Research classified by Journal of Economic Literature (JEL) codes

2013

• 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.
• Hammoudeh, Shawkat & McAleer, Michael, 2013, "Risk management and financial derivatives: An overview," The North American Journal of Economics and Finance, Elsevier, volume 25, issue C, pages 109-115, DOI: 10.1016/j.najef.2012.06.014.
• 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.
• Nolan, John P. & Ojeda-Revah, Diana, 2013, "Linear and nonlinear regression with stable errors," Journal of Econometrics, Elsevier, volume 172, issue 2, pages 186-194, DOI: 10.1016/j.jeconom.2012.08.008.
• 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.
• Bikbov, Ruslan & Chernov, Mikhail, 2013, "Monetary policy regimes and the term structure of interest rates," Journal of Econometrics, Elsevier, volume 174, issue 1, pages 27-43, DOI: 10.1016/j.jeconom.2013.01.002.
• 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.
• Date, Paresh & Mamon, Rogemar & Tenyakov, Anton, 2013, "Filtering and forecasting commodity futures prices under an HMM framework," Energy Economics, Elsevier, volume 40, issue C, pages 1001-1013, DOI: 10.1016/j.eneco.2013.05.016.
• Byun, Suk Joon & Cho, Hangjun, 2013, "Forecasting carbon futures volatility using GARCH models with energy volatilities," Energy Economics, Elsevier, volume 40, issue C, pages 207-221, DOI: 10.1016/j.eneco.2013.06.017.
• Vivian, Andrew & Wohar, Mark E., 2013, "The output gap and stock returns: Do cyclical fluctuations predict portfolio returns?," International Review of Financial Analysis, Elsevier, volume 26, issue C, pages 40-50, DOI: 10.1016/j.irfa.2012.05.002.
• 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.
• Alexander, Carol & Lazar, Emese & Stanescu, Silvia, 2013, "Forecasting VaR using analytic higher moments for GARCH processes," International Review of Financial Analysis, Elsevier, volume 30, issue C, pages 36-45, DOI: 10.1016/j.irfa.2013.05.006.
• Holmberg, Ulf & Lönnbark, Carl & Lundström, Christian, 2013, "Assessing the profitability of intraday opening range breakout strategies," Finance Research Letters, Elsevier, volume 10, issue 1, pages 27-33, DOI: 10.1016/j.frl.2012.09.001.
• Lin, Wen-Chun & Chang, Shao-Chi & Chen, Sheng-Syan & Liao, Tsai-Ling, 2013, "The over-optimism of financial analysts and the long-run performance of firms following private placements of equity," Finance Research Letters, Elsevier, volume 10, issue 2, pages 82-92, DOI: 10.1016/j.frl.2012.12.001.
• Roch, Oriol, 2013, "Histogram-based prediction of directional price relatives," Finance Research Letters, Elsevier, volume 10, issue 3, pages 110-115, DOI: 10.1016/j.frl.2013.06.003.
• Tse, Yiuman & Wald, John K., 2013, "Insured uncovered interest parity," Finance Research Letters, Elsevier, volume 10, issue 4, pages 175-183, DOI: 10.1016/j.frl.2013.06.004.
• Jokivuolle, Esa & Virén, Matti, 2013, "Cyclical default and recovery in stress testing loan losses," Journal of Financial Stability, Elsevier, volume 9, issue 1, pages 139-149, DOI: 10.1016/j.jfs.2011.10.001.
• Pézier, Jacques & Scheller, Johanna, 2013, "Best portfolio insurance for long-term investment strategies in realistic conditions," Insurance: Mathematics and Economics, Elsevier, volume 52, issue 2, pages 263-274, DOI: 10.1016/j.insmatheco.2013.01.001.
• 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.
• Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2013, "CVaR sensitivity with respect to tail thickness," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 977-988, DOI: 10.1016/j.jbankfin.2012.11.010.
• Chevapatrakul, Thanaset, 2013, "Return sign forecasts based on conditional risk: Evidence from the UK stock market index," Journal of Banking & Finance, Elsevier, volume 37, issue 7, pages 2342-2353, DOI: 10.1016/j.jbankfin.2013.01.033.
• Casalin, Fabrizio, 2013, "Testing the expectations hypothesis of the term structure with permanent-transitory component models," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 3192-3203, DOI: 10.1016/j.jbankfin.2013.02.025.
• Nyberg, Henri, 2013, "Predicting bear and bull stock markets with dynamic binary time series models," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3351-3363, DOI: 10.1016/j.jbankfin.2013.05.008.
• Annaert, Jan & De Ceuster, Marc & Verstegen, Kurt, 2013, "Are extreme returns priced in the stock market? European evidence," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3401-3411, DOI: 10.1016/j.jbankfin.2013.05.015.
• Becchetti, Leonardo & Ciciretti, Rocco & Giovannelli, Alessandro, 2013, "Corporate social responsibility and earnings forecasting unbiasedness," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3654-3668, DOI: 10.1016/j.jbankfin.2013.05.026.
• Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew, 2013, "A network model of financial system resilience," Journal of Economic Behavior & Organization, Elsevier, volume 85, issue C, pages 219-235, DOI: 10.1016/j.jebo.2012.04.006.
• Shynkevich, Andrei, 2013, "Time-series momentum as an intra- and inter-industry effect: Implications for market efficiency," Journal of Economics and Business, Elsevier, volume 69, issue C, pages 64-85, DOI: 10.1016/j.jeconbus.2013.05.004.
• So, Eric C., 2013, "A new approach to predicting analyst forecast errors: Do investors overweight analyst forecasts?," Journal of Financial Economics, Elsevier, volume 108, issue 3, pages 615-640, DOI: 10.1016/j.jfineco.2013.02.002.
• Aloui, Riadh & Ben Aïssa, Mohamed Safouane & Nguyen, Duc Khuong, 2013, "Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach," Journal of International Money and Finance, Elsevier, volume 32, issue C, pages 719-738, DOI: 10.1016/j.jimonfin.2012.06.006.
• Chang, Chia-Lin & González-Serrano, Lydia & Jimenez-Martin, Juan-Angel, 2013, "Currency hedging strategies using dynamic multivariate GARCH," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 94, issue C, pages 164-182, DOI: 10.1016/j.matcom.2012.02.008.
• Casarin, Roberto & Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio, 2013, "Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 94, issue C, pages 183-204, DOI: 10.1016/j.matcom.2012.06.013.
• Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013, "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 94, issue C, pages 223-237, DOI: 10.1016/j.matcom.2013.08.010.
• Docherty, Paul & Chan, Howard & Easton, Steve, 2013, "Can we treat empirical regularities as state variables in the ICAPM? Evidence from Australia," Pacific-Basin Finance Journal, Elsevier, volume 22, issue C, pages 107-124, DOI: 10.1016/j.pacfin.2012.10.004.
• Goh, Jeremy C. & Jiang, Fuwei & Tu, Jun & Wang, Yuchen, 2013, "Can US economic variables predict the Chinese stock market?," Pacific-Basin Finance Journal, Elsevier, volume 22, issue C, pages 69-87, DOI: 10.1016/j.pacfin.2012.10.002.
• Liao, Yin, 2013, "The benefit of modeling jumps in realized volatility for risk prediction: Evidence from Chinese mainland stocks," Pacific-Basin Finance Journal, Elsevier, volume 23, issue C, pages 25-48, DOI: 10.1016/j.pacfin.2013.01.002.
• Bartholdy, Jan & Feng, Tiyi, 2013, "The quality of securities firms' earnings forecasts and stock recommendations: Do informational advantages, reputation and experience matter in China?," Pacific-Basin Finance Journal, Elsevier, volume 24, issue C, pages 66-88, DOI: 10.1016/j.pacfin.2013.02.005.
• Chen, Chun-nan, 2013, "The predictability of opening returns for the returns of the trading day: Evidence from Taiwan futures market," International Review of Economics & Finance, Elsevier, volume 25, issue C, pages 272-281, DOI: 10.1016/j.iref.2012.07.012.
• McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013, "GFC-robust risk management strategies under the Basel Accord," International Review of Economics & Finance, Elsevier, volume 27, issue C, pages 97-111, DOI: 10.1016/j.iref.2012.09.006.
• Degiannakis, Stavros & Floros, Christos, 2013, "Modeling CAC40 volatility using ultra-high frequency data," Research in International Business and Finance, Elsevier, volume 28, issue C, pages 68-81, DOI: 10.1016/j.ribaf.2012.09.001.
• Mondher bellalah & SYED ALAMDAR ALI & Omar Masood, 2013, "Sensitivity Analysis of Domestic Credit to Private Sector in Pakistan: A Variable Replacement Approach Application with Con-integration," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2013-17.
• Caporin, M. & McAleer, M.J., 2013, "Ten Things You Should Know About DCC," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2013-13, Mar.
• Caporin, M. & McAleer, M.J., 2013, "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2013-21, Jun.
• Kole, H.J.W.G. & van Dijk, D.J.C., 2013, "How to Identify and Forecast Bull and Bear Markets?," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2013-016-F&A, Oct.
• Oscar De la Torre Torres., 2013, "Orthogonal GARCH matrixes in the active portfolio management of defined benefit pension plans: A test for Michoacán," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, volume 39, issue 2, pages 119-144, Julio-Dic, DOI: 10.24275/ETYPUAM/NE/392013/DelaTorr.
• Dorin Jula & Nicolae-Marius Jula, 2013, "Organic Farming And The Greenhouse Gas Emissions," Working papers, Ecological University of Bucharest, Department of Economics, number 01, Apr.
• Antoniade Ciprian ALEXANDRU, 2013, "Studying The Volatility Of The Romanian Investment Funds With The Arch And Garch Models Using The "R" Software," Working papers, Ecological University of Bucharest, Department of Economics, number 03, Apr.
• Julien Chevallier & Benoît Sévi, 2013, "A Fear Index to Predict Oil Futures Returns," Working Papers, Fondazione Eni Enrico Mattei, number 2013.62, Jun.
• Nikolay Gospodinov & Ibrahim Jamali, 2013, "Monetary policy surprises, positions of traders, and changes in commodity futures prices," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2013-12, Nov.
• Allan M. Malz, 2013, "Risk-neutral systemic risk indicators," Staff Reports, Federal Reserve Bank of New York, number 607.
• Massimiliano Caporin & Michael McAleer, 2013, "Ten Things You Should Know about the Dynamic Conditional Correlation Representation," Econometrics, MDPI, volume 1, issue 1, pages 1-12, June.
• Nuno Silva, 2013, "Equity Premia Predictability in the EuroZone," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2013-22, Sep.
• Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2013, "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Post-Print, HAL, number hal-01499630, DOI: 10.1007/s10614-012-9328-9.
• Marc Busse & Michel Dacorogna & Marie Kratz, 2013, "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," Working Papers, HAL, number hal-00914844, Dec.
• Asgharian, Hossein & Hou, Ai Jun & Javed, Farrukh, 2013, "Importance of the macroeconomic variables for variance prediction A GARCH-MIDAS approach," Knut Wicksell Working Paper Series, Lund University, Knut Wicksell Centre for Financial Studies, number 2013/4, Feb.
• Lundström, Christian, 2013, "Day trading returns across volatility states," Umeå Economic Studies, Umeå University, Department of Economics, number 861, Jun, revised 03 Mar 2017.
• Alexander Porshnev & Ilya Redkin & Alexey Shevchenko, 2013, "Improving prediction of stock market indices by analyzing the psychological states of twitter users," HSE Working papers, National Research University Higher School of Economics, number WP BRP 22/FE/2013.
• Kurozumi, Eiji & Aono, Kohei, 2013, "Estimation And Inference In Predictive Regressions," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 54, issue 2, pages 231-250, December, DOI: 10.15057/26018.
• Yvan Nezerwe, 2013, "Presidential Elections And Stock Returns In Egypt," Review of Business and Finance Studies, The Institute for Business and Finance Research, volume 4, issue 2, pages 63-68.
• Iman Gunadi & Aditya Anta Taruna & Cicilia A. Harun, 2013, "Penggunaan Indeks Stabilitas Sistem Keuangan (ISSK) Dalam Pelaksanaan Surveilans Makroprudensial," Working Papers, Bank Indonesia, number WP/15/2013.
• Monica Giulietti & Luigi Grossi, 2013, "Revenues from storage in a competitive electricity market: Empirical evidence from Great Britain," Working Papers, Institut d'Economia de Barcelona (IEB), number 2013/37.
• Önder BÜBERKÖKÜ, 2013, "GARCH modellerinin performanslarının değerlendirilmesinde riske maruz değer (value-at-risk, VaR) yöntemi: İMKB100, Mali, Sınai ve Hizmet endeksleri üzerine bir uygulama," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 28, issue 330, pages 81-104.
• Ahmet GÖNCÜ & Mehmet Oğuz KARAHAN & Tolga Umut KUZUBAŞ, 2013, "A Stochastic Model for Natural Gas Consumption: An Application for Turkey," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 28, issue 332, pages 33-46.
• M. B. Gordy & E. Lutkebohmert, 2013, "Granularity Adjustment for Regulatory Capital Assessment," International Journal of Central Banking, International Journal of Central Banking, volume 9, issue 3, pages 38-77, September.
• Jaime Casassus & Freddy Higuera, 2013, "The Economic Impact of Oil on Industry Portfolios," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 433.
• Chiara Agnoletti & Chiara Bocci & Claudia Ferretti & Patrizia Lattarulo, 2013, "From IMU to TASI: an estimate for Tuscany," Miscellanea, Istituto Regionale per la Programmazione Economica della Toscana, number 473.
• Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2013, "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Computational Economics, Springer;Society for Computational Economics, volume 41, issue 2, pages 249-265, February, DOI: 10.1007/s10614-012-9328-9.
• Bjørn Eraker, 2013, "The performance of model based option trading strategies," Review of Derivatives Research, Springer, volume 16, issue 1, pages 1-23, April, DOI: 10.1007/s11147-012-9079-8.
• Yow-Jen Jou & Chih-Wei Wang & Wan-Chien Chiu, 2013, "Is the realized volatility good for option pricing during the recent financial crisis?," Review of Quantitative Finance and Accounting, Springer, volume 40, issue 1, pages 171-188, January, DOI: 10.1007/s11156-012-0285-0.
• Christopher Edmonds & Ryan Leece & John Maher, 2013, "CEO bonus compensation: the effects of missing analysts’ revenue forecasts," Review of Quantitative Finance and Accounting, Springer, volume 41, issue 1, pages 149-170, July, DOI: 10.1007/s11156-012-0305-0.
• Alex Huang, 2013, "Value at risk estimation by quantile regression and kernel estimator," Review of Quantitative Finance and Accounting, Springer, volume 41, issue 2, pages 225-251, August, DOI: 10.1007/s11156-012-0308-x.
• Michael Lacina & Byung Ro, 2013, "Market implied future earnings and analysts’ forecasts," Review of Quantitative Finance and Accounting, Springer, volume 41, issue 2, pages 295-341, August, DOI: 10.1007/s11156-012-0307-y.
• Shih-Cheng Lee & Chien-Ting Lin & Min-Teh Yu, 2013, "A fractional cointegration approach to testing the Ohlson accounting based valuation model," Review of Quantitative Finance and Accounting, Springer, volume 41, issue 3, pages 535-547, October, DOI: 10.1007/s11156-012-0321-0.
• Eugen Nicolaescu, 2013, "The Statutory Audit and the Economic Governance Within the European Union," Knowledge Horizons - Economics, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, volume 5, issue 1, pages 15-19, March.
• Banu Simmons-Sueer, 2013, "Forecasting High-Yield Bond Spreads Using the Loan Market as Leading Indicator," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 13-328, Jan, DOI: 10.3929/ethz-a-007611520.
• Aleksandras Vytautas Rutkauskas & Alina Kvietkauskienė, 2013, "Implementation of Multi-Objective Evaluation Method in Public Debt Risk Management," Entrepreneurial Business and Economics Review, Centre for Strategic and International Entrepreneurship at the Cracow University of Economics., volume 1, issue 4, pages 21-35.
• Jáki, Erika, 2013, "A válság mint negatív információ és bizonytalansági tényező. A válság hatása az egy részvényre jutó nyereség-előrejelzésekre
  [The financial crisis as negative information and a factor of uncertainty. Analysing the EPS forecasting error in Hungary ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 12, pages 1357-1369.
• Masahiko Egami & Yasuyuki Kato & Tomochika Sawaki, 2013, "An Analysis of CDS Market Liquidity by the Hawkes Process," Discussion papers, Graduate School of Economics Project Center, Kyoto University, number e-13-001, Jun.
• Massimiliano Caporin & Michael McAleer, 2013, "Ten Things You Should Know About DCC," KIER Working Papers, Kyoto University, Institute of Economic Research, number 854, Mar.
• Massimiliano Caporin & Michael McAleer, 2013, "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," KIER Working Papers, Kyoto University, Institute of Economic Research, number 870, Jun.
• Anne-Gael Vaubourg & Valdete Berisha-Krasniqui & Sébastien Galanti & Christophe Hurlin & Régis Breton, 2013, "We study whether financial analysts' concern for preserving good relationships with firms' managers motivates them to issue pessimistic or optimistic forecasts. Based on a dataset of one-yearahead EPS forecasts issued by 4 648 analysts concerning 241," Larefi Working Papers, Larefi, Université Bordeaux 4, number 1304, Apr.
• Hui Jun ZHANG & Jean-Marie DUFOUR & John W. GALBRAITH, 2013, "Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 14-2013.
• Martin Lettau & Sydney C. Ludvigson, 2013, "Shocks and Crashes," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2013, Volume 28".
• Joseph Gyourko & Joseph Tracy, 2013, "Unemloyment and Unobserved Credit Risk in the FHA Single Family Mortgage Insurance Fund," NBER Working Papers, National Bureau of Economic Research, Inc, number 18880, Mar.
• Bryan Kelly & Hao Jiang, 2013, "Tail Risk and Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 19375, Aug.
• Sumit Agarwal & Itzhak Ben-David & Vincent Yao, 2013, "Collateral Valuation and Borrower Financial Constraints: Evidence from the Residential Real Estate Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 19606, Oct.
• Frits Bos & Coen Teulings, 2013, "Short- and long-term forecasting by the Netherlands Bureau for Economic Policy Analysis (CPB): Science, witchcraft, or practical tool for policy?," OECD Journal on Budgeting, OECD Publishing, volume 13, issue 1, pages 45-56, DOI: 10.1787/budget-13-5k409g58z133.
• Droj Laurentiu & Droj Gabriela, 2013, "Sensitivity Assessment Modelling In European Funded Projects Proposed By Romanian Companies," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 361-371, December.
• Droj Laurentiu, 2013, "Proposal Of A Common Scoring System For Selection Of Eu Funded Projects Developed By Romanian Companies," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 372-381, December.
• Xin Jin & John M. Maheu, 2013, "Modeling Realized Covariances and Returns," Journal of Financial Econometrics, Oxford University Press, volume 11, issue 2, pages 335-369, March.
• Ai Deng, 2013, "Understanding Spurious Regression in Financial Economics," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 1, pages 122-150, December.
• Leandro Maciel, 2013, "A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting," Palgrave Macmillan Books, Palgrave Macmillan, chapter 11, in: Jonathan A. Batten & Peter MacKay & Niklas Wagner, "Advances in Financial Risk Management", DOI: 10.1057/9781137025098_11.
• Boleslaw Borkowski & Monika Krawiec & Yochanan Shachmurove, 2013, "Modeling and Estimating Volatility of Options on Standard & Poor’s 500 Index," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 13-015, Feb.
• Haim Kedar-Levy, 2013, "A Robust Valuation Model for Entrepreneurial Ventures," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 16, issue 2, pages 57-74, Spring.
• Michael Hanias & Lykourgos Magafas & P. Konstantaki, 2013, "Non Linear Analysis Of S&P Index," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 8, issue 4, pages 125-135, December, DOI: 10.12775/EQUIL.2013.030.
• Komijani, Akbar & Naderi, Esmaeil & Gandali Alikhani, Nadiya, 2013, "A Hybrid Approach for Forecasting of Oil Prices Volatility," MPRA Paper, University Library of Munich, Germany, number 44654, Jan.
• Koop, Gary & Korobilis, Dimitris, 2013, "A New Index of Financial Conditions," MPRA Paper, University Library of Munich, Germany, number 45463, Mar.
• Nazarian, Rafik & Naderi, Esmaeil & Gandali Alikhani, Nadiya & Amiri, Ashkan, 2013, "Long Memory Analysis: An Empirical Investigation," MPRA Paper, University Library of Munich, Germany, number 45605, Jan.
• Yashkir, Olga & Yashkir, Yuriy, 2013, "Loss Given Default Modelling: Comparative Analysis," MPRA Paper, University Library of Munich, Germany, number 46147, Mar.
• Yashkir, Olga & Yashkir, Yuriy, 2013, "Monitoring of Credit Risk through the Cycle: Risk Indicators," MPRA Paper, University Library of Munich, Germany, number 46402, Mar.
• Matkovskyy, Roman, 2013, "To the Problem of Financial Safety Estimation: the Index of Financial Safety of Turkey," MPRA Paper, University Library of Munich, Germany, number 47673.
• Bhattarai, Keshab, 2013, "Financial Deepening and Economic Growth," MPRA Paper, University Library of Munich, Germany, number 48696, Jul.
• Chen, Shiu-Sheng, 2013, "Forecasting Crude Oil Price Movements with Oil-Sensitive Stocks," MPRA Paper, University Library of Munich, Germany, number 49240, Aug.
• Bunčák, Tomáš, 2013, "Jump Processes in Exchange Rates Modeling," MPRA Paper, University Library of Munich, Germany, number 49882, Sep.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013, "Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets," MPRA Paper, University Library of Munich, Germany, number 49921, Sep.
• Chowdhury, Tasnim & Datta, Rajib & Mohajan, Haradhan, 2013, "Green finance is essential for economic development and sustainability," MPRA Paper, University Library of Munich, Germany, number 51169, Mar, revised 09 Jun 2013.
• Ezzat, Hassan, 2013, "Long Memory Processes and Structural Breaks in Stock Returns and Volatility: Evidence from the Egyptian Exchange," MPRA Paper, University Library of Munich, Germany, number 51465, Aug.
• Nath, Golaka, 2013, "The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis," MPRA Paper, University Library of Munich, Germany, number 51591, Oct.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013, "Venture capital optimal investment portfolio strategies selection in diffusion - type financial systems in global capital markets with nonlinearities," MPRA Paper, University Library of Munich, Germany, number 51741, Nov.
• Schröder, Anna Louise & Fryzlewicz, Piotr, 2013, "Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery," MPRA Paper, University Library of Munich, Germany, number 52379.
• Dimitris, Korobilis, 2013, "Forecasting with Factor Models: A Bayesian Model Averaging Perspective," MPRA Paper, University Library of Munich, Germany, number 52724, Jan.
• Kogan, Anton, 2013, "Финансовая Инновация - Миф Или Реальность?
  [Financial innovation - myth or reality?]," MPRA Paper, University Library of Munich, Germany, number 52739, Dec.
• Sinha, Mukesh Kumar & Dhaka, J. P. & Mondal, B., 2013, "Analysing social attributes of loan default among small Indian Dairy farms: A discriminating approach," MPRA Paper, University Library of Munich, Germany, number 53362, Dec, revised 20 Jan 2014.
• Jarraya, Bilel & Bouri, Abdelfettah, 2013, "Multiobjective optimization for the asset allocation of European nonlife insurance companies," MPRA Paper, University Library of Munich, Germany, number 53697, revised 2013.
• Jarraya, Bilel, 2013, "Asset allocation and portfolio optimization problems with metaheuristics: a literature survey," MPRA Paper, University Library of Munich, Germany, number 53698, revised 2013.
• Kazemi, Hossein S. & Zhai, Weili & He, Jibao & Cai, Jinghan, 2013, "Stock Market Volatility, Speculative Short Sellers and Weekend Effect: International Evidence," MPRA Paper, University Library of Munich, Germany, number 54185, Jul, revised 15 Jul 2013.
• Xu, Xin, 2013, "Forecasting Bankruptcy with Incomplete Information," MPRA Paper, University Library of Munich, Germany, number 55024, May, revised 31 Mar 2014.
• Liu, Xiaochun, 2013, "Systemic Risk of Commercial Banks: A Markov-Switching Quantile Autoregression Approach," MPRA Paper, University Library of Munich, Germany, number 55801, Dec.
• Arayssi, Mahmoud, 2013, "Price Drivers and Investment Strategies of Gold," MPRA Paper, University Library of Munich, Germany, number 56115, Dec.
• Bos, Frits & Teulings, Coen, 2013, "Short and long-term forecasting by the Netherlands Bureau for Economic Policy Analysis (CPB): science, witchcraft, or practical tool for policy?," MPRA Paper, University Library of Munich, Germany, number 57564.
• Zhang, Guangfeng & Zhang, Qiong & Majeed, Muhammad Tariq, 2013, "Exchange Rate Determination and Forecasting: Can the Microstructure Approach Rescue Us from the Exchange Rate Disparity?," MPRA Paper, University Library of Munich, Germany, number 57673.
• Mynhardt, H. R. & Plastun, Alex, 2013, "The Overreaction Hypothesis: The Case of Ukrainian Stock Market," MPRA Paper, University Library of Munich, Germany, number 58941.
• Plastun, Alex & Plastun, Vyacheslav, 2013, "Force-majeure events and financial market’s behavior," MPRA Paper, University Library of Munich, Germany, number 58975.
• Lof, Matthijs, 2013, "Essays on Expectations and the Econometrics of Asset Pricing," MPRA Paper, University Library of Munich, Germany, number 59064, May.
• FERROUHI, El Mehdi & LEHADIRI, Abderrassoul, 2013, "Liquidity Determinants of Moroccan Banking Industry," MPRA Paper, University Library of Munich, Germany, number 59888, Nov.
• Molenaars, Tomas K. & Reinerink, Nick H. & Hemminga, Marcus A., 2013, "Forecasting the yield curve - Forecast performance of the dynamic Nelson-Siegel model from 1971 to 2008," MPRA Paper, University Library of Munich, Germany, number 61862, Jul.
• Dhaoui, Elwardi, 2013, "What we have learnt from financial econometrics modeling?," MPRA Paper, University Library of Munich, Germany, number 63843.
• Degiannakis, Stavros & Livada, Alexandra, 2013, "Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors," MPRA Paper, University Library of Munich, Germany, number 67968, Nov.
• FERROUHI, El Mehdi & EZZAHID, Elhadj, 2013, "Trading mechanisms, return’s volatility and efficiency in the Casablanca Stock Exchange," MPRA Paper, University Library of Munich, Germany, number 77322, Jul.
• Degiannakis, Stavros & Floros, Christos & Dent, Pamela, 2013, "Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence," MPRA Paper, University Library of Munich, Germany, number 80433.
• Degiannakis, Stavros & Floros, Christos, 2013, "Modeling CAC40 Volatility Using Ultra-high Frequency Data," MPRA Paper, University Library of Munich, Germany, number 80445.
• Degiannakis, Stavros & Livada, Alexandra, 2013, "Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process," MPRA Paper, University Library of Munich, Germany, number 80449.
• Degiannakis, Stavros & Livada, Alexandra, 2013, "Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process," MPRA Paper, University Library of Munich, Germany, number 80489.
• Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013, "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers, University of Pretoria, Department of Economics, number 201351, Sep.
• Jozef Barunik, 2013, "Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition?," ACTA VSFS, University of Finance and Administration, volume 7, issue 1, pages 6-30.
• Peter Jurečka, 2013, "Strategy and Portfolio Management Aspects of Integrated Business Planning," Central European Business Review, Prague University of Economics and Business, volume 2013, issue 1, pages 28-34, DOI: 10.18267/j.cebr.36.
• Ewa Ratuszny, 2013, "Robust Estimation in VaR Modelling - Univariate Approaches using Bounded Innovation Propagation and Regression Quantiles Methodology," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 5, issue 1, pages 35-63, March.
• Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2013, "On the Benefits of Equicorrelation for Portfolio Allocation," NCER Working Paper Series, National Centre for Econometric Research, number 99, Dec.
• Hao Liu & Winfried Pohlmeier, 2013, "Risk Preferences and Estimation Risk in Portfolio Choice," Working Paper series, Rimini Centre for Economic Analysis, number 47_13, Aug.
• Margarita Debuque-Gonzales & Maria Socorro Gochoco-Bautista, 2013, "Financial Conditions Indexes for Asian Economies," ADB Economics Working Paper Series, Asian Development Bank, number 333, Jan.
• Yaroslav Bologov, 2013, "A copula-based approach to portfolio credit risk modeling," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 29, issue 1, pages 45-66.
• Zoran Ivanovic & Sinisa Bogdan & Suzana Baresa, 2013, "Forecasting Croatian Stock Market Index: Crobex," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, volume 4, issue 2, pages 79-91.
• Kedong YIN & Hengda ZHANG & Wenbo ZHANG & Qian WEI, 2013, "Fractal Analysis of the Gold Market in China," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 144-163, October.
• Stefano Schiaffi, 2013, "The Granularity of the Stock Market: Forecasting Aggregate Returns Using Firm-Level Data," Rivista di Politica Economica, SIPI Spa, issue 4, pages 141-169, October-D.
• Leonardo Becchetti & Rocco Ciciretti & Iftekhar Hasan, 2013, "Corporate Social Responsibility, Stakeholder Risk, and Idiosyncratic Volatility," CEIS Research Paper, Tor Vergata University, CEIS, number 285, Jul, revised 16 Dec 2013.
• Hyun Hak Kim & Norman Swanson, 2013, "Mining Big Data Using Parsimonious Factor and Shrinkage Methods," Departmental Working Papers, Rutgers University, Department of Economics, number 201316, Jul.
• De la Torre Torres, Oscar Valdemar, 2013, "Estimación de alfa en fondos con beneficios definidos mediante una matriz t-Student O-GARCH. Una evaluación de las pensiones civiles del Estado de Michoacán /Estimation of Alpha in Defined Benefit Pension Funds with a t-Student O-GARCH Matrix : a tes," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 3, issue 1, pages 39-72, enero-jun.
• Abderrazak Dhaoui & Saad Bourouis & Melek Acar Boyacioglu, 2013, "The Impact Of Investor Psychology On Stock Markets: Evidence From France," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, volume 5, issue 1 (June), pages 35-59.
• Luca Riccetti, 2013, "A copula–GARCH model for macro asset allocation of a portfolio with commodities," Empirical Economics, Springer, volume 44, issue 3, pages 1315-1336, June, DOI: 10.1007/s00181-012-0577-1.