Research classified by Journal of Economic Literature (JEL) codes

2016

• 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 2015-2," 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 ," 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.
• Stavros Degiannakis & Alexandra Livada, 2016, "Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors," Journal of Applied Statistics, Taylor & Francis Journals, volume 43, issue 5, pages 871-892, April, DOI: 10.1080/02664763.2015.1079306.
• Rutger-Jan Lange & Andre Lucas & Arjen H. Siegmann, 2016, "Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-064/IV, Aug.
• Nalan Basturk & Stefano Grassi & Lennart Hoogerheide & Herman K. van Dijk, 2016, "Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-099/III, Nov.
• David E. Allen & Michael McAleer & Abhay K. Singh, 2016, "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2017-03, Dec.
• 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.
• Marcin Chlebus, 2016, "One-Day Prediction of State of Turbulence for Portfolio. Models for Binary Dependent Variable," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2016-01.
• Marcin Chlebus, 2016, "EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2016-06.
• Tim Bollerslev & Andrew J. Patton & Wenjing Wang, 2016, "Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 6, pages 1005-1025, September.
• 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.
• Han, Xing & Li, Youwei, 2016, "Can Investor Sentiment Be a Momentum Time-Series Predictor? Evidence from China," RIEI Working Papers, Xi'an Jiaotong-Liverpool University, Research Institute for Economic Integration, number 2016-07, Jul, revised 12 Jan 2017.
• Faria, Gonçalo & Verona, Fabio, 2016, "Forecasting stock market returns by summing the frequency-decomposed parts," Bank of Finland Research Discussion Papers, Bank of Finland, number 29/2016.
• Boda, Daniel & Luptak, Martin & Pitlik, Laszlo & Szucs, Gabor & Takacs, Istvan, 2016, "Prediction of Insolvency of Hungarian Micro Enterprises," Proceedings of the ENTRENOVA - ENTerprise REsearch InNOVAtion Conference (2016), Rovinj, Croatia, IRENET - Society for Advancing Innovation and Research in Economy, Zagreb, "Proceedings of the ENTRENOVA - ENTerprise REsearch InNOVAtion Conference, Rovinj, Croatia, 8-9 September 2016".
• Böing, Tobias & Stadtmann, Georg, 2016, "Money growth and aggregate stock returns," Discussion Papers, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics, number 390.
• Kristoufek, Ladislav & Vošvrda, Miloslav S., 2016, "Herding, minority game, market clearing and efficient markets in a simple spin model framework," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 68.
• 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.
• Härdle, Wolfgang Karl & Fai, Phoon-kok & Lee, David Kuo Chuen, 2016, "Credit rating score analysis," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-046.
• Chao, Shih-Kang & Härdle, Wolfgang Karl & Yuan, Ming, 2016, "Factorisable multi-task quantile regression," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-057.
• 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.
• Bätje, Fabian & Menkhoff, Lukas, 2016, "Predicting the equity premium via its components," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145789.
• 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.
• Hyeongwoo Kim & Wen Shi, 2016, "Forecasting Financial Vulnerability in the US: A Factor Model Approach," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2016-15, Nov.
• Alexis Bienvenüe & Christian Y. Robert, 2016, "Systemic Tail Risk Distribution," Annals of Economics and Statistics, GENES, issue 123-124, pages 29-52, DOI: 10.15609/annaeconstat2009.123-124.0.
• Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2016, "Sparse Graphical Vector Autoregression: A Bayesian Approach," Annals of Economics and Statistics, GENES, issue 123-124, pages 333-361, DOI: 10.15609/annaeconstat2009.123-124.0.
• Tobias Adrian & Markus K. Brunnermeier, 2016, "CoVaR," American Economic Review, American Economic Association, volume 106, issue 7, pages 1705-1741, July.
• 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.
• Vlasta Kašparovská & Jana Laštůvková & Luboš Střelec, 2016, "Is the Exchange Rate a Factor of Bank Liquidity Changes? Study of the Czech Republic," Society and Economy, Akadémiai Kiadó, Hungary, volume 38, issue 3, pages 359-374, September.
• 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.
• Jozef Barunik & Lukas Vacha, 2016, "Do co-jumps impact correlations in currency markets?," Papers, arXiv.org, number 1602.05489, Feb, revised Oct 2017.
• Vladimir Filimonov & Guilherme Demos & Didier Sornette, 2016, "Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles," Papers, arXiv.org, number 1602.08258, Feb.
• Laurie Davies & Walter Kramer, 2016, "Stylized Facts and Simulating Long Range Financial Data," Papers, arXiv.org, number 1612.05229, Dec.
• Yurii Gudz & Tetyana Zadnipranna, 2016, "Research Methodology Fundamentals Of The Ukrainian Processing And Manufacturing Enterprises Economic Potential," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", volume 2, issue 1, DOI: 10.30525/2256-0742/2016-2-1-32-38.
• 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.
• Cañón Salazar Carlos Iván & Gallón Santiago & Olivar Santiago, 2016, "Functional Systemic Risk, Complementarities and Early Warnings," Working Papers, Banco de México, number 2016-12, Jul.
• Thomas Dimpfl & Stephan Jank, 2016, "Can Internet Search Queries Help to Predict Stock Market Volatility?," European Financial Management, European Financial Management Association, volume 22, issue 2, pages 171-192, March, DOI: 10.1111/eufm.12058.
• Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, 2016, "Statistical Modeling Of Stock Returns: Explanatory Or Descriptive? A Historical Survey With Some Methodological Reflections," Journal of Economic Surveys, Wiley Blackwell, volume 30, issue 1, pages 149-164, February.
• 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.
• David Murphy & Michalis Vasios & Nicholas Vause, 2016, "A comparative analysis of tools to limit the procyclicality of initial margin requirements," Bank of England working papers, Bank of England, number 597, Apr.
• Yuliya Baranova & Zijun Liu & Joseph Noss, 2016, "The role of collateral in supporting liquidity," Bank of England working papers, Bank of England, number 609, Aug.
• Rachel Lukasz & Jack Fisher, 2016, "Assessing vulnerabilities to financial shocks in some key global economies," Bank of England working papers, Bank of England, number 636, Dec.
• Dimitris Malliaropulos & Petros M. Migiakis, 2016, "The re-pricing of sovereign risks following the global financial crisis," Working Papers, Bank of Greece, number 210, Jul.
• Bekierman Jeremias & Gribisch Bastian, 2016, "Estimating stochastic volatility models using realized measures," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 20, issue 3, pages 279-300, June, DOI: 10.1515/snde-2014-0113.
• Härdle Wolfgang Karl & Silyakova Elena, 2016, "Implied basket correlation dynamics," Statistics & Risk Modeling, De Gruyter, volume 33, issue 1-2, pages 1-20, September, DOI: 10.1515/strm-2014-1176.
• 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.
• Roberto Marfè & Julien Penasse, 2016, "The Time-Varying Risk of Macroeconomic Disasters," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 463.
• Laurie Davies & Walter Kraemer, 2016, "Stylized Facts and Simulating Long Range Financial Data," CESifo Working Paper Series, CESifo, number 5796.
• Yin-Wong Cheung & Cho-Hoi Hui & Andrew Tsang, 2016, "The Renminbi Central Parity: An Empirical Investigation," CESifo Working Paper Series, CESifo, number 5963.
• Benjamin R. Auer & Benjamin Mögel, 2016, "How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?," CESifo Working Paper Series, CESifo, number 6288.
• Didier Sornette & Sandra Andraszewicz & Ryan O. Murphy & Philipp B. Rindler & Dorsa Sanadgol, 2016, "Resolving Persistent Uncertainty by Self-Organized Consensus to Mitigate Market Bubbles," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-08, Feb.
• 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.
• Giovanni Barone-Adesi & Chiara Legnazzi & Carlo Sala, 2016, "WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-53, Dec.
• Jean-Philippe Bouchaud & Philipp Krueger & Augustin Landier & David Thesmar, 2016, "Sticky Expectations and the Profitability Anomaly," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-60, Nov.
• Li Lin & Didier Sornette, 2016, "A Simple Mechanism for Financial Bubbles: Time-Varying Momentum Horizon," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-61, Oct.
• Giovanni Barone-Adesi & Chiara Legnazzi & Carlo Sala, 2016, "S&P 500 Index, an Option Implied Risk Analysis," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-62, Nov.
• Imen Dakhlaoui & Chaker Aloui, 2016, "The Interactive Relationship Between the US Economic Policy Uncertainty and BRIC Stock Markets," International Economics, CEPII research center, issue 146, pages 141-157.
• René Garcia & Caio Almeida & Kym Ardison & Jose Vicente, 2016, "Nonparametric Tail Risk, Stock Returns and the Macroeconomy," CIRANO Working Papers, CIRANO, number 2016s-20, Apr.
• Gustavo Peralta, 2016, "The Nature of Volatility Spillovers across the International Capital Markets," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 6.
• Andrés Eduardo Jiménez Gómez & Luis Fernando Melo Velandia, 2016, "Modelación de la asimetría y la curtosis condicionales en series financieras colombianas," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE, volume 76.
• Hernan Herrera-Echeverri, 2016, "Uso del indicador del retorno total del negocio como alternativa para optimizar la inversión en unidades de negocio en condiciones de incertidumbre," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 14973, May.
• Miller Ariza, 2016, "Pronóstico del volumen de negociación del mercado secundario de renta fija en Colombia: a través de la modelación no lineal star," Vniversitas Económica, Universidad Javeriana - Bogotá, volume 0, issue 0, pages 1-46.
• José Carlos Trejo García & Humberto R�os Bol�var & Francisco Almagro V�zquez, 2016, "Actualización del modelo de riesgo crediticio, una necesidad para la banca revolvente en México," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 8, issue 1, pages 17-30.
• Jason Nassios & James A. Giesecke & Peter B. Dixon & Maureen T. Rimmer, 2016, "A modelling framework for analysing the role of superannuation in Australia's financial system," Centre of Policy Studies/IMPACT Centre Working Papers, Victoria University, Centre of Policy Studies/IMPACT Centre, number g-266, Nov.
• Jason Nassios & James A. Giesecke & Peter B. Dixon & Maureen T. Rimmer, 2016, "Superannuation and Macroeconomic Growth and Stability," Centre of Policy Studies/IMPACT Centre Working Papers, Victoria University, Centre of Policy Studies/IMPACT Centre, number g-267, Nov.
• Dorota Krupa & Michal Buszko, 2016, "Characteristics and prospects of development of securitisation investment funds market in Poland," Ekonomia i Prawo, Uniwersytet Mikolaja Kopernika, volume 15, issue 3, pages 357-370, September, DOI: 10.12775/EiP.2016.024.
• Muellbauer, John & Aron, Janine, 2016, "Modelling and Forecasting Mortgage Delinquency and Foreclosure in the UK," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11236, Apr.
• Adrian, Tobias & Crump, Richard K. & Vogt, Erik, 2016, "Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11401, Jul.
• Martin, Ian & Wagner, Christian, 2016, "What is the Expected Return on a Stock?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11608, Nov.
• Till Weigt & Bernd Wilfling, 2016, "A new combination approach to reducing forecast errors with an application to volatility forecasting," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 4616, Apr.
• Alessandro Spelta, 2016, "A unfi ed view of systemic risk: detecting SIFIs and forecasting the fi nancial cycle via EWSs," DISCE - Working Papers del Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE), number def036, Jan.
• Issam BOUSALAM, 2016, "Forecasting Daily Stock Volatility Using GARCH-CJ Type Models with Continuous and Jump Variation," Turkish Economic Review, EconSciences 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, EconSciences Journals, volume 3, issue 2, pages 303-326, June.
• Stan Hurn & Peter C. B. Phillips & Shu-Ping Shi, 2016, ""Change Detection and the Causal Impact of the Yield Curve," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2058, Dec.
• Iulia LUPU & Gheorghe HURDUZEU & Mariana NICOLAE, 2016, "Connections Between Sentiment Indices And Reduced Volatilities Of Sustainability Stock Market Indices," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, volume 50, issue 1, pages 157-174.
• Marcel Ioan BOLOS & Diana Claudia SABĂU-POPA & Emil SCARLAT & Ioana-Alexandra BRADEA & Camelia DELCEA,, 2016, "A Business Intelligence Instrument for Detection and Mitigation of Risks Related to Projects Financed from Structural Funds," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, volume 50, issue 2, pages 165-178.
• Vasile GEORGESCU, 2016, "Using Nature-Inspired Metaheuristics to Train Predictive Machines," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, volume 50, issue 2, pages 5-24.
• Pooi AH-HIN & Ng KOK-HAUR & Soo HUEI-CHING, 2016, "Modelling and Forecasting with Financial Duration Data Using Non-linear Model," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, volume 50, issue 2, pages 79-92.
• Габриела Кръстева, 2016, "Оценяване И Прогнозиране На Пазарния Риск На Българските Публични Нефинансови Дружества," Almanac of PhD Students, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, volume 12, issue 12 Year 2, pages 28-58.
• Стефан Симеонов, 2016, "Измерители На Борсовата Активност – Изследване На Индикаторите И Анализ На Пазарния Тренд," "Economic World" Library, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 131 Year , pages 3-228.
• Fabian Baetje & Lukas Menkhoff, 2016, "Equity Premium Prediction: Are Economic and Technical Indicators Unstable?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1552.
• Alasdair Brown & Dooruj Rambaccussing & J. James Reade & Giambattista Rossi, 2016, "Using Social Media to Identify Market Inefficiencies: Evidence from Twitter and Betfair," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee, number 293, Feb.
• Capkun, Vedran & Beneish , Messod Daniel, 2016, "Earnings Increases as a Type-Revealing Signal," HEC Research Papers Series, HEC Paris, number 1132, Jan.
• Thesmar , David & Bouchaud, Jean-Philippe & Krueger , Philipp & Landier , Augustin, 2016, "Sticky Expectations and Stock Market Anomalies," HEC Research Papers Series, HEC Paris, number 1136, Mar.
• Bao, Jack & Hou, Kewei & Zhang, Shaojun A., 2016, "Systemic Default and Return Predictability in the Stock and Bond Markets," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-2, Jan.
• Monira Essa Aloud, 2016, "Profitability of Directional Change Based Trading Strategies: The Case of Saudi Stock Market," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 1, pages 87-95.
• Mansoor Maitah & Petr Prochazka & Michal Cermak & Karel r dl, 2016, "Commodity Channel Index: Evaluation of Trading Rule of Agricultural Commodities," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 1, pages 176-178.
• Adil EL Fakir & Mohamed Tkiouat, 2016, "Single or Menu Contracting: A Game Theory Application of the Hersanyi Model to Mudaraba Financing," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 1, pages 221-230.
• Umit Bulut, 2016, "Do Financial Conditions have a Predictive Power on Inflation in Turkey?," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 2, pages 621-628.
• Rashid Sbia & 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," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 2, pages 629-639.
• Rangga Handika & Rangga Handika & Sigit Triandaru, 2016, "Is the Best Generalized Autoregressive Conditional Heteroskedasticity(p,q) Value-at-risk Estimate also the Best in Reality? An Evidence from Australian Interconnected Power Markets," International Journal of Energy Economics and Policy, Econjournals, volume 6, issue 4, pages 814-821.
• Baruník, Jozef & Malinská, Barbora, 2016, "Forecasting the term structure of crude oil futures prices with neural networks," Applied Energy, Elsevier, volume 164, issue C, pages 366-379, DOI: 10.1016/j.apenergy.2015.11.051.
• Kinari, Yusuke, 2016, "Properties of expectation biases: Optimism and overconfidence," Journal of Behavioral and Experimental Finance, Elsevier, volume 10, issue C, pages 32-49, DOI: 10.1016/j.jbef.2016.02.003.
• Meub, Lukas & Proeger, Till, 2016, "Can anchoring explain biased forecasts? Experimental evidence," Journal of Behavioral and Experimental Finance, Elsevier, volume 12, issue C, pages 1-13, DOI: 10.1016/j.jbef.2016.08.001.
• Bauwens, Luc & Grigoryeva, Lyudmila & Ortega, Juan-Pablo, 2016, "Estimation and empirical performance of non-scalar dynamic conditional correlation models," Computational Statistics & Data Analysis, Elsevier, volume 100, issue C, pages 17-36, DOI: 10.1016/j.csda.2015.02.013.
• Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2016, "Efficient Gibbs sampling for Markov switching GARCH models," Computational Statistics & Data Analysis, Elsevier, volume 100, issue C, pages 37-57, DOI: 10.1016/j.csda.2014.04.011.
• Hoang, Thi Hong Van & Lahiani, Amine & Heller, David, 2016, "Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach," Economic Modelling, Elsevier, volume 54, issue C, pages 54-66, DOI: 10.1016/j.econmod.2015.12.013.
• Switzer, Lorne N. & Picard, Alan, 2016, "Stock market liquidity and economic cycles: A non-linear approach," Economic Modelling, Elsevier, volume 57, issue C, pages 106-119, DOI: 10.1016/j.econmod.2016.04.006.
• Nyberg, Henri & Pönkä, Harri, 2016, "International sign predictability of stock returns: The role of the United States," Economic Modelling, Elsevier, volume 58, issue C, pages 323-338, DOI: 10.1016/j.econmod.2016.06.013.
• Bekiros, Stelios & Gupta, Rangan & Kyei, Clement, 2016, "On economic uncertainty, stock market predictability and nonlinear spillover effects," The North American Journal of Economics and Finance, Elsevier, volume 36, issue C, pages 184-191, DOI: 10.1016/j.najef.2016.01.003.
• Horváth, Roman & Šopov, Boril, 2016, "GARCH models, tail indexes and error distributions: An empirical investigation," The North American Journal of Economics and Finance, Elsevier, volume 37, issue C, pages 1-15, DOI: 10.1016/j.najef.2016.03.006.
• Balaban, Ercan & Lu, Shan, 2016, "Forecasting the term structure of volatility of crude oil price changes," Economics Letters, Elsevier, volume 141, issue C, pages 116-118, DOI: 10.1016/j.econlet.2016.02.015.
• Pan, Zhiyuan & Wang, Yudong & Wu, Chongfeng, 2016, "A nonparametric approach to test for predictability," Economics Letters, Elsevier, volume 148, issue C, pages 10-16, DOI: 10.1016/j.econlet.2016.09.006.
• Ghoddusi, Hamed & Fahim, Arash, 2016, "Volatility can be detrimental to option values!," Economics Letters, Elsevier, volume 149, issue C, pages 5-9, DOI: 10.1016/j.econlet.2016.10.001.
• Jin, Xin & Maheu, John M., 2016, "Bayesian semiparametric modeling of realized covariance matrices," Journal of Econometrics, Elsevier, volume 192, issue 1, pages 19-39, DOI: 10.1016/j.jeconom.2015.11.001.
• Afik, Zvika & Arad, Ohad & Galil, Koresh, 2016, "Using Merton model for default prediction: An empirical assessment of selected alternatives," Journal of Empirical Finance, Elsevier, volume 35, issue C, pages 43-67, DOI: 10.1016/j.jempfin.2015.09.004.
• Zhang, Hui Jun & Dufour, Jean-Marie & Galbraith, John W., 2016, "Exchange rates and commodity prices: Measuring causality at multiple horizons," Journal of Empirical Finance, Elsevier, volume 36, issue C, pages 100-120, DOI: 10.1016/j.jempfin.2015.10.005.
• Byun, Sung Je, 2016, "The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility," Journal of Empirical Finance, Elsevier, volume 36, issue C, pages 162-180, DOI: 10.1016/j.jempfin.2016.01.013.
• Caldeira, João F. & Moura, Guilherme V. & Santos, André A.P., 2016, "Bond portfolio optimization using dynamic factor models," Journal of Empirical Finance, Elsevier, volume 37, issue C, pages 128-158, DOI: 10.1016/j.jempfin.2016.03.004.
• Duyvesteyn, Johan & Martens, Martin & Verwijmeren, Patrick, 2016, "Political risk and expected government bond returns," Journal of Empirical Finance, Elsevier, volume 38, issue PA, pages 498-512, DOI: 10.1016/j.jempfin.2016.01.016.