Research classified by Journal of Economic Literature (JEL) codes

2015

• Deaves, Richard & Lei, Jin & Schröder, Michael, 2015, "Forecaster overconfidence and market survey performance," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 218.
• Schmallowsky, Katrin, 2015, "Unternehmensbewertung mit Monte-Carlo-Simulationen," Wismar Discussion Papers, Hochschule Wismar, Wismar Business School, number 02/2015.
• Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2015, "Nonlinear expectation formation in the U.S. stock market: Empirical evidence from the Livingston survey," Kiel Working Papers, Kiel Institute for the World Economy, number 1947 [rev.].
• Baetje, Fabian & Menkhoff, Lukas, 2015, "Equity premium prediction: Are economic and technical indicators instable?," Kiel Working Papers, Kiel Institute for the World Economy, number 1987.
• Zhang, Junni L. & Härdle, Wolfgang Karl & Chen, Cathy Y. & Bommes, Elisabeth, 2015, "Distillation of news flow into analysis of stock reactions," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-005.
• Chao, Shih-Kang & Härdle, Wolfgang Karl & Yuan, Ming, 2015, "Factorisable sparse tail event curves," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-034.
• Lu, Meng-Jou & Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl, 2015, "Copula-based factor model for credit risk analysis," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-042.
• Xu, Xiu & Mihoci, Andrija & Härdle, Wolfgang Karl, 2015, "lCARE: Localizing conditional autoregressive expectiles," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-052.
• Conrad, Christian & Schienle, Melanie, 2015, "Misspecification Testing in GARCH-MIDAS Models," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association, number 112919.
• Baetje, Fabian & Menkhoff, Lukas, 2015, "Equity premium prediction: Are economic and technical indicators instable?," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association, number 113079.
• Deaves, Richard & Lei, Jin & Schröder, Michael, 2015, "Forecaster overconfidence and market survey performance," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 15-029.
• Deni Memic, 2015, "Assessing Credit Default using Logistic Regression and Multiple Discriminant Analysis: Empirical Evidence from Bosnia and Herzegovina," Interdisciplinary Description of Complex Systems - scientific journal, Croatian Interdisciplinary Society Provider Homepage: http://indecs.eu, volume 13, issue 1, pages 128-153.
• Florian Schaffner, 2015, "Predicting US bank failures with internet search volume data," ECON - Working Papers, Department of Economics - University of Zurich, number 214, Dec.

2014

• João Bastos, 2014, "Ensemble Predictions of Recovery Rates," Journal of Financial Services Research, Springer;Western Finance Association, volume 46, issue 2, pages 177-193, October, DOI: 10.1007/s10693-013-0165-3.
• Maximilian Brauers & Matthias Thomas & Joachim Zietz, 2014, "Are There Rational Bubbles in REITs? New Evidence from a Complex Systems Approach," The Journal of Real Estate Finance and Economics, Springer, volume 49, issue 2, pages 165-184, August, DOI: 10.1007/s11146-013-9420-5.
• Pengguo Wang, 2014, "On the relevance of earnings components in valuation and forecasting," Review of Quantitative Finance and Accounting, Springer, volume 42, issue 3, pages 399-413, April, DOI: 10.1007/s11156-013-0347-y.
• Sorin Claudiu Radu, 2014, "Testing the Market Model – A Case Study of Fondul Proprietatea (FP)," Knowledge Horizons - Economics, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, volume 6, issue 1, pages 126-131, March.
• Ralf Brüggemann & Markus Glaser & Stefan Schaarschmidt & Sandra Stankiewicz, 2014, "The Stock Return - Trading Volume Relationship in European Countries: Evidence from Asymmetric Impulse Responses," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2014-24, Dec.
• Alina Kvietkauskienė, 2014, "Real Time Investments with Adequate Portfolio Theory," Entrepreneurial Business and Economics Review, Centre for Strategic and International Entrepreneurship at the Cracow University of Economics., volume 2, issue 4, pages 85-100.
• Eþref Savaþ BAÞÇI & Öznur SAKINÇ, 2014, "Determinants of Bank Profitability in Turkey: An Empirical Analysis on Types of Banking from 2002 to 2012," Journal of Social and Administrative Sciences, KSP Journals, volume 1, issue 1, pages 3-8, December.
• Marielle Brunette & Arnaud Dragicevic & Jonathan Lenglet & Alexandra Niedzwiedz & Vincent Badeau & Jean-Luc Dupouey, 2014, "Portfolio management of mixed-species forests," Working Papers - Cahiers du LEF, Laboratoire d'Economie Forestiere, AgroParisTech-INRA, number 2014-09, Aug, revised Aug 2014.
• Ömer Akgöbek & Emre Yakut, 2014, "Efficiency measurement in Turkish manufacturing sector using Data Envelopment Analysis (DEA) and Artificial Neural Networks (ANN)," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 2, issue 3, pages 35-45, June.
• Joocheol Kim & Eunhwan Kim, 2014, "An Empirical Analysis on Credit Risk Models and its Application," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 2, issue 4, pages 14-27, August.
• Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014, "Testing for Leverage Effects in the Returns of US Equities," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 14022r, Feb, revised Jan 2017, DOI: 10.1016/j.jempfin.2018.07.008.
• Bertrand K Hassani, 2014, "Risk Appetite in Practice: Vulgaris Mathematica," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 14037, Apr.
• Cottarelli, Carlo & Gerson, Philip & Senhadji, Abdelhak (ed.), 2014, "Post-crisis Fiscal Policy," MIT Press Books, The MIT Press, number 0262027186, edition 1, ISBN: ARRAY(0x8aae0fc0), December.
• Oliver D. Bunn & Robert J. Shiller, 2014, "Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013," NBER Working Papers, National Bureau of Economic Research, Inc, number 20370, Aug.
• Zhi Da & Ravi Jagannathan & Jianfeng Shen, 2014, "Growth Expectations, Dividend Yields, and Future Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 20651, Oct.
• Benjamin Golez & Peter Koudijs, 2014, "Four Centuries of Return Predictability," NBER Working Papers, National Bureau of Economic Research, Inc, number 20814, Dec.
• Cociuba Mihail Ioan & Zapodeanu Daniela & Kulcsar Edina, 2014, "Backtesting Value At Risk Models In The Presence Of Structural Break On The Romanian And Hungarian Stock Markets," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 802-812, July.
• Batrancea Ioan & Andone Diana & Csegedi sandor & Gaban Lucian, 2014, "Modalities Of Financial Structure Analysis In Romanian Entities In The Post Crisis Era," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 813-819, July.
• Ciumas Cristina & Chis Diana-Maria, 2014, "Pricing And Assessing Unit-Linked Insurance Contracts With Investment Guarantees," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 864-873, July.
• Maris Angela & Andone Diana & Csegedi Sandor & Gaban Lucian, 2014, "Aggregate Rating Model In The Tourism Industry," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 959-965, July.
• Droj Laurentiu, 2014, "Financial Indicators For The Romanian Companies Between Eligibility And Bankability Of Eu Financed Projects," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 332-341, December.
• Ai Deng, 2014, "Understanding Spurious Regression in Financial Economics," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 1, pages 122-150.
• Mark Hallam & Jose Olmo, 2014, "Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 2, pages 408-432.
• Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014, "Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty," Review of Finance, European Finance Association, volume 18, issue 1, pages 219-269.
• Kevin Sheppard & Wen Xu, 2014, "Factor High-Frequency Based Volatility (HEAVY) Models," Economics Series Working Papers, University of Oxford, Department of Economics, number 710, May.
• Massimiliano Caporin & Aleksey Kolokolov & Roberto RenoÕ, 2014, "Multi-jumps," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0185, Sep.
• Marina Pando & Melissa Villanueva, 2014, "¿Logra el modelo de Heston captar la dinámica de la volatilidad en los mercados de opciones sobre divisas mejor que el modelo de Garman y Kohlhagen? Un análisis para opciones sobre USD/EUR y PEN/USD," Chapters of Books, Fondo Editorial, Universidad del Pacífico, chapter 10, in: Francisco B. Galarza, "Economía aplicada: Ensayos de investigación económica 2013".
• Pawel Antonowicz, 2014, "The analysis of ranges of variability of selected ratios from a group of assets productivity ratios three years before the declaration of bankruptcy by companies in Poland," Business and Economic Horizons (BEH), Prague Development Center, volume 10, issue 3, pages 202-213, October.
• Sebastian Majewski, 2014, "Modelling of football companies' rates of return according to sport results and bookmakers' expectations on the example of serie A," Business and Economic Horizons (BEH), Prague Development Center, volume 10, issue 3, pages 214-222, October.
• Magdalena Mosionek-Schweda, 2014, "The Use Of Discriminant Analysis To Predict The Bankruptcy Of Companies Listed On The Newconnect Market," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 9, issue 3, pages 87-105, September, DOI: 10.12775/EQUIL.2014.019.
• Olkhov, Victor, 2014, "Expressions of market-based correlations between prices and returns of two assets," MPRA Paper, University Library of Munich, Germany, number 123009, Dec.
• Demiralay, Sercan & Ulusoy, Veysel, 2014, "Value-at-risk Predictions of Precious Metals with Long Memory Volatility Models," MPRA Paper, University Library of Munich, Germany, number 53229, Jan.
• Byrne, Joseph P & Korobilis, Dimitris & Ribeiro, Pinho J, 2014, "Exchange Rate Predictability in a Changing World," MPRA Paper, University Library of Munich, Germany, number 53684, Feb.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014, "Strategies on initial public offering of company equity at stock exchanges in imperfect highly volatile global capital markets with induced nonlinearities," MPRA Paper, University Library of Munich, Germany, number 53769, Feb.
• Grajales Correa, Carlos Alexander & Pérez Ramírez, Fredy Ocaris & Venegas-Martínez, Francisco, 2014, "Análisis comparativo de modelos para estimar la distribución de la volatilidad de series financieras de rendimientos
  [A Comparative Analysis of Models for Estimating the Volatility Distribution of Financial Returns Series]," MPRA Paper, University Library of Munich, Germany, number 54845, Mar.
• Sever, Can, 2014, "Systemic Liquidity Crisis with Dynamic Haircuts," MPRA Paper, University Library of Munich, Germany, number 55602, Apr.
• Fung, Ka Wai Terence & Demir, Ender & Zhou, Lu, 2014, "Capital Asset Pricing Model and Stochastic Volatility: A Case study of India," MPRA Paper, University Library of Munich, Germany, number 56180.
• Yu, Eric Jinsan, 2014, "Predictive Power of Aggregate Short Interest," MPRA Paper, University Library of Munich, Germany, number 56259, May.
• Kakorina, Ekaterina, 2014, "Forecasting conditional volatility on the RIN market using MS GARCH model," MPRA Paper, University Library of Munich, Germany, number 56704, Jul.
• Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla & Masih, A. Mansur M., 2014, "Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model," MPRA Paper, University Library of Munich, Germany, number 56965, Jun.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014, "On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper, University Library of Munich, Germany, number 57084, Jul.
• Proietti, Tommaso, 2014, "Exponential Smoothing, Long Memory and Volatility Prediction," MPRA Paper, University Library of Munich, Germany, number 57230, Jul.
• Ortiz-Arango, Francisco & Cabrera-Llanos, Agustín I. & Venegas-Martínez, Francisco, 2014, "Euro Exchange Rate Forecasting with Differential Neural Networks with an Extended Tracking Procedure," MPRA Paper, University Library of Munich, Germany, number 57720, Aug.
• Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2014, "Multi-jumps," MPRA Paper, University Library of Munich, Germany, number 58175, Aug.
• Estrada, Fernando, 2014, "Financial crisis in The Arcades Project of Walter Benjamin," MPRA Paper, University Library of Munich, Germany, number 58483.
• Gusev, Maxim & Kroujiline, Dimitri & Govorkov, Boris & Sharov, Sergey V. & Ushanov, Dmitry & Zhilyaev, Maxim, 2014, "Predictable markets? A news-driven model of the stock market," MPRA Paper, University Library of Munich, Germany, number 58831, Apr.
• Estrada, Fernando, 2014, "Rescate y costos del riesgo financiero
  [Rescue costs and financial risk]," MPRA Paper, University Library of Munich, Germany, number 58848.
• Mynhardt, H. R. & Plastun, Alex & Makarenko, Inna, 2014, "Behavior of Financial Markets Efficiency During the Financial Market Crisis: 2007-2009," MPRA Paper, University Library of Munich, Germany, number 58942.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014, "On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper, University Library of Munich, Germany, number 59770, Jul.
• Jin, Xin & Maheu, John M, 2014, "Bayesian Semiparametric Modeling of Realized Covariance Matrices," MPRA Paper, University Library of Munich, Germany, number 60102, Nov.
• Shahzad, Syed Jawad Hussain & Zakaria, Muhammad & Raza, Naveed & Ali, Sajid, 2014, "On the Bank Stocks Return and Volatility: Tale of a South Asian Economy," MPRA Paper, University Library of Munich, Germany, number 60155, Nov.
• Sinchugova, Regina, 2014, "Акции С Наибольшей Доходностью
  [Stocks with highest yield]," MPRA Paper, University Library of Munich, Germany, number 60902.
• Pönkä, Harri, 2014, "Predicting the direction of US stock markets using industry returns," MPRA Paper, University Library of Munich, Germany, number 62942, Feb.
• Emara, Noha, 2014, "Predictive ability of three different estimates of “cay” to excess stock returns - A comparative study South Africa & U.S. -," MPRA Paper, University Library of Munich, Germany, number 68684.
• Emara, Noha, 2014, "Predictive ability of three different estimates of “cay” to excess stock returns - A comparative study Germany & U.S -," MPRA Paper, University Library of Munich, Germany, number 68686.
• FERROUHI, El Mehdi & LEHADIRI, Abderrassoul, 2014, "Savings Determinants of Moroccan banks: A cointegration modeling approach," MPRA Paper, University Library of Munich, Germany, number 76371, Nov.
• BEKHALED, Aicha & DADENE, Abdelghani & CHIKHI, Mohamed, 2014, "اختبار القدرة على التنبؤ بعوائد مؤشر سوق الدار البيضاء المالي من 2007 إلى 2011
  [Testing the Predictability of Casablanca Stock Exchange Returns (2007-2011)]," MPRA Paper, University Library of Munich, Germany, number 76629, revised 2014.
• Toda, Alexis Akira & Walsh, Kieran James, 2014, "The Equity Premium and the One Percent," MPRA Paper, University Library of Munich, Germany, number 79009, Mar, revised 28 Feb 2017.
• Degiannakis, Stavros & Dent, Pamela & Floros, Christos, 2014, "A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification," MPRA Paper, University Library of Munich, Germany, number 80431.
• Lupu, Dan & Asandului, Mircea, 2014, "Considerations on the relantionship between exchange rates and stock markets in Eastern Europe in time of crisis," MPRA Paper, University Library of Munich, Germany, number 95507, Sep.
• Adnen Ben Nasr & Thomas Lux & Ahdi N. Ajmi & Rangan Gupta, 2014, "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," Working Papers, University of Pretoria, Department of Economics, number 201412, Mar.
• Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2014, "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Working Papers, University of Pretoria, Department of Economics, number 201422, May.
• Paresh K. Narayan & Rangan Gupta, 2014, "Has Oil Pirce Predicted Stock Returns for Over a Century?," Working Papers, University of Pretoria, Department of Economics, number 201446, Aug.
• Sasson Bar-Yosef & Itzhak Venezia, 2014, "An Experimental Study of Overconfidence in Accounting Numbers Predictions," International Journal of Economic Sciences, Prague University of Economics and Business, volume 2014, issue 1, pages 78-89.
• Eirini Konstantinidi & George Skiadopoulos, 2014, "How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns," Working Papers, Queen Mary University of London, School of Economics and Finance, number 732, Oct.
• Vincent Lacoste & Pierre Six, 2014, "A Partial Equilibrium Model of the Convenience Yield Risk Premium of Storable Commodities," Bankers, Markets & Investors, ESKA Publishing, issue 130, pages 24-40, May-June.
• Gadi Barlevy & Fernando Alvarez, 2014, "Mandatory Disclosure and Financial Contagion," 2014 Meeting Papers, Society for Economic Dynamics, number 115.
• Sydney Ludvigson & Martin Lettau & Daniel Greenwald, 2014, "The Origins of Stock Market Fluctuations," 2014 Meeting Papers, Society for Economic Dynamics, number 542.
• Gino Cenedese & Lucio Sarno & Ilias Tsiakas, 2014, "Foreign Exchange Risk and the Predictability of Carry Trade Returns," Working Paper series, Rimini Centre for Economic Analysis, number 02_14, Feb.
• Leonardo Becchetti & Rocco Ciciretti & Ambrogio Dalo & Stefano Herzel, 2014, "Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis," Working Paper series, Rimini Centre for Economic Analysis, number 04_14, Feb.
• Jiahan Li & Ilias Tsiakas & Wei Wang, 2014, "Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?," Working Paper series, Rimini Centre for Economic Analysis, number 05_14, Feb.
• Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014, "Exchange Rate Predictability in a Changing World," Working Paper series, Rimini Centre for Economic Analysis, number 06_14, Feb.
• Xin Jin & John M. Maheu, 2014, "Bayesian Semiparametric Modeling of Realized Covariance Matrices," Working Paper series, Rimini Centre for Economic Analysis, number 34_14, Nov.
• Marcio Garcia & Marcelo Medeiros & Francisco Eduardo de Luna e Almeida Santos, 2014, "Economic gains of realized volatility in the Brazilian stock market," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 624, May.
• Valeriya Lakshina, 2014, "Is it possible to break the «curse of dimensionality»? Spatial specifications of multivariate volatility models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 36, issue 4, pages 61-78.
• Ahmet Bostancı & Turhan Korkmaz, 2014, "Comparison of Value at Risk Calculation Models in Terms of Banks’ Capital Adequacy Ratio," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 5, issue 3, pages 15-41.
• Neilan Soylu & Turhan Korkmaz & Emrah İsmail Çevik, 2014, "The Impact of Central Bank Interest Rate Releases on Financial Markets," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 5, issue 4, pages 89-118.
• Raisul Islam, 2014, "A Comparison of the Long Term Interdependence of Southeast Asian Equity Markets," East Asian Economic Review, Korea Institute for International Economic Policy, volume 18, issue 2, pages 187-212, DOI: 10.11644/KIEP.JEAI.2014.18.2.280.
• Rogelio Maldonado & Natalia Zapata & Javier Pantoja, 2014, "Dynamic estimation of an interest rate structure in Colombia. Empirical analysis using the Kalman filter," Journal of Economics, Finance and Administrative Science, Universidad ESAN, volume 19, issue 37, pages 70-77.
• Iulian Viorel Brasoveanu & Florin Dobre & Laura Brad, 2014, "Increasing Financial Audit Quality Using A New Model To Estimate Financial Performance," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 88-107, October.
• Radu Lupu, 2014, "Simultaneity of Tail Events for Dynamic Conditional Distributions of Stock Market Index Returns," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 49-64, December.
• Albu, Lucian Liviu & Lupu, Radu & Calin, Cantemir, 2014, "A Nonlinear Model to Estimate the Long Term Correlation between Market Capitalization and GDP per capita in Eastern EU Countries," Working Papers of Institute for Economic Forecasting, Institute for Economic Forecasting, number 141115, Nov.
• Francesco Benedetto & Gaetano Giunta & Loretta Mastroeni, 2014, "Maximum entropy estimator for the predictability of energy commodity market time series," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0192, Jul.
• Leonardo Becchetti & Rocco Ciciretti & Ambrogio Dalò & Stefano Herzel, 2014, "Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis," CEIS Research Paper, Tor Vergata University, CEIS, number 310, Feb, revised 18 Feb 2014.
• Tommaso Proietti, 2014, "Exponential Smoothing, Long Memory and Volatility Prediction," CEIS Research Paper, Tor Vergata University, CEIS, number 319, Jul, revised 30 Jul 2014.
• Elie Bouri & Georges Azzi, 2014, "On the Dynamic Transmission of Mean and Volatility across the Arab Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 13, issue 3, pages 279-304, December, DOI: 10.1177/0972652714552041.
• Maxime Bonelli & Daniel Mantilla-Garcia, 2014, "Should a skeptical portfolio insurer use an optimal or a risk-based multiplier?," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 0802327, Oct.
• Nils Wittmann & Eppinger Marcus, 2014, "Market Inefficiencies and Forecastability of Spot Rates in the Shipping Sector," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 0900012, Dec.
• Lidan Grossmass, 2014, "Obtaining and Predicting the Bounds of Realized Correlations," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 150, issue III, pages 191-226, September.
• Rendón De la Torre, Stephanie, 2014, "Aplicación de análisis multifractal de exponentes de Hölder en mercados financieros mexicanos : índice accionario IPC y tipo de cambio USD/MXN / A Multifractal Analysis Application of Hölder Exponents in Mexican Financial Markets: Mexican Stock Index," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 4, issue 2, pages 191-208, julio-dic.
• A. Malliaris & Mary Malliaris, 2014, "N-tuple S&P patterns across decades, 1950–2011," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, volume 22, issue 2, pages 339-353, June, DOI: 10.1007/s10100-013-0298-3.
• Manuel Hernandez & Maximo Torero, 2014, "Parametric versus nonparametric methods in risk scoring: an application to microcredit," Empirical Economics, Springer, volume 46, issue 3, pages 1057-1079, May, DOI: 10.1007/s00181-013-0703-8.
• Masato Ubukata & Toshiaki Watanabe, 2014, "Market variance risk premiums in Japan for asset predictability," Empirical Economics, Springer, volume 47, issue 1, pages 169-198, August, DOI: 10.1007/s00181-013-0741-2.
• Yanhui Chen & Kin Lai & Jiangze Du, 2014, "Modeling and forecasting Hang Seng index volatility with day-of-week effect, spillover effect based on ARIMA and HAR," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 4, issue 2, pages 113-132, December, DOI: 10.1007/s40822-015-0013-x.
• Seokchin Kim & Cheolho Park & Youngjun Yun, 2014, "Hedging with mini gold futures: evidence from Korea," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 4, issue 2, pages 163-176, December, DOI: 10.1007/s40822-014-0012-3.
• Huifang Yin & Huai Zhang, 2014, "Tournaments of financial analysts," Review of Accounting Studies, Springer, volume 19, issue 2, pages 573-605, June, DOI: 10.1007/s11142-013-9255-6.
• Nerissa C. Brown & Theodore E. Christensen, 2014, "The quality of street cash flow from operations," Review of Accounting Studies, Springer, volume 19, issue 2, pages 913-954, June, DOI: 10.1007/s11142-014-9276-9.
• Lyudmila G. Egorova, 2014, "Agent-Based Models of Stock Exchange: Analysis via Computational Simulation," Springer Optimization and Its Applications, Springer, in: Valery A. Kalyagin & Panos M. Pardalos & Themistocles M. Rassias, "Network Models in Economics and Finance", DOI: 10.1007/978-3-319-09683-4_8.
• Markus Haavio & Caterina Mendicino & Maria Teresa Punzi, 2014, "Financial and economic downturns in OECD countries," Applied Economics Letters, Taylor & Francis Journals, volume 21, issue 6, pages 407-412, April, DOI: 10.1080/13504851.2013.864025.
• Manabu Asai & Michael McAleer, 2014, "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-037/III, Mar.
• Lukasz Gatarek & Lennart Hoogerheide & Herman K. van Dijk, 2014, "Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-039/III, Mar.
• Francine Gresnigt & Erik Kole & Philip Hans Franses, 2014, "Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-067/III, Jun.
• Anne Opschoor & Dick van Dijk & Michel van der Wel, 2014, "Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-090/III, Jul.
• Elias Einiö, 2014, "R&D Subsidies and Company Performance: Evidence from Geographic Variation in Government Funding Based on the ERDF Population-Density Rule," The Review of Economics and Statistics, MIT Press, volume 96, issue 4, pages 710-728, October.
• Slavko Vukic & Danijel Knezevic, 2014, "The Impact Of Demographic Changes On The Pension System Financing Sustainability In The Federation Of Bosnia And Herzegovina," Economic Review: Journal of Economics and Business, University of Tuzla, Faculty of Economics, volume 12, issue 1, pages 43-54.
• Manabu Asai & Michael McAleer, 2014, "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2014-05, Mar.
• Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Teodosio Pérez Amaral, 2014, "A Stochastic Dominance Approach to Financial Risk Management Strategies," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2014-08, revised Apr 2014.
• Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014, "Linking the problems of estimating and allocating unconditional capital," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2014-13, Jun.
• Martin Lettau & Sydney C. Ludvigson, 2014, "Shocks and Crashes," NBER Macroeconomics Annual, University of Chicago Press, volume 28, issue 1, pages 293-354, DOI: 10.1086/674605.
• Tae-Hwy Lee & Yundong Tu & Aman Ullah, 2014, "Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting," Working Papers, University of California at Riverside, Department of Economics, number 201404, Sep.
• Tae-Hwy Lee & Yundong Tu & Aman Ullah, 2014, "Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints," Working Papers, University of California at Riverside, Department of Economics, number 201405, Sep.
• Tae-Hwy Lee & Huiyu Huang, 2014, "Forecasting Realized Volatility Using Subsample Averaging," Working Papers, University of California at Riverside, Department of Economics, number 201410, Sep.
• Buncic, Daniel & Moretto, Carlo, 2014, "Forecasting Copper Prices with Dynamic Averaging and Selection Models," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1430, Sep.
• Buncic, Daniel & Piras, Gion Donat, 2014, "Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1436, Dec, revised Oct 2015.
• Anamaria CIOBANU, 2014, "Figures that Matter in Cash Flows Forecast," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 9, issue 1, pages 94-108.
• Roberto Casarin & Fabrizio Leisen & German Molina & Enrique Ter Horst, 2014, "A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2014:22.
• Roberto Casarin & Daniel Felix Ahelegbey & Monica Billio, 2014, "Sparse Graphical Vector Autoregression: A Bayesian Approach," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2014:29.
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• Mikhail Stolbov, 2014, "How Are Interbank and Sovereign Debt Markets Linked? Evidence from 14 OECD Countries, the Euro Area and Russia," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 61, issue 3, pages 331-348.
• Miśkiewicz-Nawrocka Monika, 2014, "The Application of Random Noise Reduction By Nearest Neighbor Method To Forecasting of Economic Time Series," Folia Oeconomica Stetinensia, Sciendo, volume 13, issue 2, pages 96-108, July, DOI: 10.2478/foli-2013-0020.
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• Marc S. Paolella, 2014, "Fast Methods For Large-Scale Non-Elliptical Portfolio Optimization," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 9, issue 02, pages 1-32, DOI: 10.1142/S2010495214400016.
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• Kablau, Anke & Weiß, Matthias, 2014, "Wie wirkt sich das Niedrigzinsumfeld auf die Solvabilität der deutschen Lebensversicherer aus?," Discussion Papers, Deutsche Bundesbank, number 27/2014.
• Kablau, Anke & Weiß, Matthias, 2014, "How is the low-interest-rate environment affecting the solvency of German life insurers?," Discussion Papers, Deutsche Bundesbank, number 27/2014e.
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• Başçi, Eşref Savaş & Memiş, Fatih, 2014, "A Comparion of the Performances of Type A Mutual Funds Before and After 2008 Global Economic Crisis in Turkey," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 1, issue 1, pages 3-8, DOI: 10.1453/jsas.v1i1.117.
• Kohn, Wolfgang, 2014, "Stop Waiting Problem: Decision Rule with Ψ function and Application with Share Prices," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 93096, Mar.
• Kohn, Wolfgang, 2014, "Last Success Problem: Decision Rule and Application," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 97215.
• Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2014, "Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 11.
• Ben Nasr, Adnen & Lux, Thomas & Ajmi, Ahdi Noomen & Gupta, Rangan, 2014, "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 2.
• Žikeš, Filip & Baruník, Jozef, 2014, "Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 20.
• Recchioni, Maria Cristina & Tedeschi, Gabriele & Gallegati, Mauro, 2014, "A calibration procedure for analyzing stock price dynamics in an agent-based framework," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 26.
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• Härdle, Wolfgang Karl & Mihoci, Andrija & Ting, Christopher Hian-Ann, 2014, "Adaptive order flow forecasting with multiplicative error models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-035.
• Benschopa, Thijs & López Cabreraa, Brenda, 2014, "Volatility modelling of CO₂ emission allowance spot prices with regime-switching GARCH models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-050.
• Marko Milojević & Ivica Terzić, 2014, "Modeling Market Risk In Frontier Equity Markets—Evidence From Serbia," CBU International Conference Proceedings, ISE Research Institute, volume 2, issue 0, pages 126-133, July, DOI: 10.12955/cbup.v2.455.
• Mária Bohdalová & Michal Greguš, 2014, "Cointegration Analysis Of The Foreign Exchange Rate Pairs," CBU International Conference Proceedings, ISE Research Institute, volume 2, issue 0, pages 147-153, July, DOI: 10.12955/cbup.v2.497.
• Michael Creel & Dennis Kristensen, 2014, "ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-30, Aug.
• Massimiliano Caporin & Luca Corazzini & Michele Costola, 2014, "Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-33, Sep.
• Eugene F. Fama, 2014, "Two Pillars of Asset Pricing," American Economic Review, American Economic Association, volume 104, issue 6, pages 1467-1485, June.
• Robert J. Shiller, 2014, "Speculative Asset Prices," American Economic Review, American Economic Association, volume 104, issue 6, pages 1486-1517, June.
• Monge, Juan J. & Ribera, Luis A. & Jifon, John L. & Silva, Jorge A. da & Richardson, James W., 2014, "Economics and Uncertainty of Lignocellulosic Biofuel Production from Energy Cane and Sweet Sorghum in South Texas," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 46, issue 4, pages 1-28, November, DOI: 10.22004/ag.econ.189142.
• Grosche, Stephanie & Heckelei, Thomas, , "Price dynamics and financialization effects in corn futures markets with heterogeneous traders," Discussion Papers, University of Bonn, Institute for Food and Resource Economics, number 172077, DOI: 10.22004/ag.econ.172077.
• Alina Georgiana Manta & Roxana Maria Badîrcea, 2014, "Measuring The Efficiency In The Romanian Banking System Through The Method Of The Data Envelopment Analysis (Dea)," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 42, pages 23-34.
• Lect. Mirela Elena Nichita Ph. D, 2014, "Financial Reporting In Romania And Changes In Management Structure," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 22, pages 85-91, APRIL.
• Joseph Byrne & Dimitris Korobilis & Pinho Ribeiro, 2014, "Exchange Rate Predictability in a Changing World," Papers, arXiv.org, number 1403.0627, Mar.
• Andrey Itkin, 2014, "To sigmoid-based functional description of the volatility smile," Papers, arXiv.org, number 1407.0256, Jul, revised Dec 2014.
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• Felipe Klein, 2014, "Estimación de la probabilidad de default: un modelo probit para los bancos argentinos," Ensayos de Política Económica, Departamento de Investigación Francisco Valsecchi, Facultad de Ciencias Económicas, Pontificia Universidad Católica Argentina., volume 2, issue 2, pages 88-115, Octubre.
• Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, 2014, "Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections," DEOS Working Papers, Athens University of Economics and Business, number 1410, Sep.
• Mikhail Stolbov, 2014, "International Credit Cycles: A Regional Perspective," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 21-47.
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• Michele Caivano & Andrew Harvey, 2014, "Time series models with an EGB2 conditional distribution," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 947, Jan.
• Michele Caivano & Andrew Harvey, 2014, "Two EGARCH models and one fat tail," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 954, Mar.
• Andrés Eduardo Jiménez Gómez & Luis Fernando Melo Velandia, 2014, "Modelación de la asimetría y curtosis condicionales: una aplicación VaR para series colombianas," Borradores de Economia, Banco de la Republica de Colombia, number 834, Jul, DOI: 10.32468/be.834.
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• Shiu-Sheng Chen, 2014, "Forecasting Crude Oil Price Movements With Oil-Sensitive Stocks," Economic Inquiry, Western Economic Association International, volume 52, issue 2, pages 830-844, April.
• Michele Caivano & Andrew Harvey, 2014, "Time-series models with an EGB2 conditional distribution," Journal of Time Series Analysis, Wiley Blackwell, volume 35, issue 6, pages 558-571, November.