Research classified by Journal of Economic Literature (JEL) codes

2015

• Hideyuki Takamizawa, 2015, "Predicting Interest Rate Volatility Using Information on the Yield Curve," International Review of Finance, International Review of Finance Ltd., volume 15, issue 3, pages 347-386, September.
• MOROSAN Adrian, 2015, "Some Points Of View Regarding The Definitions Of The Concepts Of Explanation, Understanding And Causality In The Social Sciences," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, volume 67, issue 1, pages 130-136, February.
• BALTES Nicolae & DRAGOE Alexandra-Gabriela-Maria, 2015, "Study Regarding The Markowitz Model Of Portfolio Selection," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, volume 67, issue Supplemen, pages 195-206, September.
• Michael Chin & Christopher Polk, 2015, "A forecast evaluation of expected equity return measures," Bank of England working papers, Bank of England, number 520, Jan.
• Hyeongwoo Kim & Hyun Hak Kim & Wen Shi, 2015, "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Working Papers, Economic Research Institute, Bank of Korea, number 2015-30, Dec.
• Reis Pedro Nogueira & Augusto Mário Gomes, 2015, "What Is a Firm’s Life Expectancy? Empirical Evidence in the Context of Portuguese Companies," Journal of Business Valuation and Economic Loss Analysis, De Gruyter, volume 10, issue 1, pages 45-75, January, DOI: 10.1515/jbvela-2014-0003.
• Grossmass Lidan & Poon Ser-Huang, 2015, "Estimating dynamic copula dependence using intraday data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 19, issue 4, pages 501-529, September, DOI: 10.1515/snde-2013-0123.
• Fernanda Maria Muller & Fábio Mariano Bayer, 2015, "Numerical evaluation of likelihood inferences in Beta-t-Skew-EGARCH models," Brazilian Review of Finance, Brazilian Society of Finance, volume 13, issue 1, pages 40-73.
• Paulo Rogério Faustino Matos & Wandermon Silva & Felipe Silva, 2015, "Do Brazilian mutual stock fund managers have sufficient skill?," Brazilian Review of Finance, Brazilian Society of Finance, volume 13, issue 2, pages 325-366.
• Melquiades Pereira Lima & Vinicio de Souza Almeida, 2015, "Sell-side analysts make good predictions in Brazil?," Brazilian Review of Finance, Brazilian Society of Finance, volume 13, issue 3, pages 365-393.
• Paulo Ferreira Naibert & João Caldeira, 2015, "Selection of optimal portfolios under norm constraints in the allocation vectors: an empirical evaluation with data from BM&FBovespa," Brazilian Review of Finance, Brazilian Society of Finance, volume 13, issue 3, pages 504-543.
• Guilherme Demos & Thomas Pires & Guilherme Valle Moura, 2015, "Portfolio Optimisation and Endogenous Rebalancing Methods," Brazilian Review of Finance, Brazilian Society of Finance, volume 13, issue 4, pages 544-570.
• Silvester Van Koten, 2015, "Forward Premia in Electricity Markets: Two Caveats," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp543, Jun.
• Taisei KAIZOJI & Matthias LEISS & Alexander I. SAICHEV & Didier SORNETTE, 2015, "Super-Exponential Endogenous Bubbles in an Equilibrium Model of Fundamentalist and Chartist Traders," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-07, Feb.
• Marc S. PAOLELLA & Pawel POLAK, 2015, "Portfolio Selection with Active Risk Monitoring," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-17, Jun.
• Diego ARDILA-ALVAREZ & Zalàn FORRÒ & Didier SORNETTE, 2015, "The Acceleration Effect and Gamma Factor in Asset Pricing," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-30, Aug.
• Didier Sornette & Guilherme Demos & Qun Zhang & Peter Cauwels & Vladimir Filimonov & Qunzhi Zhang, 2015, "Real-Time Prediction and Post-Mortem Analysis of the Shanghai 2015 Stock Market Bubble and Crash," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-31, Aug.
• Didier SORNETTE & Guilherme DEMOS & Zhang QUN & Peter CAUWELS & Vladimir FILIMONOV & Qunzhi ZHANG, 2015, "Real-Time Prediction and Post-Mortem Analysis of the Shanghai 2015 Stock Market Bubble and Crash," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-32, Aug.
• Qun ZHANG & Qunzhi ZHANG & Didier SORNETTE, 2015, "Early Warning Signals of Financial Crises with Multi-Scale Quantile Regressions of Log-Periodic Power Law Singularities," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-43, Oct.
• Eric JONDEAU & Qunzi ZHANG, 2015, "Average Skewness Matters!," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-47, Nov.
• Marco LISSANDRIN & Donnacha DALY & Didier SORNETTE, 2015, "Statistical Testing of DeMark Technical Indicators on Commodity Futures," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-56, Nov.
• Guilherme DEMOS & Qunzhi ZHANG & Didier SORNETTE, 2015, "Birth or Burst of Financial Bubbles: Which One is Easier to Diagnose?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-57, Dec.
• Federico M. Bandi & Benoit Perron & Andrea Tamoni & Claudio Tebaldi, 2015, "The scale of predictability," CIRANO Working Papers, CIRANO, number 2015s-21, May.
• Benoît Carmichael & Jean Armand Gnagne & Kevin Moran, 2015, "Securities Transactions Taxes and Financial Crises," CIRANO Working Papers, CIRANO, number 2015s-23, Jun.
• Cristina CIUMAȘ & Diana-Maria CHIȘ, 2015, "Modelling The Guarantee Liability Under Unit-Linked Contracts," SEA - Practical Application of Science, Romanian Foundation for Business Intelligence, Editorial Department, issue 7, pages 165-170, April.
• Diana MURESAN, 2015, "The Mishkin Test: An Analysis Of Model Extensions," SEA - Practical Application of Science, Romanian Foundation for Business Intelligence, Editorial Department, issue 7, pages 393-400, April.
• Gustavo Peralta, 2015, "Network-based Measures as Leading Indicators of Market Instability: The case of the Spanish Stock," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no 59.
• Juan Manuel Julio-Roman, 2015, "On the Stylized Facts of Nominal Exchange Rates in Brazil, Chile, Colombia, Mexico and Peru," Borradores de Economia, Banco de la Republica, number 13015, Jun.
• Gabriel Moreno, 2015, "Leverage, Risk and Regulatory Capital in Latin American Banks," Coyuntura Económica, Fedesarrollo, volume 45, issue 1, pages 91-130.
• Peter B. Dixon & James. A. Giesecke & Maureen T. Rimmer, 2015, "Superannuation within a financial CGE model of the Australian economy," Centre of Policy Studies/IMPACT Centre Working Papers, Victoria University, Centre of Policy Studies/IMPACT Centre, number g-253, Jul.
• Agnieszka Kapecka, 2015, "Comparative analysis of mature and emerging markets\' stock market indices using Hurst exponents," Acta Universitatis Nicolai Copernici, Ekonomia, Uniwersytet Mikolaja Kopernika, volume 46, issue 1, pages 59-75.
• Ewa Ratuszny, 2015, "Risk Modeling of Commodities using CAViaR Models, the Encompassing Method and the Combined Forecasts," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, volume 15, pages 129-156.
• Lettau, Martin & Ludvigson, Sydney & Greenwald, Dan, 2015, "Origins of Stock Market Fluctuations," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10336, Jan.
• Wolff, Christian & Bams, Dennis & Pisa, Magdalena, 2015, "Credit risk characteristics of US small business portfolios," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10889, Oct.
• Wolff, Christian & Bams, Dennis & Pisa, Magdalena, 2015, "Ripple effects from industry defaults," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10891, Oct.
• Manuel A. Zambrano-Monserrate & Daniel A. Sanchez-Loor, 2015, "Factores determinantes del salario del sector privado en el Ecuador para el año 2014: un caso de estudio en la ciudad de Guayaquil," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 38, issue 108, pages 139-151, Septiembr.
• David Chinarro & Eduardo Martínez & Simón J. Sosvilla, 2015, "Analysis of the evolution of sovereign bond yields by wavelet techniques," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 38, issue 108, pages 152-162, Septiembr.
• Dashan Huang & Fuwei Jiang & Jun Tu & Guofu Zhou, 2015, "Investor Sentiment Aligned: A Powerful Predictor of Stock Returns," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 676.
• Kutasi, Gábor, 2015, "Banking Contagion under Different Exchange Rate Regimes in CEE," Corvinus Economics Working Papers (CEWP), Corvinus University of Budapest, number 2015/11.
• Alper Veli AM, 2015, "Notes on the2015 Finance Symposium," Journal of Economics Library, EconSciences Journals, volume 2, issue 4, pages 378-379, December.
• Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2015, "Long-Term Price Overreactions: Are Markets Inefficient?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1444.
• Dooruj Rambaccussing, 2015, "Revisiting Shiller’s excess volatility hypothesis," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee, number 287, Feb.
• Dooruj McRambaccussing, 2015, "Moment Matching in the Present Value identity, and a New Model," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee, number 291, Oct.
• Kutluk KaÄŸan SÃœMER, 2015, "Effectiveness of technical analysis indicators over stock return: A Panel Data Approach," Eurasian Eononometrics, Statistics and Emprical Economics Journal, Eurasian Academy Of Sciences, volume 1, issue 1, pages 43-56, February, DOI: 10.17740/eas.stat.2015.V1-04.
• Dacorogna, Michel & Kratz, Marie, 2015, "Living in a Stochastic World and Managing Complex Risks," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1517, Oct.
• Hartmann, Philipp, 2015, "Real estate markets and macroprudential policy in Europe," Working Paper Series, European Central Bank, number 1796, May.
• Golez, Benjamin & Koudijs, Peter, 2015, "Four Centuries of Return Predictability," Research Papers, Stanford University, Graduate School of Business, number 3259, Jan.
• Fatih B. GUMUS & Yusuf DAYIOGLU, 2015, "An Analysis on The Socio-Economic and Demographic Factors That Have an Effect on The Risk Taking Preferences of Personal Investors," International Journal of Economics and Financial Issues, Econjournals, volume 5, issue 1, pages 136-147.
• Alaaeddin Al-Tarawneh & Mohmmad Khataybeh, 2015, "Portfolio Behaviour of Commercial Banks: The Expected Utility Approach: Evidence from Jordan," International Journal of Economics and Financial Issues, Econjournals, volume 5, issue 2, pages 312-323.
• Fethi Belhaj & Ezzeddine Abaoub, 2015, "A Generalized Autoregressive Conditional Heteroskedasticity Examination of the Relationship between Trading Volume and Conditional Volatility in the Tunisian Stock Market: Evidence for the Information Flow Paradigm," International Journal of Economics and Financial Issues, Econjournals, volume 5, issue 2, pages 354-364.
• Abdulkadir Abdulrashid Rafindadi, 2015, "Are the Contentious Issues of Exchange Rate Misalignment in Nigeria a Prelude to the Country's Currency Crisis?," International Journal of Economics and Financial Issues, Econjournals, volume 5, issue 3, pages 716-731.
• Greg Ekpung Edame & Okoiarikpo Benjamin Okoi, 2015, "Fiscal Deficits and Economic Growth in Nigeria: A Chow Test Approach," International Journal of Economics and Financial Issues, Econjournals, volume 5, issue 3, pages 748-752.
• P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015, "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2015-71.
• Becchetti, Leonardo & Ciciretti, Rocco & Hasan, Iftekhar, 2015, "Corporate social responsibility, stakeholder risk, and idiosyncratic volatility," Journal of Corporate Finance, Elsevier, volume 35, issue C, pages 297-309, DOI: 10.1016/j.jcorpfin.2015.09.007.
• Aymanns, Christoph & Farmer, J. Doyne, 2015, "The dynamics of the leverage cycle," Journal of Economic Dynamics and Control, Elsevier, volume 50, issue C, pages 155-179, DOI: 10.1016/j.jedc.2014.09.015.
• Recchioni, Maria Cristina & Tedeschi, Gabriele & Gallegati, Mauro, 2015, "A calibration procedure for analyzing stock price dynamics in an agent-based framework," Journal of Economic Dynamics and Control, Elsevier, volume 60, issue C, pages 1-25, DOI: 10.1016/j.jedc.2015.08.003.
• Itkin, Andrey, 2015, "To sigmoid-based functional description of the volatility smile," The North American Journal of Economics and Finance, Elsevier, volume 31, issue C, pages 264-291, DOI: 10.1016/j.najef.2014.12.005.
• Buncic, Daniel & Moretto, Carlo, 2015, "Forecasting copper prices with dynamic averaging and selection models," The North American Journal of Economics and Finance, Elsevier, volume 33, issue C, pages 1-38, DOI: 10.1016/j.najef.2015.03.002.
• Billio, Monica & Caporin, Massimiliano & Costola, Michele, 2015, "Backward/forward optimal combination of performance measures for equity screening," The North American Journal of Economics and Finance, Elsevier, volume 34, issue C, pages 63-83, DOI: 10.1016/j.najef.2015.08.002.
• Bilson, John F.O. & Kang, Sang Baum & Luo, Hong, 2015, "The term structure of implied dividend yields and expected returns," Economics Letters, Elsevier, volume 128, issue C, pages 9-13, DOI: 10.1016/j.econlet.2015.01.003.
• Raviv, Eran, 2015, "Prediction bias correction for dynamic term structure models," Economics Letters, Elsevier, volume 129, issue C, pages 112-115, DOI: 10.1016/j.econlet.2015.01.022.
• Bekiros, Stelios & Gupta, Rangan, 2015, "Predicting stock returns and volatility using consumption-aggregate wealth ratios: A nonlinear approach," Economics Letters, Elsevier, volume 131, issue C, pages 83-85, DOI: 10.1016/j.econlet.2015.03.019.
• Conrad, Christian & Loch, Karin, 2015, "The variance risk premium and fundamental uncertainty," Economics Letters, Elsevier, volume 132, issue C, pages 56-60, DOI: 10.1016/j.econlet.2015.04.006.
• Bekaert, Geert & Engstrom, Eric & Ermolov, Andrey, 2015, "Bad environments, good environments: A non-Gaussian asymmetric volatility model," Journal of Econometrics, Elsevier, volume 186, issue 1, pages 258-275, DOI: 10.1016/j.jeconom.2014.06.021.
• Wachter, Jessica A. & Warusawitharana, Missaka, 2015, "What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio," Journal of Econometrics, Elsevier, volume 186, issue 1, pages 74-93, DOI: 10.1016/j.jeconom.2014.05.018.
• Chang, Chia-Lin & Jiménez-Martín, Juan-Ángel & Maasoumi, Esfandiar & Pérez-Amaral, Teodosio, 2015, "A stochastic dominance approach to financial risk management strategies," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 472-485, DOI: 10.1016/j.jeconom.2015.02.032.
• Paolella, Marc S. & Polak, Paweł, 2015, "COMFORT: A common market factor non-Gaussian returns model," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 593-605, DOI: 10.1016/j.jeconom.2015.02.041.
• Ling, Shiqing & McAleer, Michael & Tong, Howell, 2015, "Frontiers in Time Series and Financial Econometrics: An overview," Journal of Econometrics, Elsevier, volume 189, issue 2, pages 245-250, DOI: 10.1016/j.jeconom.2015.03.019.
• Asai, Manabu & McAleer, Michael, 2015, "Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance," Journal of Econometrics, Elsevier, volume 189, issue 2, pages 251-262, DOI: 10.1016/j.jeconom.2015.03.020.
• Brockwell, Peter J. & Lindner, Alexander, 2015, "Prediction of Lévy-driven CARMA processes," Journal of Econometrics, Elsevier, volume 189, issue 2, pages 263-271, DOI: 10.1016/j.jeconom.2015.03.021.
• Kim, Jun Sik & Ryu, Doojin, 2015, "Are the KOSPI 200 implied volatilities useful in value-at-risk models?," Emerging Markets Review, Elsevier, volume 22, issue C, pages 43-64, DOI: 10.1016/j.ememar.2014.11.001.
• Bekiros, Stelios D., 2015, "Heuristic learning in intraday trading under uncertainty," Journal of Empirical Finance, Elsevier, volume 30, issue C, pages 34-49, DOI: 10.1016/j.jempfin.2014.11.002.
• Diewald, Laszlo & Prokopczuk, Marcel & Wese Simen, Chardin, 2015, "Time-variations in commodity price jumps," Journal of Empirical Finance, Elsevier, volume 31, issue C, pages 72-84, DOI: 10.1016/j.jempfin.2015.02.004.
• Creel, Michael & Kristensen, Dennis, 2015, "ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models," Journal of Empirical Finance, Elsevier, volume 31, issue C, pages 85-108, DOI: 10.1016/j.jempfin.2015.01.002.
• Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik, 2015, "Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting?," Journal of Empirical Finance, Elsevier, volume 32, issue C, pages 135-152, DOI: 10.1016/j.jempfin.2015.03.001.
• BenSaïda, Ahmed, 2015, "The frequency of regime switching in financial market volatility," Journal of Empirical Finance, Elsevier, volume 32, issue C, pages 63-79, DOI: 10.1016/j.jempfin.2015.03.005.
• Jondeau, Eric, 2015, "The dynamics of squared returns under contemporaneous aggregation of GARCH models," Journal of Empirical Finance, Elsevier, volume 32, issue C, pages 80-93, DOI: 10.1016/j.jempfin.2015.03.002.
• Chesney, Marc & Crameri, Remo & Mancini, Loriano, 2015, "Detecting abnormal trading activities in option markets," Journal of Empirical Finance, Elsevier, volume 33, issue C, pages 263-275, DOI: 10.1016/j.jempfin.2015.03.008.
• Maio, Paulo & Philip, Dennis, 2015, "Macro variables and the components of stock returns," Journal of Empirical Finance, Elsevier, volume 33, issue C, pages 287-308, DOI: 10.1016/j.jempfin.2015.03.004.
• Kim, Daehwan, 2015, "Beta vs. characteristics: Comparison of risk model performances," Journal of Empirical Finance, Elsevier, volume 34, issue C, pages 156-171, DOI: 10.1016/j.jempfin.2015.10.002.
• Wu, Feng & Myers, Robert J. & Guan, Zhengfei & Wang, Zhiguang, 2015, "Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices," Journal of Empirical Finance, Elsevier, volume 34, issue C, pages 260-274, DOI: 10.1016/j.jempfin.2015.07.003.
• He, Ling T. & Casey, K.M., 2015, "Forecasting ability of the investor sentiment endurance index: The case of oil service stock returns and crude oil prices," Energy Economics, Elsevier, volume 47, issue C, pages 121-128, DOI: 10.1016/j.eneco.2014.11.005.
• Paraschiv, Florentina & Fleten, Stein-Erik & Schürle, Michael, 2015, "A spot-forward model for electricity prices with regime shifts," Energy Economics, Elsevier, volume 47, issue C, pages 142-153, DOI: 10.1016/j.eneco.2014.11.003.
• Ziel, Florian & Steinert, Rick & Husmann, Sven, 2015, "Efficient modeling and forecasting of electricity spot prices," Energy Economics, Elsevier, volume 47, issue C, pages 98-111, DOI: 10.1016/j.eneco.2014.10.012.
• Narayan, Paresh Kumar & Gupta, Rangan, 2015, "Has oil price predicted stock returns for over a century?," Energy Economics, Elsevier, volume 48, issue C, pages 18-23, DOI: 10.1016/j.eneco.2014.11.018.
• Cortazar, Gonzalo & Kovacevic, Ivo & Schwartz, Eduardo S., 2015, "Expected commodity returns and pricing models," Energy Economics, Elsevier, volume 49, issue C, pages 60-71, DOI: 10.1016/j.eneco.2015.01.015.
• Zhang, Jin-Liang & Zhang, Yue-Jun & Zhang, Lu, 2015, "A novel hybrid method for crude oil price forecasting," Energy Economics, Elsevier, volume 49, issue C, pages 649-659, DOI: 10.1016/j.eneco.2015.02.018.
• Narayan, Paresh Kumar & Liu, Ruipeng, 2015, "A unit root model for trending time-series energy variables," Energy Economics, Elsevier, volume 50, issue C, pages 391-402, DOI: 10.1016/j.eneco.2014.11.021.
• Ziel, Florian & Steinert, Rick & Husmann, Sven, 2015, "Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets," Energy Economics, Elsevier, volume 51, issue C, pages 430-444, DOI: 10.1016/j.eneco.2015.08.005.
• Philip, Dennis & Shi, Yukun, 2015, "Impact of allowance submissions in European carbon emission markets," International Review of Financial Analysis, Elsevier, volume 40, issue C, pages 27-37, DOI: 10.1016/j.irfa.2015.05.004.
• Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Narayan, Paresh Kumar, 2015, "Stock return forecasting: Some new evidence," International Review of Financial Analysis, Elsevier, volume 40, issue C, pages 38-51, DOI: 10.1016/j.irfa.2015.05.002.
• Ntim, Collins G. & English, John & Nwachukwu, Jacinta & Wang, Yan, 2015, "On the efficiency of the global gold markets," International Review of Financial Analysis, Elsevier, volume 41, issue C, pages 218-236, DOI: 10.1016/j.irfa.2015.03.013.
• Mihaylov, George & Cheong, Chee Seng & Zurbruegg, Ralf, 2015, "Can security analyst forecasts predict gold returns?," International Review of Financial Analysis, Elsevier, volume 41, issue C, pages 237-246, DOI: 10.1016/j.irfa.2015.03.012.
• Echterling, F. & Eierle, B. & Ketterer, S., 2015, "A review of the literature on methods of computing the implied cost of capital," International Review of Financial Analysis, Elsevier, volume 42, issue C, pages 235-252, DOI: 10.1016/j.irfa.2015.08.001.
• Albert, Stéphane, 2015, "US bank holding companies: Structure of activities and performance through the cycles," International Review of Financial Analysis, Elsevier, volume 42, issue C, pages 253-269, DOI: 10.1016/j.irfa.2015.08.002.
• Laurini, Márcio Poletti & Mauad, Roberto Baltieri, 2015, "A common jump factor stochastic volatility model," Finance Research Letters, Elsevier, volume 12, issue C, pages 2-10, DOI: 10.1016/j.frl.2014.12.009.
• Ozturk, Serda Selin & Richard, Jean-Francois, 2015, "Stochastic volatility and leverage: Application to a panel of S&P500 stocks," Finance Research Letters, Elsevier, volume 12, issue C, pages 67-76, DOI: 10.1016/j.frl.2014.11.006.
• Meub, Lukas & Proeger, Till & Bizer, Kilian & Spiwoks, Markus, 2015, "Strategic coordination in forecasting – An experimental study," Finance Research Letters, Elsevier, volume 13, issue C, pages 155-162, DOI: 10.1016/j.frl.2015.02.001.
• Baur, Dirk G. & Löffler, Gunter, 2015, "Predicting the equity premium with the demand for gold coins and bars," Finance Research Letters, Elsevier, volume 13, issue C, pages 172-178, DOI: 10.1016/j.frl.2015.01.007.
• Wu, Shue-Jen & Lee, Wei-Ming, 2015, "Predicting severe simultaneous bear stock markets using macroeconomic variables as leading indicators," Finance Research Letters, Elsevier, volume 13, issue C, pages 196-204, DOI: 10.1016/j.frl.2015.01.003.
• Godek, Paul E., 2015, "A simple model of market valuation and trend reversion for U.S. equities: 100 Years of bubbles, non-bubbles, and inverse-bubbles," Finance Research Letters, Elsevier, volume 13, issue C, pages 29-35, DOI: 10.1016/j.frl.2015.03.006.
• Malliaris, A.G. & Malliaris, Mary, 2015, "What drives gold returns? A decision tree analysis," Finance Research Letters, Elsevier, volume 13, issue C, pages 45-53, DOI: 10.1016/j.frl.2015.03.004.
• Ballestra, Luca Vincenzo & Cecere, Liliana, 2015, "Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley," Finance Research Letters, Elsevier, volume 14, issue C, pages 45-55, DOI: 10.1016/j.frl.2015.05.017.
• Mei, Bin, 2015, "Illiquidity and risk of commercial timberland assets in the United States," Journal of Forest Economics, Elsevier, volume 21, issue 2, pages 67-78, DOI: 10.1016/j.jfe.2015.01.003.
• Bansal, Vipul K. & Marshall, John F., 2015, "A tracking error approach to leveraged ETFs: Are they really that bad?," Global Finance Journal, Elsevier, volume 26, issue C, pages 47-63, DOI: 10.1016/j.gfj.2015.01.004.
• Scholz, Michael & Nielsen, Jens Perch & Sperlich, Stefan, 2015, "Nonparametric prediction of stock returns based on yearly data: The long-term view," Insurance: Mathematics and Economics, Elsevier, volume 65, issue C, pages 143-155, DOI: 10.1016/j.insmatheco.2015.09.011.
• Jammazi, Rania & Lahiani, Amine & Nguyen, Duc Khuong, 2015, "A wavelet-based nonlinear ARDL model for assessing the exchange rate pass-through to crude oil prices," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 34, issue C, pages 173-187, DOI: 10.1016/j.intfin.2014.11.011.
• Chau, Frankie & Kuo, Jing-Ming & Shi, Yukun, 2015, "Arbitrage opportunities and feedback trading in emissions and energy markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 36, issue C, pages 130-147, DOI: 10.1016/j.intfin.2015.02.002.
• Beneish, M.D. & Lee, C.M.C. & Nichols, D.C., 2015, "In short supply: Short-sellers and stock returns," Journal of Accounting and Economics, Elsevier, volume 60, issue 2, pages 33-57, DOI: 10.1016/j.jacceco.2015.08.001.
• Cogneau, Philippe & Hübner, Georges, 2015, "The prediction of fund failure through performance diagnostics," Journal of Banking & Finance, Elsevier, volume 50, issue C, pages 224-241, DOI: 10.1016/j.jbankfin.2014.10.004.
• Jessen, Cathrine & Lando, David, 2015, "Robustness of distance-to-default," Journal of Banking & Finance, Elsevier, volume 50, issue C, pages 493-505, DOI: 10.1016/j.jbankfin.2014.05.016.
• Lin, Tse-Chun & Lu, Xiaolong, 2015, "Why do options prices predict stock returns? Evidence from analyst tipping," Journal of Banking & Finance, Elsevier, volume 52, issue C, pages 17-28, DOI: 10.1016/j.jbankfin.2014.11.008.
• Tian, Shaonan & Yu, Yan & Guo, Hui, 2015, "Variable selection and corporate bankruptcy forecasts," Journal of Banking & Finance, Elsevier, volume 52, issue C, pages 89-100, DOI: 10.1016/j.jbankfin.2014.12.003.
• Gresnigt, Francine & Kole, Erik & Franses, Philip Hans, 2015, "Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes," Journal of Banking & Finance, Elsevier, volume 56, issue C, pages 123-139, DOI: 10.1016/j.jbankfin.2015.03.003.
• Mittnik, Stefan & Robinzonov, Nikolay & Spindler, Martin, 2015, "Stock market volatility: Identifying major drivers and the nature of their impact," Journal of Banking & Finance, Elsevier, volume 58, issue C, pages 1-14, DOI: 10.1016/j.jbankfin.2015.04.003.
• Tian, Shuairu & Hamori, Shigeyuki, 2015, "Modeling interest rate volatility: A Realized GARCH approach," Journal of Banking & Finance, Elsevier, volume 61, issue C, pages 158-171, DOI: 10.1016/j.jbankfin.2015.09.008.
• Audrino, Francesco & Fengler, Matthias R., 2015, "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Journal of Banking & Finance, Elsevier, volume 61, issue C, pages 46-63, DOI: 10.1016/j.jbankfin.2015.08.018.
• Dark, Jonathan, 2015, "Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH," Journal of Banking & Finance, Elsevier, volume 61, issue S2, pages 269-285, DOI: 10.1016/j.jbankfin.2015.08.017.
• Kaizoji, Taisei & Leiss, Matthias & Saichev, Alexander & Sornette, Didier, 2015, "Super-exponential endogenous bubbles in an equilibrium model of fundamentalist and chartist traders," Journal of Economic Behavior & Organization, Elsevier, volume 112, issue C, pages 289-310, DOI: 10.1016/j.jebo.2015.02.001.
• Righi, Marcelo Brutti & Ceretta, Paulo Sergio, 2015, "A comparison of Expected Shortfall estimation models," Journal of Economics and Business, Elsevier, volume 78, issue C, pages 14-47, DOI: 10.1016/j.jeconbus.2014.11.002.
• Barroso, Pedro & Santa-Clara, Pedro, 2015, "Momentum has its moments," Journal of Financial Economics, Elsevier, volume 116, issue 1, pages 111-120, DOI: 10.1016/j.jfineco.2014.11.010.
• Lyle, Matthew R. & Wang, Charles C.Y., 2015, "The cross section of expected holding period returns and their dynamics: A present value approach," Journal of Financial Economics, Elsevier, volume 116, issue 3, pages 505-525, DOI: 10.1016/j.jfineco.2015.03.001.
• Amaya, Diego & Christoffersen, Peter & Jacobs, Kris & Vasquez, Aurelio, 2015, "Does realized skewness predict the cross-section of equity returns?," Journal of Financial Economics, Elsevier, volume 118, issue 1, pages 135-167, DOI: 10.1016/j.jfineco.2015.02.009.
• Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2015, "Intra-daily volatility spillovers in international stock markets," Journal of International Money and Finance, Elsevier, volume 53, issue C, pages 95-114, DOI: 10.1016/j.jimonfin.2015.01.002.
• Li, Gang & Li, Yong, 2015, "Forecasting copper futures volatility under model uncertainty," Resources Policy, Elsevier, volume 46, issue P2, pages 167-176, DOI: 10.1016/j.resourpol.2015.09.009.
• Narayan, Paresh Kumar & Narayan, Seema & Westerlund, Joakim, 2015, "Do order imbalances predict Chinese stock returns? New evidence from intraday data," Pacific-Basin Finance Journal, Elsevier, volume 34, issue C, pages 136-151, DOI: 10.1016/j.pacfin.2015.07.003.
• Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur. M., 2015, "Combining momentum, value, and quality for the Islamic equity portfolio: Multi-style rotation strategies using augmented Black Litterman factor model," Pacific-Basin Finance Journal, Elsevier, volume 34, issue C, pages 205-232, DOI: 10.1016/j.pacfin.2014.12.006.
• Wang, Hao & Yue, Mengqi & Zhao, Hua, 2015, "Cojumps in China's spot and stock index futures markets," Pacific-Basin Finance Journal, Elsevier, volume 35, issue PB, pages 541-557, DOI: 10.1016/j.pacfin.2015.10.002.
• Vo, Minh & Cohen, Michael & Boulter, Terry, 2015, "Asymmetric risk and return: Evidence from the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, volume 35, issue PB, pages 558-573, DOI: 10.1016/j.pacfin.2015.10.003.
• Halari, Anwar & Tantisantiwong, Nongnuch & Power, David. M. & Helliar, Christine, 2015, "Islamic calendar anomalies: Evidence from Pakistani firm-level data," The Quarterly Review of Economics and Finance, Elsevier, volume 58, issue C, pages 64-73, DOI: 10.1016/j.qref.2015.02.004.
• Karmakar, Madhusudan & Shukla, Girja K., 2015, "Managing extreme risk in some major stock markets: An extreme value approach," International Review of Economics & Finance, Elsevier, volume 35, issue C, pages 1-25, DOI: 10.1016/j.iref.2014.09.001.
• Semenov, Andrei, 2015, "The small-cap effect in the predictability of individual stock returns," International Review of Economics & Finance, Elsevier, volume 38, issue C, pages 178-197, DOI: 10.1016/j.iref.2015.02.020.
• Vortelinos, Dimitrios I. & Lakshmi, Geeta, 2015, "Market risk of BRIC Eurobonds in the financial crisis period," International Review of Economics & Finance, Elsevier, volume 39, issue C, pages 295-310, DOI: 10.1016/j.iref.2015.04.012.
• Karagiannidis, Iordanis & Sykes Wilford, D., 2015, "Modeling fund and portfolio risk: A bi-modal approach to analyzing risk in turbulent markets," Review of Financial Economics, Elsevier, volume 25, issue C, pages 19-26, DOI: 10.1016/j.rfe.2015.02.005.
• Peláez, Rolando F., 2015, "Market-timing the business cycle," Review of Financial Economics, Elsevier, volume 26, issue C, pages 55-64, DOI: 10.1016/j.rfe.2015.03.003.
• Vortelinos, Dimitrios I., 2015, "Out-of-sample evaluation of macro announcements, linearity, long memory, heterogeneity and jumps in mini-futures markets," Review of Financial Economics, Elsevier, volume 27, issue C, pages 58-67, DOI: 10.1016/j.rfe.2015.09.001.
• Moumen, Néjia & Ben Othman, Hakim & Hussainey, Khaled, 2015, "The value relevance of risk disclosure in annual reports: Evidence from MENA emerging markets," Research in International Business and Finance, Elsevier, volume 34, issue C, pages 177-204, DOI: 10.1016/j.ribaf.2015.02.004.
• Abramov, Alexander & Radygin, Alexander & Chernova, Maria, 2015, "Long-term portfolio investments: New insight into return and risk," Russian Journal of Economics, Elsevier, volume 1, issue 3, pages 273-293, DOI: 10.1016/j.ruje.2015.12.001.
• Javier Prado-Dominguez & Carlos Fernández-Herráiz, 2015, "A Sharpe-ratio-based measure for currencies," European Journal of Government and Economics, Europa Grande, volume 4, issue 1, pages 67-75, June.
• Thomas Theobald, 2015, "Agent-based risk management – a regulatory approach to financial markets," Journal of Economic Studies, Emerald Group Publishing Limited, volume 42, issue 5, pages 780-820, October, DOI: 10.1108/JES-03-2013-0039.
• P. K. Gupta & Sanjeev Gupta, 2015, "Corporate frauds in India – perceptions and emerging issues," Journal of Financial Crime, Emerald Group Publishing Limited, volume 22, issue 1, pages 79-103, January, DOI: 10.1108/JFC-07-2013-0045.
• Ling T. He, 2015, "Forecasting of housing stock returns and housing prices," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 7, issue 2, pages 90-103, May, DOI: 10.1108/JFEP-01-2014-0004.
• Prateek Sharma & Vipul _, 2015, "Forecasting stock index volatility with GARCH models: international evidence," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 32, issue 4, pages 445-463, October, DOI: 10.1108/SEF-11-2014-0212.
• Asai, M. & McAleer, M.J., 2015, "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2015-06, Feb.
• Ling, S. & McAleer, M.J. & Tong, H., 2015, "Frontiers in Time Series and Financial Econometrics," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2015-07, Feb.
• Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2015, "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2015-14, May.
• Chang, C-L. & Jiménez-Martín, J.A. & Maasoumi, E. & McAleer, M.J., 2015, "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2015-38, Dec.
• Mohsen Ghobadi, Mitra Torabi, 2015, "Investment Rankings Based On Technical Analysis By Fuzzy Mcdm In Tehran Stock Exchange," Ekonomika, Journal for Economic Theory and Practice and Social Issues, „Ekonomika“ Society of Economists, Niš (Serbia), number 2015-02, Jun.
• Óscar V. De la Torre Torres. & Evaristo Galeana Figueroa. & Dora Aguilasocho Montoya., 2015, "An Actual Position Benchmark for Mexican Pension Funds Performance," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, volume 43, issue 2, pages 133-154, Julio-Dic, DOI: 10.24275/ETYPUAM/NE/432015/DelaTorr.
• Catherine Bruneau & Alexis Flageollet & Zhun Peng, 2015, "Risk Factors, Copula Dependence and Risk Sensitivity of a Large Portfolio," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 15-03.
• Krzysztof DRACHAL, 2015, "The Structural Stability of a One-Day Risk Premium in View of the Recent Financial Crisis," Expert Journal of Economics, Sprint Investify, volume 3, issue 2, pages 136-142.
• Chaker Aloui & Hela BEN HAMIDA, 2015, "Estimation and Performance Assessment of Value-at-Risk and Expected Shortfall Based on Long-Memory GARCH-Class Models," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 65, issue 1, pages 30-54, January.
• Roman Horváth & Boril Sopov, 2015, "GARCH Models, Tail Indexes and Error Distributions: An Empirical Investigation," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2015/09, May, revised May 2015.
• Jozef Barunik & Barbora Malinska, 2015, "Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2015/25, Nov, revised Nov 2015.
• Michael B. Gordy & Pawel J. Szerszen, 2015, "Bayesian Estimation of Time-Changed Default Intensity Models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-2, Jan, DOI: 10.17016/FEDS.2015.002.
• Christopher J. Neely, 2015, "Financial Engineering Versus Cancer," Economic Synopses, Federal Reserve Bank of St. Louis, issue 18.
• Fernando M. Duarte & Carlo Rosa, 2015, "The equity risk premium: a review of models," Economic Policy Review, Federal Reserve Bank of New York, issue 2, pages 39-57.
• Fernando M. Duarte & Carlo Rosa, 2015, "The equity risk premium: a review of models," Staff Reports, Federal Reserve Bank of New York, number 714, Feb.
• Tobias Adrian & Richard K. Crump & Erik Vogt, 2015, "Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds," Staff Reports, Federal Reserve Bank of New York, number 723, Apr.
• Ravioli, Mario & Fabregat-Aibar, Laura, 2015, "Analysis Of Recommendations About Expected Prices Of Ibex 35 Using Fuzzy Numbers," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 1, pages 51-70, May.
• Yanina Laumann, 2015, "Analysis Of Beta Coefficients In The Brazilian Stock Market Using Fuzzy Linear Regression Methodology," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 2, pages 3-17, November.
• Joseph P. Byrne & Shuo Cao. & Dimitris Korobilis., 2015, "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Working Papers, Business School - Economics, University of Glasgow, number 2015_08, Feb.
• Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015, "Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula," Working Papers, Business School - Economics, University of Glasgow, number 2015_15, Feb.
• Nuno Silva, 2015, "Time-Varying Stock Return Predictability: The Eurozone Case," Notas Económicas, Faculty of Economics, University of Coimbra, issue 41, pages 28-38, June.
• António Alberto Santos, 2015, "The evolution of the Volatility in Financial Returns: Realized Volatility vs Stochastic Volatility Measures," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2015-10, Apr.
• António A. F. Santos, 2015, "On the Forecasting of Financial Volatility Using Ultra-High Frequency Data," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2015-17, Aug.
• Nuno Silva, 2015, "Industry based equity premium forecasts," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2015-19, Dec.
• Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015, "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-01159741, Jun.
• Guillaume Arnould & Catherine Bruneau & Zhun Peng, 2015, "Liquidity and Equity Short term fragility: Stress-tests for the European banking system," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-01254729, Dec.
• Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015, "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Post-Print, HAL, number hal-01159741, Jun.
• Laurent E. Calvet & Veronika Czellar, 2015, "Accurate Methods for Approximate Bayesian Computation Filtering," Post-Print, HAL, number hal-02313212, Oct, DOI: 10.1093/jjfinec/nbu019.
• Guillaume Arnould & Catherine Bruneau & Zhun Peng, 2015, "Liquidity and Equity Short term fragility: Stress-tests for the European banking system," Post-Print, HAL, number halshs-01254729, Dec.
• Antonello Lobianco & Arnaud A. Dragicevic & Antoine Leblois, 2015, "Forest planning and productivity-risk trade-off through the Markowitz mean-variance model," Working Papers, HAL, number hal-01627581.
• Edina Berlinger & György Walter, 2015, "Introduction of an Income Contingent Repayment Scheme for Non-Performing Mortgage Loans - Lessons from Hungary’s Case," KRTK-KTI WORKING PAPERS, Institute of Economics, Centre for Economic and Regional Studies, number 1502, Jan.
• Daniel Havran & Kata Varadi, 2015, "Price Impact and the Recovery of the Limit Order Book: Why Should We Care About Informed Liquidity Providers?," KRTK-KTI WORKING PAPERS, Institute of Economics, Centre for Economic and Regional Studies, number 1540, Aug.
• De Rezende, Rafael B., 2015, "Risks in macroeconomic fundamentals and excess bond returns predictability," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 295, Feb.
• Misund, Bård, 2015, "Financial Ratios and Prediction on Corporate Bankruptcy in the Atlantic Salmon Industry," UiS Working Papers in Economics and Finance, University of Stavanger, number 2015/9, Dec.
• Takamizawa, Hideyuki & 髙見澤, 秀幸, 2015, "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series, Hitotsubashi University Center for Financial Research, number G-1-9, May.
• Radu Lupu & Adrian Cantemir Calin & Georgiana Roxana Ene, 2015, "Are the Announcements Regarding Macroeconomic Fundamentals Responsible for Changes in the Dynamics of Stock Markets? CEE vs Developed Markets," Hyperion Economic Journal, Faculty of Economic Sciences, Hyperion University of Bucharest, Romania, volume 3, issue 3, pages 3-13, September.
• Jun-Biao Lin, 2015, "Hedging Strategy Comparisons Of Volatility Index Options Using Diffusion Models," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 9, issue 3, pages 59-69.
• Eduardo Sandoval, 2015, "Small Vs Large Caps. Evidence From Developed And Emerging Stock Markets During Periods With And Without Financial Crisis, Small Vs Large Caps. Evidencia De Mercados Accionarios Desarrollados Y Emergentes En Periodos Con Vs Sin Crisis Financiera," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 8, issue 4, pages 27-44.
• Toshinao Yoshiba, 2015, "Risk Aggregation with Copula for Banking Industry," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 15-E-01, Jan.
• Oscar V. De la Torre Torres & María Isabel Martínez Torre-Enciso, 2015, "Revisión de la Inversión Sustentable en La Bolsa Mexicana Durante Periodos de Crisis," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 10, issue 2, pages 115-130, Julio-Dic.
• Sumit Agarwal & Itzhak Ben-David & Vincent Yao, 2015, "Collateral Valuation and Borrower Financial Constraints: Evidence from the Residential Real Estate Market," Management Science, INFORMS, volume 61, issue 9, pages 2220-2240, September, DOI: 10.1287/mnsc.2014.2002.