markets, Money And Stock Markets As A Subsystem Of Financial Market," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", volume 2, issue 1, DOI: 10.30525/2256-0742/2016-2-1-39-45.
• Nazar Moroz, 2016, "Regional Features Of The Global Market Of Syndicated Lending," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", volume 2, issue 2, DOI: 10.30525/2256-0742/2016-2-2-117-122.
• Valentyn Khokhlov, 2016, "Perold-Sharpe Rebalancing Strategies In Practice," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", volume 2, issue 3, DOI: 10.30525/2256-0742/2016-2-3-127-133.
• Tatiana Nazarova, 2016, "Financial Capacity Of Industrial Enterprise," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", volume 2, issue 3, DOI: 10.30525/2256-0742/2016-2-3-141-145.
• Haibin Xie & Qilin Qin & Shouyang Wang, 2016, "Is Halloween Effect a New Puzzle? Evidence from Price Gap," Review of Economics & Finance, Better Advances Press, Canada, volume 6, pages 19-31, November.
• Doncho Donev, 2016, "Applying the stock evaluation models on the Bulgarian stock market," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 109-124.
• Fuchun Li & Hongyu Xiao, 2016, "Early Warning of Financial Stress Events: A Credit-Regime-Switching Approach," Staff Working Papers, Bank of Canada, number 16-21, DOI: 10.34989/swp-2017-21.
• Wagner Piazza Gaglianone & Waldyr Dutra Areosa, 2016, "Financial Conditions Indicators for Brazil," Working Papers Series, Central Bank of Brazil, Research Department, number 435, May.
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• Karen Braun-Munzinger & Zijun Liu & Arthur Turrell, 2016, "An agent-based model of dynamics in corporate bond trading," Bank of England working papers, Bank of England, number 592, Apr.
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• Gonçalo Faria & Fabio Verona, 2016, "Forecasting stock market returns by summing the frequency-decomposed parts," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 05, Oct.
• Gonçalo Faria & Fabio Verona, 2016, "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 06, Dec.
• Ludovit Odor & Pavol Povala, 2016, "Risk Premiums in Slovak Government Bonds," Discussion Papers, Council for Budget Responsibility, number Discussion Paper No. 3/20, Jun.
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• Laurie Davies & Walter Kraemer, 2016, "Stylized Facts and Simulating Long Range Financial Data," CESifo Working Paper Series, CESifo, number 5796.
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• Vladimir Filimonov & Guilherme Demos & Didier Sornette, 2016, "Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-12, Feb.
• Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI, 2016, "Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-41, Jul.