Research classified by Journal of Economic Literature (JEL) codes

2016

• 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 Staff Working Paper series, 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 Staff Working Paper series, Bank of England, number 597, Apr.
• Yuliya Baranova & Zijun Liu & Joseph Noss, 2016, "The role of collateral in supporting liquidity," Bank of England Staff Working Paper series, Bank of England, number 609, Aug.
• Rachel Lukasz & Jack Fisher, 2016, "Assessing vulnerabilities to financial shocks in some key global economies," Bank of England Staff Working Paper series, 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.
• Aron, Janine & Muellbauer, John, 2016, "Modelling and Forecasting Mortgage Delinquency and Foreclosure in the UK," CEPR Discussion Papers, Centre for Economic Policy Research, 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, Centre for Economic Policy Research, number 11401, Jul.
• Martin, Ian & Wagner, Christian, 2016, "What is the Expected Return on a Stock?," CEPR Discussion Papers, Centre for Economic Policy Research, 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, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, 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, International Journal of Energy Economics and Policy, 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.
• Aldrich, Eric M. & Heckenbach, Indra & Laughlin, Gregory, 2016, "A compound duration model for high-frequency asset returns," Journal of Empirical Finance, Elsevier, volume 39, issue PA, pages 105-128, DOI: 10.1016/j.jempfin.2016.10.003.
• Qu, Hui & Chen, Wei & Niu, Mengyi & Li, Xindan, 2016, "Forecasting realized volatility in electricity markets using logistic smooth transition heterogeneous autoregressive models," Energy Economics, Elsevier, volume 54, issue C, pages 68-76, DOI: 10.1016/j.eneco.2015.12.001.
• Pan, Zhiyuan & Wang, Yudong & Liu, Li, 2016, "The relationships between petroleum and stock returns: An asymmetric dynamic equi-correlation approach," Energy Economics, Elsevier, volume 56, issue C, pages 453-463, DOI: 10.1016/j.eneco.2016.04.008.
• Wang, Yudong & Liu, Li & Ma, Feng & Wu, Chongfeng, 2016, "What the investors need to know about forecasting oil futures return volatility," Energy Economics, Elsevier, volume 57, issue C, pages 128-139, DOI: 10.1016/j.eneco.2016.05.004.
• Klein, Tony & Walther, Thomas, 2016, "Oil price volatility forecast with mixture memory GARCH," Energy Economics, Elsevier, volume 58, issue C, pages 46-58, DOI: 10.1016/j.eneco.2016.06.004.
• Ahmadi, Maryam & Bashiri Behmiri, Niaz & Manera, Matteo, 2016, "How is volatility in commodity markets linked to oil price shocks?," Energy Economics, Elsevier, volume 59, issue C, pages 11-23, DOI: 10.1016/j.eneco.2016.07.006.
• Wen, Fenghua & Gong, Xu & Cai, Shenghua, 2016, "Forecasting the volatility of crude oil futures using HAR-type models with structural breaks," Energy Economics, Elsevier, volume 59, issue C, pages 400-413, DOI: 10.1016/j.eneco.2016.07.014.
• Drachal, Krzysztof, 2016, "Forecasting spot oil price in a dynamic model averaging framework — Have the determinants changed over time?," Energy Economics, Elsevier, volume 60, issue C, pages 35-46, DOI: 10.1016/j.eneco.2016.09.020.
• Fantazzini, Dean, 2016, "The oil price crash in 2014/15: Was there a (negative) financial bubble?," Energy Policy, Elsevier, volume 96, issue C, pages 383-396, DOI: 10.1016/j.enpol.2016.06.020.
• Polimenis, Vassilis & Neokosmidis, Ioannis M., 2016, "The modified dividend–price ratio," International Review of Financial Analysis, Elsevier, volume 45, issue C, pages 31-38, DOI: 10.1016/j.irfa.2016.01.019.
• Lee, Bong-Soo & Ko, Kwangsoo, 2016, "Are Japanese margin buyers informed?," International Review of Financial Analysis, Elsevier, volume 45, issue C, pages 47-53, DOI: 10.1016/j.irfa.2016.02.010.
• Casalin, Fabrizio, 2016, "Size and power of tests based on Permanent-Transitory Component Models," International Review of Financial Analysis, Elsevier, volume 47, issue C, pages 142-153, DOI: 10.1016/j.irfa.2016.07.003.
• Salhin, Ahmed & Sherif, Mohamed & Jones, Edward, 2016, "Managerial sentiment, consumer confidence and sector returns," International Review of Financial Analysis, Elsevier, volume 47, issue C, pages 24-38, DOI: 10.1016/j.irfa.2016.06.009.
• Lavička, H. & Lichard, T. & Novotný, J., 2016, "Sand in the wheels or wheels in the sand? Tobin taxes and market crashes," International Review of Financial Analysis, Elsevier, volume 47, issue C, pages 328-342, DOI: 10.1016/j.irfa.2016.03.012.
• Poshakwale, Sunil S. & Mandal, Anandadeep, 2016, "What drives asymmetric dependence structure of asset return comovements?," International Review of Financial Analysis, Elsevier, volume 48, issue C, pages 312-330, DOI: 10.1016/j.irfa.2015.07.001.
• Byström, Hans, 2016, "Credit-implied forward volatility and volatility expectations," Finance Research Letters, Elsevier, volume 16, issue C, pages 132-138, DOI: 10.1016/j.frl.2015.10.027.
• Park, Heungju & Sohn, Bumjean, 2016, "Long-term perspective on the stock market matters in asset pricing," Finance Research Letters, Elsevier, volume 16, issue C, pages 162-170, DOI: 10.1016/j.frl.2015.10.022.
• Haugom, Erik & Ray, Rina & Ullrich, Carl J. & Veka, Steinar & Westgaard, Sjur, 2016, "A parsimonious quantile regression model to forecast day-ahead value-at-risk," Finance Research Letters, Elsevier, volume 16, issue C, pages 196-207, DOI: 10.1016/j.frl.2015.12.006.
• Shi, Guangping & Liu, Xiaoxing & Tang, Pan, 2016, "Pricing options under the non-affine stochastic volatility models: An extension of the high-order compact numerical scheme," Finance Research Letters, Elsevier, volume 16, issue C, pages 220-229, DOI: 10.1016/j.frl.2015.12.004.
• Song, Wonho & Ryu, Doojin & Webb, Robert I., 2016, "Overseas market shocks and VKOSPI dynamics: A Markov-switching approach," Finance Research Letters, Elsevier, volume 16, issue C, pages 275-282, DOI: 10.1016/j.frl.2015.12.007.
• Chen, An-Sing & Yang, Wayne, 2016, "Echo effects and the returns from 52-week high strategies," Finance Research Letters, Elsevier, volume 16, issue C, pages 38-46, DOI: 10.1016/j.frl.2015.10.015.
• Ferrer, Alex & Casals, José & Sotoca, Sonia, 2016, "Efficient estimation of unconditional capital by Monte Carlo simulation," Finance Research Letters, Elsevier, volume 16, issue C, pages 75-84, DOI: 10.1016/j.frl.2015.10.010.
• Smith, Geoffrey Peter, 2016, "Weekday variation in the leverage effect: A puzzle," Finance Research Letters, Elsevier, volume 17, issue C, pages 193-196, DOI: 10.1016/j.frl.2016.03.001.
• Pönkä, Harri, 2016, "Real oil prices and the international sign predictability of stock returns," Finance Research Letters, Elsevier, volume 17, issue C, pages 79-87, DOI: 10.1016/j.frl.2016.01.011.
• Frömmel, Michael & Lampaert, Kevin, 2016, "Does frequency matter for intraday technical trading?," Finance Research Letters, Elsevier, volume 18, issue C, pages 177-183, DOI: 10.1016/j.frl.2016.04.014.
• Wang, Gang-Jin & Xie, Chi & Jiang, Zhi-Qiang & Eugene Stanley, H., 2016, "Who are the net senders and recipients of volatility spillovers in China’s financial markets?," Finance Research Letters, Elsevier, volume 18, issue C, pages 255-262, DOI: 10.1016/j.frl.2016.04.025.
• Chiu, Yen-Chen & Chuang, I-Yuan, 2016, "The performance of the switching forecast model of value-at-risk in the Asian stock markets," Finance Research Letters, Elsevier, volume 18, issue C, pages 43-51, DOI: 10.1016/j.frl.2016.03.019.
• Maio, Paulo, 2016, "Cross-sectional return dispersion and the equity premium," Journal of Financial Markets, Elsevier, volume 29, issue C, pages 87-109, DOI: 10.1016/j.finmar.2015.09.001.
• Fink, Kilian & Krüger, Ulrich & Meller, Barbara & Wong, Lui-Hsian, 2016, "The credit quality channel: Modeling contagion in the interbank market," Journal of Financial Stability, Elsevier, volume 25, issue C, pages 83-97, DOI: 10.1016/j.jfs.2016.06.002.
• Dragicevic, Arnaud & Lobianco, Antonello & Leblois, Antoine, 2016, "Forest planning and productivity-risk trade-off through the Markowitz mean-variance model," Forest Policy and Economics, Elsevier, volume 64, issue C, pages 25-34, DOI: 10.1016/j.forpol.2015.12.010.
• David, Joel M. & Simonovska, Ina, 2016, "Correlated beliefs, returns, and stock market volatility," Journal of International Economics, Elsevier, volume 99, issue S1, pages 58-77, DOI: 10.1016/j.jinteco.2015.11.006.
• Siburg, Karl Friedrich & Stehling, Katharina & Stoimenov, Pavel A. & Weiß, Gregor N.F., 2016, "An order of asymmetry in copulas, and implications for risk management," Insurance: Mathematics and Economics, Elsevier, volume 68, issue C, pages 241-247, DOI: 10.1016/j.insmatheco.2016.03.008.
• Scholz, Michael & Sperlich, Stefan & Nielsen, Jens Perch, 2016, "Nonparametric long term prediction of stock returns with generated bond yields," Insurance: Mathematics and Economics, Elsevier, volume 69, issue C, pages 82-96, DOI: 10.1016/j.insmatheco.2016.04.007.
• Dakhlaoui, Imen & Aloui, Chaker, 2016, "The interactive relationship between the US economic policy uncertainty and BRIC stock markets," International Economics, Elsevier, volume 146, issue C, pages 141-157, DOI: 10.1016/j.inteco.2015.12.002.
• Baetje, Fabian & Menkhoff, Lukas, 2016, "Equity premium prediction: Are economic and technical indicators unstable?," International Journal of Forecasting, Elsevier, volume 32, issue 4, pages 1193-1207, DOI: 10.1016/j.ijforecast.2016.02.006.
• Buncic, Daniel & Gisler, Katja I.M., 2016, "Global equity market volatility spillovers: A broader role for the United States," International Journal of Forecasting, Elsevier, volume 32, issue 4, pages 1317-1339, DOI: 10.1016/j.ijforecast.2016.05.001.
• Li, Ningzhong & Vasvari, Florin P. & Wittenberg-Moerman, Regina, 2016, "Dynamic threshold values in earnings-based covenants," Journal of Accounting and Economics, Elsevier, volume 61, issue 2, pages 605-629, DOI: 10.1016/j.jacceco.2015.07.004.
• Konstantinidi, Eirini & Skiadopoulos, George, 2016, "How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns," Journal of Banking & Finance, Elsevier, volume 62, issue C, pages 62-75, DOI: 10.1016/j.jbankfin.2015.10.006.
• Platikanova, Petya & Mattei, Marco Maria, 2016, "Firm geographic dispersion and financial analysts’ forecasts," Journal of Banking & Finance, Elsevier, volume 64, issue C, pages 71-89, DOI: 10.1016/j.jbankfin.2015.11.012.
• Focardi, Sergio M. & Fabozzi, Frank J. & Mitov, Ivan K., 2016, "A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance," Journal of Banking & Finance, Elsevier, volume 65, issue C, pages 134-155, DOI: 10.1016/j.jbankfin.2015.10.005.
• De Genaro, Alan, 2016, "Systematic multi-period stress scenarios with an application to CCP risk management," Journal of Banking & Finance, Elsevier, volume 67, issue C, pages 119-134, DOI: 10.1016/j.jbankfin.2015.12.011.
• Zhu, Wenjun & Wang, Chou-Wen & Tan, Ken Seng, 2016, "Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC): Theory and empirical tests," Journal of Banking & Finance, Elsevier, volume 69, issue C, pages 20-36, DOI: 10.1016/j.jbankfin.2016.01.011.
• Hirtle, Beverly & Kovner, Anna & Vickery, James & Bhanot, Meru, 2016, "Assessing financial stability: The Capital and Loss Assessment under Stress Scenarios (CLASS) model," Journal of Banking & Finance, Elsevier, volume 69, issue S1, pages 35-55, DOI: 10.1016/j.jbankfin.2015.09.021.
• Koliai, Lyes, 2016, "Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests," Journal of Banking & Finance, Elsevier, volume 70, issue C, pages 1-22, DOI: 10.1016/j.jbankfin.2016.02.004.
• Shynkevich, Andrei, 2016, "Predictability in bond returns using technical trading rules," Journal of Banking & Finance, Elsevier, volume 70, issue C, pages 55-69, DOI: 10.1016/j.jbankfin.2016.06.010.
• Ahmed, Shamim & Tsvetanov, Daniel, 2016, "The predictive performance of commodity futures risk factors," Journal of Banking & Finance, Elsevier, volume 71, issue C, pages 20-36, DOI: 10.1016/j.jbankfin.2016.06.011.
• Tsao, Shou-Min & Lu, Hsueh-Tien & Keung, Edmund C., 2016, "Voluntary monthly earnings disclosures and analyst behavior," Journal of Banking & Finance, Elsevier, volume 71, issue C, pages 37-49, DOI: 10.1016/j.jbankfin.2016.04.010.
• Butaru, Florentin & Chen, Qingqing & Clark, Brian & Das, Sanmay & Lo, Andrew W. & Siddique, Akhtar, 2016, "Risk and risk management in the credit card industry," Journal of Banking & Finance, Elsevier, volume 72, issue C, pages 218-239, DOI: 10.1016/j.jbankfin.2016.07.015.
• Kapinos, Pavel & Gurley-Calvez, Tami & Kapinos, Kandice, 2016, "(Un)expected housing price changes: Identifying the drivers of small business finance," Journal of Economics and Business, Elsevier, volume 84, issue C, pages 79-94, DOI: 10.1016/j.jeconbus.2016.02.002.
• Herskovic, Bernard & Kelly, Bryan & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2016, "The common factor in idiosyncratic volatility: Quantitative asset pricing implications," Journal of Financial Economics, Elsevier, volume 119, issue 2, pages 249-283, DOI: 10.1016/j.jfineco.2015.09.010.
• Beckmann, Joscha & Schüssler, Rainer, 2016, "Forecasting exchange rates under parameter and model uncertainty," Journal of International Money and Finance, Elsevier, volume 60, issue C, pages 267-288, DOI: 10.1016/j.jimonfin.2015.07.001.
• Buncic, Daniel & Piras, Gion Donat, 2016, "Heterogeneous agents, the financial crisis and exchange rate predictability," Journal of International Money and Finance, Elsevier, volume 60, issue C, pages 313-359, DOI: 10.1016/j.jimonfin.2015.09.006.
• Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2016, "Exchange rate predictability in a changing world," Journal of International Money and Finance, Elsevier, volume 62, issue C, pages 1-24, DOI: 10.1016/j.jimonfin.2015.12.001.
• Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2016, "A semiparametric factor model for CDO surfaces dynamics," Journal of Multivariate Analysis, Elsevier, volume 146, issue C, pages 151-163, DOI: 10.1016/j.jmva.2015.09.002.
• Paparizos, Panagiotis & Dimitriou, Dimitrios & Kenourgios, Dimitris & Simos, Theodore, 2016, "On high frequency dynamics between information asymmetry and volatility for securities," The Journal of Economic Asymmetries, Elsevier, volume 13, issue C, pages 21-34, DOI: 10.1016/j.jeca.2015.10.001.
• Aron, Janine & Muellbauer, John, 2016, "“Modelling and forecasting mortgage delinquency and foreclosure in the UK.”," Journal of Urban Economics, Elsevier, volume 94, issue C, pages 32-53, DOI: 10.1016/j.jue.2016.03.005.
• Chen, Jian & Jiang, Fuwei & Li, Hongyi & Xu, Weidong, 2016, "Chinese stock market volatility and the role of U.S. economic variables," Pacific-Basin Finance Journal, Elsevier, volume 39, issue C, pages 70-83, DOI: 10.1016/j.pacfin.2016.05.013.
• Godfrey, Keith R.L., 2016, "Detecting the great short squeeze on Volkswagen," Pacific-Basin Finance Journal, Elsevier, volume 40, issue PB, pages 323-334, DOI: 10.1016/j.pacfin.2016.02.001.
• Sharma, Prateek & Vipul,, 2016, "Forecasting stock market volatility using Realized GARCH model: International evidence," The Quarterly Review of Economics and Finance, Elsevier, volume 59, issue C, pages 222-230, DOI: 10.1016/j.qref.2015.07.005.
• Geyer, Alois & Hanke, Michael & Weissensteiner, Alex, 2016, "Inflation forecasts extracted from nominal and real yield curves," The Quarterly Review of Economics and Finance, Elsevier, volume 60, issue C, pages 180-188, DOI: 10.1016/j.qref.2015.10.002.
• Jung, Young Cheol, 2016, "A portfolio insurance strategy for volatility index (VIX) futures," The Quarterly Review of Economics and Finance, Elsevier, volume 60, issue C, pages 189-200, DOI: 10.1016/j.qref.2015.09.001.
• Miwa, Kotaro & Ueda, Kazuhiro, 2016, "Analysts’ preference for growth investing and vulnerability to market-wide sentiment," The Quarterly Review of Economics and Finance, Elsevier, volume 61, issue C, pages 40-52, DOI: 10.1016/j.qref.2015.11.003.