Research classified by Journal of Economic Literature (JEL) codes

2014

• Ivanova, Vesela & Puigvert Gutiérrez, Josep Maria, 2014, "Interest rate forecasts, state price densities and risk premium from Euribor options," Journal of Banking & Finance, Elsevier, volume 48, issue C, pages 210-223, DOI: 10.1016/j.jbankfin.2014.03.028.
• Dias, Alexandra, 2014, "Semiparametric estimation of multi-asset portfolio tail risk," Journal of Banking & Finance, Elsevier, volume 49, issue C, pages 398-408, DOI: 10.1016/j.jbankfin.2014.05.033.
• Christiansen, Charlotte & Eriksen, Jonas Nygaard & Møller, Stig Vinther, 2014, "Forecasting US recessions: The role of sentiment," Journal of Banking & Finance, Elsevier, volume 49, issue C, pages 459-468, DOI: 10.1016/j.jbankfin.2014.06.017.
• Egan, Daniel & Merkle, Christoph & Weber, Martin, 2014, "Second-order beliefs and the individual investor," Journal of Economic Behavior & Organization, Elsevier, volume 107, issue PB, pages 652-666, DOI: 10.1016/j.jebo.2014.04.001.
• Roussanov, Nikolai, 2014, "Composition of wealth, conditioning information, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, volume 111, issue 2, pages 352-380, DOI: 10.1016/j.jfineco.2013.10.010.
• Carlin, Bruce I. & Longstaff, Francis A. & Matoba, Kyle, 2014, "Disagreement and asset prices," Journal of Financial Economics, Elsevier, volume 114, issue 2, pages 226-238, DOI: 10.1016/j.jfineco.2014.06.007.
• Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2014, "Sticky prices or economically-linked economies: The case of forecasting the Chinese stock market," Journal of International Money and Finance, Elsevier, volume 41, issue C, pages 95-109, DOI: 10.1016/j.jimonfin.2013.11.001.
• Lee, Bong-Soo & Ko, Kwangsoo, 2014, "Are Japanese short sellers information detectives?," Journal of the Japanese and International Economies, Elsevier, volume 34, issue C, pages 89-97, DOI: 10.1016/j.jjie.2014.05.002.
• Narayan, Paresh Kumar & Narayan, Seema & K.P, Prabheesh, 2014, "Stock returns, mutual fund flows and spillover shocks," Pacific-Basin Finance Journal, Elsevier, volume 29, issue C, pages 146-162, DOI: 10.1016/j.pacfin.2014.03.007.
• Narayan, Paresh Kumar & Ahmed, Huson Ali & Sharma, Susan Sunila & K.P., Prabheesh, 2014, "How profitable is the Indian stock market?," Pacific-Basin Finance Journal, Elsevier, volume 30, issue C, pages 44-61, DOI: 10.1016/j.pacfin.2014.07.001.
• Kumar, Dilip & Maheswaran, S., 2014, "A new approach to model and forecast volatility based on extreme value of asset prices," International Review of Economics & Finance, Elsevier, volume 33, issue C, pages 128-140, DOI: 10.1016/j.iref.2014.04.001.
• Vortelinos, Dimitrios I., 2014, "Non-parametric analysis of equity arbitrage," International Review of Economics & Finance, Elsevier, volume 33, issue C, pages 199-216, DOI: 10.1016/j.iref.2014.05.004.
• Lutzenberger, Fabian T., 2014, "The predictability of aggregate returns on commodity futures," Review of Financial Economics, Elsevier, volume 23, issue 3, pages 120-130, DOI: 10.1016/j.rfe.2014.02.001.
• Biswas, Anindya, 2014, "The output gap and expected security returns," Review of Financial Economics, Elsevier, volume 23, issue 3, pages 131-140, DOI: 10.1016/j.rfe.2014.04.001.
• Ozge KORKMAZ & Suleyman Serdar KARACA, 2014, "Uretim Isletmelerinde Firma Karliliginin Finansal Belirleyicileri ve BIST Imalat Sanayi Uygulamasi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 14, issue 1, pages 21-29.
• Ortiz-Ramírez, Ambrosio. & Venegas-Martínez, Francisco. & Durán-Bustamante, Mario., 2014, "Valuación de opciones europeas sobre AMX-L, WALMEX-V y GMEXICO-B. Calibración de parámetros de volatilidad estocástica con funciones cuadráticas de pérdida," El Trimestre Económico, Fondo de Cultura Económica, volume 0, issue 324, pages .943-988, octubre-d, DOI: http://dx.doi.org/10.20430/ete.v81i.
• Anastasios Evgenidis & Costas Siriopoulos, 2014, "A robust pricing of specific structured bonds with coupons," Journal of Risk Finance, Emerald Group Publishing Limited, volume 15, issue 3, pages 234-247, May, DOI: 10.1108/JRF-01-2014-0005.
• Jonas Lorson & Joël Wagner, 2014, "The pricing of hedging longevity risk with the help of annuity securitizations," Journal of Risk Finance, Emerald Group Publishing Limited, volume 15, issue 4, pages 385-416, August, DOI: 10.1108/JRF-02-2014-0016.
• Jozef Barunik & Tomáš Krehlik, 2014, "Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets' volatility," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2014/30, Sep, revised Sep 2014.
• Jozef Baruník & Lucie Kraicová, 2014, "Estimation of Long Memory in Volatility Using Wavelets," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2014/33, Sep, revised Sep 2014.
• Manuel Adelino & W. Scott Frame & Kristopher Gerardi, 2014, "The Effect of Large Investors on Asset Quality: Evidence from Subprime Mortgage Securities," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2014-4, Apr.
• Kevin J. Lansing & Jun Ma, 2014, "Explaining Exchange Rate Anomalies in a Model with Taylor-Rule Fundamentals and Consistent Expectations," Working Paper Series, Federal Reserve Bank of San Francisco, number 2014-22, Sep, DOI: 10.24148/wp2014-22.
• Fernando Alvarez & Gadi Barlevy, 2014, "Mandatory Disclosure and Financial Contagion," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2014-4, Apr.
• Meru Bhanot & Beverly Hirtle & Anna Kovner & James Vickery, 2014, "Assessing financial stability: the Capital and Loss Assessment under Stress Scenarios (CLASS) model," Staff Reports, Federal Reserve Bank of New York, number 663, Feb.
• Allan M. Malz, 2014, "Simple and reliable way to compute option-based risk-neutral distributions," Staff Reports, Federal Reserve Bank of New York, number 677, Jun.
• Erik Vogt, 2014, "Option-implied term structures," Staff Reports, Federal Reserve Bank of New York, number 706, Dec.
• Vladimir R. Evstigneev, 2014, "Modeling TradersХ Expectations in the FX Market in Terms of Distributions with a Functional Parameter," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 1, pages 25-34, March.
• Marc Busse & Michel Dacorogna & Marie Kratz, 2014, "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," Risks, MDPI, volume 2, issue 3, pages 1-17, July.
• Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014, "Exchange Rate Predictability in a Changing World," Working Papers, Business School - Economics, University of Glasgow, number 2014_03, Feb.
• Udichibarna Bose & Ronald MacDonald & Serafeim Tsoukas, 2014, "The role of education in equity portfolios during the recent financial crisis," Working Papers, Business School - Economics, University of Glasgow, number 2014_17, Oct.
• Julien Chevallier & Benoît Sévi, 2014, "A fear index to predict oil futures returns," Post-Print, HAL, number hal-01463111, DOI: 10.15173/esr.v20i3.552.
• Marielle Brunette & Arnaud A. Dragicevic & Jonathan Lenglet & Alexandra Niedzwiedz & Vincent Badeau & Jean-Luc Dupouey, 2014, "Portfolio Management of Mixed-Species Forests," Post-Print, HAL, number hal-01628375, Jun.
• Saty Patrabansh & William M. Doerner & Samuel Asin, 2014, "The Effects of Monetary Policy on Mortgage Rates," FHFA Staff Working Papers, Federal Housing Finance Agency, number 14-02, Jun.
• Lundström, Christian, 2014, "Money management with optimal stopping of losses for maximizing the returns of futures trading," Umeå Economic Studies, Umeå University, Department of Economics, number 884, May.
• Dranev Yury & Maxim Babushkin, 2014, "Asymmetric exchange-rate exposure in BRIC countries," HSE Working papers, National Research University Higher School of Economics, number WP BRP 27/FE/2014.
• Liudmila G. Egorova, 2014, "The Effectiveness Of Different Trading Strategies For Price-Takers," HSE Working papers, National Research University Higher School of Economics, number WP BRP 29/FE/2014.
• Valeria V. Lakshina, 2014, "The Fluke Of Stochastic Volatility Versus Garch Inevitability : Which Model Creates Better Forecasts?," HSE Working papers, National Research University Higher School of Economics, number WP BRP 37/FE/2014.
• Nikolay A. Andreev, 2014, "On Linearity Of Transaction Costs In Order Driven Market," HSE Working papers, National Research University Higher School of Economics, number WP BRP 38/FE/2014.
• Radu Lupu & Adrian Cantemir Calin & Iulia Lupu & Oana Cristina Popovici, 2014, "Modeling Risk Convergence for European Financial Markets," Hyperion Economic Journal, Faculty of Economic Sciences, Hyperion University of Bucharest, Romania, volume 2, issue 3, pages 3-12, September.
• Eduardo Sandoval & Paula Urrutia, 2014, "Zero-Cost Collar Strategy For Chilean Exporters: Black-Scholes Valuation Vs Monte Carlo Simulations, Estrategia Collar Costo Cero Para Exportadores Chilenos. Valuacion De Black-Scholes Vs Simulaciones," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 7, issue 5, pages 25-40.
• Jorge A. Restrepo M & Santiago Medina H, 2014, "Operational Risk Estimation Uncertainty On Environment: A Case Study, Estimacion Del Riesgo Operativo Bajo Ambiente De Incertidumbre: Estudio De Caso," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 7, issue 7, pages 39-54.
• Esref Savas BASCI & Fatih MEMIS, 2014, "A Comparison of the Performances of Type A Mutual Funds Before And After 2008 Global Economic Crisis in Turkey," International Conference on Economic Sciences and Business Administration, Spiru Haret University, volume 1, issue 1, pages 26-31, December.
• Erginbay UGURLU, 2014, "Forecasting Volatility: Evidence from the Bucharest Stock Exchange," International Conference on Economic Sciences and Business Administration, Spiru Haret University, volume 1, issue 1, pages 302-310, December.
• Federico M. Bandi & Bernard Perron & Andrea Tamoni & Claudio Tebaldi, 2014, "The scale of predictability," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 509.
• Abderrazak Dhaoui & Naceur Khraief, 2014, "Does Human Psychology Drive Financial Markets? Evidence from International Markets," International Journal of Economics and Empirical Research (IJEER), The Economics and Social Development Organization (TESDO), volume 2, issue 3, pages 100-108, March.
• Rohini Grover & Ajay Shah, 2014, "The imprecision of volatility indexes," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2014-031, Aug.
• Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2014, "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Management Science, INFORMS, volume 60, issue 7, pages 1772-1791, July, DOI: 10.1287/mnsc.2013.1838.
• Dorra Najar, 2014, "Fund Managers Fees: Estimation and Sensitivity Analysis Using Monte Carlo Simulation," Working Papers, Department of Research, Ipag Business School, number 2014-195, Jan.
• Adnen Ben Nasr & Thomas Lux & Ahdi Noomen Ajmi & Rangan Gupta, 2014, "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," Working Papers, Department of Research, Ipag Business School, number 2014-236, Jan.
• Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014, "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Working Papers, Department of Research, Ipag Business School, number 2014-325, Jan.
• Julien Chevallier & Benoit Sevi, 2014, "A fear index to predict oil futures returns," Working Papers, Department of Research, Ipag Business School, number 2014-333, Jan.
• Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014, "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Working Papers, Department of Research, Ipag Business School, number 2014-389, Jan.
• Bertrand Candelon & Jameel Ahmed & Stefan Straetmans, 2014, "Predicting and Capitalizing on Stock Market Bears in the U.S," Working Papers, Department of Research, Ipag Business School, number 2014-409, Jan.
• Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2014, "Can Economic Uncertainty, Financial Stress and Consumer Senti-ments Predict U.S. Equity Premium?," Working Papers, Department of Research, Ipag Business School, number 2014-436, Jan.
• Pyo, Dong-Jin, 2014, "A Multi-Factor Model of Heterogeneous Traders in a Dynamic Stock Market," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 37358, Mar.
• Krishna Reddy Chittedi*, 2014, "Global financial crisis and contagion: evidence for the Ebrici economies," Journal of Developing Areas, Tennessee State University, College of Business, volume 48, issue 4, pages 243-264, October-D.
• Marcelo Perlin & Alfonso Dufour & Chris Brooks, 2014, "The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market," Annals of Finance, Springer, volume 10, issue 3, pages 457-480, August, DOI: 10.1007/s10436-013-0242-5.
• Boris Georgiev, 2014, "Constrained Mean-Variance Portfolio Optimization with Alternative Return Estimation," Atlantic Economic Journal, Springer;International Atlantic Economic Society, volume 42, issue 1, pages 91-107, March, DOI: 10.1007/s11293-013-9400-4.
• 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.

2013

• Mária Bohdalová & Michal Greguš, 2013, "VaR BASED RISK MANAGEMENT," CBU International Conference Proceedings, ISE Research Institute, volume 1, issue 0, pages 25-33, June, DOI: 10.12955/cbup.v1.11.
• Ivica Terzić & Marko Milojević, 2013, "Evaluating Measures Of Market Risk In Circumstances Of Global Financial Crisis – Empirical Evidence From Five Countries," CBU International Conference Proceedings, ISE Research Institute, volume 1, issue 0, pages 75-81, June, DOI: 10.12955/cbup.v1.17.
• Mária Bohdalová & Michal Greguš, 2013, "COPULA BASED VaR APPROACH FOR EUROPEAN STOCKS PORTFOLIO," CBU International Conference Proceedings, ISE Research Institute, volume 1, issue 0, pages 9-18, June, DOI: 10.12955/cbup.v1.9.
• Charlotte Christiansen & Jonas Nygaard Eriksen & Stig V. Møller, 2013, "Forecasting US Recessions: The Role of Sentiments," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-14, 04.
• Nektarios Aslanidis & Charlotte Christiansen & Christos S. Savva, 2013, "Risk-Return Trade-Off for European Stock Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-31, Jul.
• Niels S. Hansen & Asger Lunde, 2013, "Analyzing Oil Futures with a Dynamic Nelson-Siegel Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-36, 10.
• Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez, 2013, "Does Realized Skewness Predict the Cross-Section of Equity Returns?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-41, 02.
• Torben G. Andersen & Oleg Bondarenko, 2013, "Reflecting on the VPIN Dispute," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-42, Apr.
• Torben G. Andersen & Oleg Bondarenko, 2013, "Assessing Measures of Order Flow Toxicity via Perfect Trade Classification," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-43, 11.
• Aleksandra Gasior, 2013, "Financial liquidity analysis of CSR based Capital Group Zywiec SA," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, volume 15, issue Special 7, pages 784-801, November.
• Julien, Chevallier & Sévi, Benoît, 2013, "A Fear Index to Predict Oil Futures Returns," Energy: Resources and Markets, Fondazione Eni Enrico Mattei (FEEM), number 156489, Jun, DOI: 10.22004/ag.econ.156489.
• Mădălina - Gabriela Anghel & Liliana (Dincă) Paschia, 2013, "Using The Capm Model To Estimate The Profitability Of A Financial Instrument Portfolio," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 2, issue 15, pages 1-19.
• Nevin Yoruk & S. Serdar Karaca & Mahmut Hekim & İsmail Tuna, 2013, "Examination of Relationship Between Stock Returns and Factors Affecting Capital Structure and Financial Ratios with ANFIS Method: An Application on ISE 100 Index," Anadolu University Journal of Social Sciences, Anadolu University, volume 13, issue 2, pages 101-114, June.
• João F. Caldeira, 2013, "Arbitragem Estatística, Estratégia Long-Short Pairs Trading, Abordagem com Cointegração Aplicada ao Mercado de Ações Brasileiro," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 14, issue 1b, pages 521-546.
• Rafael Cavalcanti de Araújo & Daniel Oliveira Cajueiro, 2013, "Combining term structure of interest rate forecasts: The Brazilian case," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 14, issue 2, pages 102-121.
• Filip Zikes & Jozef Barunik, 2013, "Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility," Papers, arXiv.org, number 1308.4276, Aug.
• Marc Busse & Michel Dacorogna & Marie Kratz, 2013, "The impact of systemic risk on the diversification benefits of a risk portfolio," Papers, arXiv.org, number 1312.0506, Dec.
• Yuri Biondi & Simone Righi, 2013, "What does the financial market pricing do? A simulation analysis with a view to systemic volatility, exuberance and vagary," Papers, arXiv.org, number 1312.7460, Dec.
• Sonja Brlecic Valcic & Branka Crnkovic Stumpf, 2013, "The Need For Approaching The Value In Use And Fair Market Value Within A Modern Concept Of Business Valuation Process," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, volume 22, issue 2, pages 379-396, december.
• N'Sougan, Yao Djifa & Soumaré, Issouf, 2013, "Modelling sovereign default risk: comparing models and capturing the impact of the business cycle," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, volume 6, issue 1, pages 75-96, January.
• Emil Kalchev, 2013, "Problems and perspectives of fiscal sector in Bulgaria," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 6, pages 35-51,52-67.
• Jianjian Jin, 2013, "Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics," Staff Working Papers, Bank of Canada, number 13-12, DOI: 10.34989/swp-2013-12.
• Ian Christensen & Fuchun Li, 2013, "A Semiparametric Early Warning Model of Financial Stress Events," Staff Working Papers, Bank of Canada, number 13-13, DOI: 10.34989/swp-2013-13.
• Hasibe OZGUMUS & Turhan KORKMAZ & Emrah Ismail CEVIK, 2013, "The Impact of Macroeconomic Factors on Futures Contracts: An Application on Turkdex," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 7, issue 1, pages 103-136.
• Daniel Vela, 2013, "Forecasting Latin-American yield curves: An artificial neural network approach," Borradores de Economia, Banco de la Republica de Colombia, number 761, Mar, DOI: 10.32468/be.761.
• Franz Alonso Hamann Salcedo & Rafael Hernández & Luisa Fernanda Silva EScobar & Fernando Tenjo Galarza, 2013, "Credit Pro-cyclicality and Bank Balance Sheet in Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 762, Apr, DOI: 10.32468/be.762.
• Juan Sebastián Amador Torres & José EDuardo Gómez G. & Andrés Murcia Pabón, 2013, "Loans Growth and Banks’ Risk: New Evidence," Borradores de Economia, Banco de la Republica de Colombia, number 763, Apr, DOI: 10.32468/be.763.
• Gary Koop & Lise Tole, 2013, "Forecasting the European carbon market," Journal of the Royal Statistical Society Series A, Royal Statistical Society, volume 176, issue 3, pages 723-741, June.
• Evangelos C. Charalambakis, 2013, "On the prediction of corporate financial distress in the light of the financial crisis: empirical evidence from Greek listed firms," Working Papers, Bank of Greece, number 164, Oct.
• Hyun Hak Kim, 2013, "Forecasting Macroeconomic Variables Using Data Dimension Reduction Methods: The Case of Korea," Working Papers, Economic Research Institute, Bank of Korea, number 2013-26, Dec.
• Laurini Márcio Poletti, 2013, "A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models," Journal of Time Series Econometrics, De Gruyter, volume 5, issue 2, pages 193-229, May, DOI: 10.1515/jtse-2012-0025.
• Cristina, GRADEA, 2013, "Alternative Models Of Financing Regional Development," Management Strategies Journal, Constantin Brancoveanu University, volume 22, issue Special, pages 132-139.
• João Frois Caldeira & Gulherme Valle Moura, 2013, "Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy," Brazilian Review of Finance, Brazilian Society of Finance, volume 11, issue 1, pages 49-80.
• Alex Sandro Monteiro de Moraes & Antonio Carlos Figueiredo Pinto & Marcelo Cabus Klotzle, 2013, "Long Run Estimations for the Volatility of Time Series in the Brazilian Financial Market," Brazilian Review of Finance, Brazilian Society of Finance, volume 11, issue 4, pages 455-479.
• M. Caivano & A. Harvey, 2013, "Time series models with an EGB2 conditional distribution," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1325, Jul.
• M. Caivano & A. Harvey, 2013, "Two EGARCH models and one fat tail," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1326, Jul.
• Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013, "Has the Basel Accord Improved Risk Management During the Global Financial Crisis," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 13/08, Feb.
• Massimiliano Caporin & Michael McAleer, 2013, "Ten Things You Should Know About DCC," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 13/16, Mar.
• Massimiliano Caporin & Michael McAleer, 2013, "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 13/21, Jun.
• Richard Guay & Laurence Allaire, 2013, "Long-Term Returns: a Reality Check for Pension Funds and Retirement Savers," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 395, December.
• Paul Brewer & Jaksa Cvitanic & Charles R. Plott, 2013, "Market microstructure design and flash crashes: A simulation approach," Journal of Applied Economics, Universidad del CEMA, volume 16, pages 223-250, November.
• Iuliia Brushko, 2013, "Financial Signaling and Earnings Forecasts," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp498, Nov.
• Michael Melvin & John Prins & Duncan Shand, 2013, "Forecasting Exchange Rates: An Investor Perspective," CESifo Working Paper Series, CESifo, number 4238.
• Víctor Manuel Molina Morejón & Lourdes J. García Hernández & Valeria Viridiana Salas Jaramillo, 2013, "Modelo de negocios de las Pyme: Un análisis de sus manejos financieros," Ravista Raites antes Panorama Administrativo Journal, Red de Investigación en Administración de la Innovación Tecnológica, Económica y Sustentable - Instituto Tecnológico de Celaya, Departamento de Ciencias Económico Administrativas, volume 7, issue 13, pages 69-82, Agosto-Di.
• Michel Fuksa & Didier Sornette, 2013, "The Sentiment of the Fed," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-01, Jan.
• Michel Fuksa & Didier Sornette, 2013, "The Sentiment of the Fed," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-02, Feb.
• Marc S. Paolella & Pawel Polak, 2013, "COMFORT: A Common Market Factor Non-Gaussian Returns Model," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-38, Jul, revised Sep 2014.
• Ludovic Cales & Eric Jondeau & Michael Rockinger, 2013, "Long-Term Portfolio Management with a Structural Macroeconomic Model," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-45, Sep.
• Didier Sornette & Peter Cauwels, 2013, "A Creepy World," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-55, Oct, revised Feb 2014.
• Vladimir Filimonov & Didier Sornette, 2013, "Apparent Criticality and Calibration Issues in the Hawkes Self-Excited Point Process Model: Application to High-Frequency Financial Data," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-60, Dec.
• Hui Jun Zhang & Jean-Marie Dufour & John W. Galbraith, 2013, "Exchange rates and commodity prices: measuring causality at multiple horizons," CIRANO Working Papers, CIRANO, number 2013s-39, Oct.
• Joao A. Bastos, 2013, "Ensemble predictions of recovery rates," CEMAPRE Working Papers, Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon, number 1301, Mar.
• Ilie BANU & Sorin TERCHILĂ & Ioana-Mădălina BANU (BUTIUC), 2013, "Increasing Compliance Through Efficient Public Campaigns," Network Intelligence Studies, Romanian Foundation for Business Intelligence, Editorial Department, issue 1, pages 37-43, July.
• Santiago Medina Hurtado & Jorge Aníbal Restrepo Morales, 2013, "Estimación de la utilidad en riesgo de una empresa de transmisión de energía eléctrica considerando variables económicas," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Daniel Vela, 2013, "Forecasting Latin-American yield curves: An artificial neural network approach," Borradores de Economia, Banco de la Republica, number 10502, Feb.
• Franz Alonso Hamann Salcedo & Rafael Hern�ndez & Luisa Fernanda Silva Escobar & Fernando Tenjo Galarza, 2013, "Credit Pro-cyclicality and Bank Balance Sheet in Colombia," Borradores de Economia, Banco de la Republica, number 10695, Apr.
• Juan Sebasti�n Amador Torres & Jos� Eduardo G�mez G. & Andr�s Murcia Pab�n, 2013, "Loans Growth and Banks� Risk: New Evidence," Borradores de Economia, Banco de la Republica, number 10710, Apr.
• Carlos Andrés Núnez Viveros & Gabriel Jos� Gallego Hidalgo & Guillermo Buenaventura Vera, 2013, "Diseno metodológico de la evaluación de proyectos energéticos bajo incertidumbre en precios: caso de cogeneración de energía en una empresa en Cali," Estudios Gerenciales, Universidad Icesi.
• Agnieszka Kapecka, 2013, "Fractal Analysis of Financial Time Series Using Fractal Dimension and Pointwise Hölder Exponents," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, volume 13, pages 107-126.
• Jean-David Fermanian, 2013, "The Limits of Granularity Adjustments," Working Papers, Center for Research in Economics and Statistics, number 2013-27, Dec.
• DeMiguel, Victor & Plyakha, Yuliya & Uppal, Raman & Vilkov, Grigory, 2013, "Improving Portfolio Selection Using Option-Implied Volatility and Skewness," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 48, issue 6, pages 1813-1845, December.
• Mariana Rodica TIRLEA, 2013, "Financial Analysis, Budgeting, Decision and Control," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 3, pages 47-52.
• Riadh Aloui & Mohamed Safouane Ben Aissa & Duc Khuong Nguyen, 2013, "A wavelet-based copula approach for modeling market risk in agricultural commodity markets," Working Papers, Development and Policies Research Center (DEPOCEN), Vietnam, number 154.
• Busse, Marc & Dacorogna, Michel & Kratz, Marie, 2013, "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1321, Dec.
• Beneish, Messod Daniel & Capkun, Vedran & Fridson, Martin S., 2013, "Defying Gravity: Costly Signaling to Mislead or to Inform?," HEC Research Papers Series, HEC Paris, number 1024, Nov.
• Esref Savas BASCI & S leyman Serdar KARACA, 2013, "The Determinants of Stock Market Index: VAR Approach to Turkish Stock Market," International Journal of Economics and Financial Issues, Econjournals, volume 3, issue 1, pages 163-171.
• Matloob Ullah Khan & Ambrish Gupta & Sadaf Siraj, 2013, "Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market in India," International Journal of Economics and Financial Issues, Econjournals, volume 3, issue 1, pages 87-98.
• Gary, Koop & Dimitris, Korobilis, 2013, "A New Index of Financial Conditions," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2013-48.
• Yamamoto, Ryuichi & Hirata, Hideaki, 2013, "Strategy switching in the Japanese stock market," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 10, pages 2010-2022, DOI: 10.1016/j.jedc.2013.05.006.
• Degiannakis, Stavros & Livada, Alexandra, 2013, "Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process," Economic Modelling, Elsevier, volume 30, issue C, pages 212-216, DOI: 10.1016/j.econmod.2012.09.027.
• Kumar, Dilip & Maheswaran, S., 2013, "Detecting sudden changes in volatility estimated from high, low and closing prices," Economic Modelling, Elsevier, volume 31, issue C, pages 484-491, DOI: 10.1016/j.econmod.2012.12.021.
• Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013, "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, Elsevier, chapter 0, in: G. Elliott & C. Granger & A. Timmermann, "Handbook of Economic Forecasting", DOI: 10.1016/B978-0-444-53683-9.00010-4.
• Melvin, Michael & Prins, John & Shand, Duncan, 2013, "Forecasting Exchange Rates: an Investor Perspective," Handbook of Economic Forecasting, Elsevier, chapter 0, in: G. Elliott & C. Granger & A. Timmermann, "Handbook of Economic Forecasting", DOI: 10.1016/B978-0-444-62731-5.00013-0.
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• Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2013, "Conditional correlations and volatility spillovers between crude oil and stock index returns," The North American Journal of Economics and Finance, Elsevier, volume 25, issue C, pages 116-138, DOI: 10.1016/j.najef.2012.06.002.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013, "Has the Basel Accord improved risk management during the global financial crisis?," The North American Journal of Economics and Finance, Elsevier, volume 26, issue C, pages 250-265, DOI: 10.1016/j.najef.2013.02.004.
• Kotzé, Antonie & Labuschagne, Coenraad C.A. & Nair, Merell L. & Padayachi, Nadine, 2013, "Arbitrage-free implied volatility surfaces for options on single stock futures," The North American Journal of Economics and Finance, Elsevier, volume 26, issue C, pages 380-399, DOI: 10.1016/j.najef.2013.02.012.
• Bannouh, Karim & Martens, Martin & van Dijk, Dick, 2013, "Forecasting volatility with the realized range in the presence of noise and non-trading," The North American Journal of Economics and Finance, Elsevier, volume 26, issue C, pages 535-551, DOI: 10.1016/j.najef.2013.02.020.
• Fujiwara, Ippei & Ichiue, Hibiki & Nakazono, Yoshiyuki & Shigemi, Yosuke, 2013, "Financial markets forecasts revisited: Are they rational, stubborn or jumpy?," Economics Letters, Elsevier, volume 118, issue 3, pages 526-530, DOI: 10.1016/j.econlet.2012.12.037.
• Zhu, Xiaoneng, 2013, "Perpetual learning and stock return predictability," Economics Letters, Elsevier, volume 121, issue 1, pages 19-22, DOI: 10.1016/j.econlet.2013.06.035.
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• Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013, "Stable mixture GARCH models," Journal of Econometrics, Elsevier, volume 172, issue 2, pages 292-306, DOI: 10.1016/j.jeconom.2012.08.012.
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• Orth, Walter, 2013, "Multi-period credit default prediction with time-varying covariates," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 214-222, DOI: 10.1016/j.jempfin.2013.01.006.
• Miller, Thomas W. & Rapach, David E., 2013, "An intra-week efficiency analysis of bookie-quoted NFL betting lines in NYC," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 10-23, DOI: 10.1016/j.jempfin.2013.07.002.
• Clements, A. & Silvennoinen, A., 2013, "Volatility timing: How best to forecast portfolio exposures," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 108-115, DOI: 10.1016/j.jempfin.2013.09.004.
• Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013, "Risk spillovers in international equity portfolios," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 121-137, DOI: 10.1016/j.jempfin.2013.09.005.
• Koop, Gary & Tole, Lise, 2013, "Modeling the relationship between European carbon permits and certified emission reductions," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 166-181, DOI: 10.1016/j.jempfin.2013.10.005.
• Kang, Sang Hoon & Yoon, Seong-Min, 2013, "Modeling and forecasting the volatility of petroleum futures prices," Energy Economics, Elsevier, volume 36, issue C, pages 354-362, DOI: 10.1016/j.eneco.2012.09.010.
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• Lin, Che-Chun & Prather, Larry J. & Chu, Ting-Heng & Tsay, Jing-Tang, 2013, "Differential default risk among traditional and non-traditional mortgage products and capital adequacy standards," International Review of Financial Analysis, Elsevier, volume 27, issue C, pages 115-122, DOI: 10.1016/j.irfa.2012.11.005.
• Degiannakis, Stavros & Floros, Christos & Dent, Pamela, 2013, "Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence," International Review of Financial Analysis, Elsevier, volume 27, issue C, pages 21-33, DOI: 10.1016/j.irfa.2012.06.001.
• Brée, David S. & Joseph, Nathan Lael, 2013, "Testing for financial crashes using the Log Periodic Power Law model," International Review of Financial Analysis, Elsevier, volume 30, issue C, pages 287-297, DOI: 10.1016/j.irfa.2013.05.005.
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• Breitung, Jörg & Schmeling, Maik, 2013, "Quantifying survey expectations: What’s wrong with the probability approach?," International Journal of Forecasting, Elsevier, volume 29, issue 1, pages 142-154, DOI: 10.1016/j.ijforecast.2012.07.005.
• Narayan, Paresh Kumar & Narayan, Seema & Sharma, Susan Sunila, 2013, "An analysis of commodity markets: What gain for investors?," Journal of Banking & Finance, Elsevier, volume 37, issue 10, pages 3878-3889, DOI: 10.1016/j.jbankfin.2013.07.009.
• Henderson, Brian J. & Marks, Joseph M., 2013, "Predicting forecast errors through joint observation of earnings and revenue forecasts," Journal of Banking & Finance, Elsevier, volume 37, issue 11, pages 4265-4277, DOI: 10.1016/j.jbankfin.2013.07.005.
• Dyakov, Teodor & Verbeek, Marno, 2013, "Front-running of mutual fund fire-sales," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 4931-4942, DOI: 10.1016/j.jbankfin.2013.08.013.
• Dunis, Christian & Kellard, Neil M. & Snaith, Stuart, 2013, "Forecasting EUR–USD implied volatility: The case of intraday data," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 4943-4957, DOI: 10.1016/j.jbankfin.2013.08.028.
• Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel, 2013, "Economic valuation of liquidity timing," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 5073-5087, DOI: 10.1016/j.jbankfin.2013.09.010.
• Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2013, "On the predictability of stock prices: A case for high and low prices," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 5132-5146, DOI: 10.1016/j.jbankfin.2013.05.024.
• Dias, Alexandra, 2013, "Market capitalization and Value-at-Risk," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 5248-5260, DOI: 10.1016/j.jbankfin.2013.04.015.
• Marquez, Jaime & Morse, Ari & Schlusche, Bernd, 2013, "The Federal Reserve’s balance sheet and overnight interest rates: Empirical modeling of exit strategies," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 5300-5315, DOI: 10.1016/j.jbankfin.2013.01.015.
• Pierdzioch, Christian & Rülke, Jan-Christoph & Stadtmann, Georg, 2013, "Forecasting metal prices: Do forecasters herd?," Journal of Banking & Finance, Elsevier, volume 37, issue 1, pages 150-158, DOI: 10.1016/j.jbankfin.2012.08.016.
• Xu, Nianhang & Chan, Kam C. & Jiang, Xuanyu & Yi, Zhihong, 2013, "Do star analysts know more firm-specific information? Evidence from China," Journal of Banking & Finance, Elsevier, volume 37, issue 1, pages 89-102, DOI: 10.1016/j.jbankfin.2012.08.014.
• Zakamulin, Valeriy, 2013, "Forecasting the size premium over different time horizons," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 1061-1072, DOI: 10.1016/j.jbankfin.2012.11.006.