Research classified by Journal of Economic Literature (JEL) codes

2013

• 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.
• Christian Pierdzioch & Jan-Christoph Rülke, 2013, "A note on the anti-herding instinct of interest rate forecasters," Empirical Economics, Springer, volume 45, issue 2, pages 665-673, October, DOI: 10.1007/s00181-012-0630-0.
• Nico Singer & Saskia Laser & Frank Dreher, 2013, "Published stock recommendations as investor sentiment in the near-term stock market," Empirical Economics, Springer, volume 45, issue 3, pages 1233-1249, December, DOI: 10.1007/s00181-012-0649-2.
• Chiao-Yi Chang, 2013, "Daily momentum profits with firm characteristics and investors’ optimism in the Taiwan market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 37, issue 2, pages 253-273, April, DOI: 10.1007/s12197-011-9182-y.
• David Ashton & Pengguo Wang, 2013, "Terminal valuations, growth rates and the implied cost of capital," Review of Accounting Studies, Springer, volume 18, issue 1, pages 261-290, March, DOI: 10.1007/s11142-012-9208-5.
• Kenneth J. Merkley & Linda S. Bamber & Theodore E. Christensen, 2013, "Detailed management earnings forecasts: do analysts listen?," Review of Accounting Studies, Springer, volume 18, issue 2, pages 479-521, June, DOI: 10.1007/s11142-012-9214-7.
• Günter Franke, 2013, "Known Unknowns in Verbriefungen," Schmalenbach Journal of Business Research, Springer, volume 65, issue 67, pages 1-34, January, DOI: 10.1007/BF03373020.
• Nico Katzke, 2013, "South African Sector Return Correlations: using DCC and ADCC Multivariate GARCH techniques to uncover the underlying dynamics," Working Papers, Stellenbosch University, Department of Economics, number 17/2013.
• Petr Geraskin & Dean Fantazzini, 2013, "Everything you always wanted to know about log-periodic power laws for bubble modeling but were afraid to ask," The European Journal of Finance, Taylor & Francis Journals, volume 19, issue 5, pages 366-391, May, DOI: 10.1080/1351847X.2011.601657.
• Dungey, Mardi & Henry, Olan T & Hvodzdyk, Lyudmyla, 2013, "The impact of jumps and thin trading on realized hedge ratios," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2013-02, Mar, revised 28 Mar 2013.
• Ekaterina Dorodnykh, 2013, "What Drives Stock Exchange Integration?," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 6, issue 2, pages 47-79, September.
• Marcin Jaskowski & Michael McAleer, 2013, "Estimating Implied Recovery Rates from the Term Structure of CDS Spreads," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-005/III, Jan.
• Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013, "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-010/III, Jan.
• Eran Raviv, 2013, "Prediction Bias Correction for Dynamic Term Structure Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-041/III, Mar.
• David Ardia & Lennart Hoogerheide, 2013, "GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-047/III, Mar.
• Massimiliano Caporin & Michael McAleer, 2013, "Ten Things you should know about DCC," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-048/III, Mar.
• Lukasz Gatarek & Lennart Hoogerheide & Koen Hooning & Herman K. van Dijk, 2013, "Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-060/III, Apr, revised 06 Mar 2014.
• Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Perez Amaral & Paulo Araujo Santos, 2013, "GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-070/III, May.
• Massimiliano Caporin & Michael McAleer, 2013, "Ten Things you should know about the Dynamic Conditional Correlation Representation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-078/III, Jun.
• Anne Opschoor & Dick van Dijk & Michel van der Wel, 2013, "Predicting Covariance Matrices with Financial Conditions Indexes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-113/III, Aug.
• Bert de Bruijn & Philip Hans Franses, 2013, "Forecasting Earnings Forecasts," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-121/III, Aug.
• Dennis Karstanje & Elvira Sojli & Wing Wah Tham & Michel van der Wel, 2013, "Economic Valuation of Liquidity Timing," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-156/IV/DSF64, Oct.
• Massimiliano Caporin & Michael McAleer, 2013, "Ten Things You Should Know About DCC," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2013-12, Mar.
• Massimiliano Caporin & Michael McAleer, 2013, "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2013-21, Jun.
• Massimiliano Caporin & Juan Ángel Jiménez Martín & Lydia González-Serrano, 2013, "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2013-36, Jun.
• Magomet Yandiev & Alexander Pakhalov, 2013, "The relationship between stock market parameters and interbank lending market: an empirical evidence," Working Papers, Moscow State University, Faculty of Economics, number 0002, Nov.
• Audrino, Francesco & Fengler, Matthias, 2013, "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1311, Mar.
• Chabi-Yo, Fousseni & Ruenzi, Stefan & Weigert, Florian, 2013, "Crash Sensitivity and the Cross-Section of Expected Stock Returns," Working Papers on Finance, University of St. Gallen, School of Finance, number 1324, Mar, revised Feb 2016.
• Weigert, Florian, 2013, "Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide," Working Papers on Finance, University of St. Gallen, School of Finance, number 1325, Mar, revised Nov 2015.
• Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2013, "Extreme Downside Liquidity Risk," Working Papers on Finance, University of St. Gallen, School of Finance, number 1326, Nov, revised Jul 2015.
• P. Barton DELACY & Eric M. ROSS, 2013, "Romania, the Next Frontier for Wind Power," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 8, issue 1, pages 60-61.
• Brian J. CURRY, 2013, "The Trouble with Rates in the Subdivision Development Method to Land Valuation," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 8, issue 2, pages 72-115.
• Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2013, "Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2013:08.
• Szymon Kamiński, 2013, "The pricing of options on WIG20 using GARCH models," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2013-06.
• Jan Novotn?? & Jan Hanousek & Ev??en Ko??enda, 2013, "Price Jump Indicators: Stock Market Empirics During the Crisis," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp1050, Jun.
• Jan Hanousek & Ev??en Ko??enda & Jan Novotn??, 2013, "Price Jumps on European Stock Markets," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp1059, Sep.
• Michael McAleer & Juan‐Ángel Jiménez‐Martín & Teodosio Pérez‐Amaral, 2013, "International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord," Journal of Forecasting, John Wiley & Sons, Ltd., volume 32, issue 3, pages 267-288, April.
• Ming Lin & Changjiang Liu & Linlin Niu, 2013, "Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2013-10-14, Oct.
• Haavio, Markus & Mendicino, Caterina & Punzi, Maria Teresa, 2013, "Financial and economic downturns in OECD countries," Bank of Finland Research Discussion Papers, Bank of Finland, number 35/2013.
• Meub, Lukas & Proeger, Till & Bizer, Kilian, 2013, "Anchoring: A valid explanation for biased forecasts when rational predictions are easily accessible and well incentivized?," University of Göttingen Working Papers in Economics, University of Goettingen, Department of Economics, number 166.
• Brinkmann, Felix & Kempf, Alexander & Korn, Olaf, 2013, "Forward-looking measures of higher-order dependencies with an application to portfolio selection," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-08.
• Baule, Rainer & Korn, Olaf & Saßning, Sven, 2013, "Which beta is best? On the information content of option-implied betas," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-11.
• Segnon, Mawuli & Lux, Thomas, 2013, "Multifractal models in finance: Their origin, properties, and applications," Kiel Working Papers, Kiel Institute for the World Economy, number 1860.
• Karimi, Fariba & Raddant, Matthias, 2013, "Cascades in real interbank markets," Kiel Working Papers, Kiel Institute for the World Economy, number 1872.
• Vilkovz, Grigory & Xiaox, Yan, 2013, "Option-implied information and predictability of extreme returns," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 5, DOI: 10.2139/ssrn.2209654.
• Hautsch, Nikolaus & Kyj, Lada. M. & Malec, Peter, 2013, "Do high-frequency data improve high-dimensional portfolio allocations?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-014.
• Choros-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013, "CDO surfaces dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-032.
• Gribisch, Bastian, 2013, "A latent dynamic factor approach to forecasting multivariate stock market volatility," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 79823.

2012

• Tomáš Havránek & Roman Horváth & Jakub Matějů, 2012, "Monetary transmission and the financial sector in the Czech Republic," Economic Change and Restructuring, Springer, volume 45, issue 3, pages 135-155, August, DOI: 10.1007/s10644-011-9106-z.
• Alexander Kerl & Oscar Stolper & Andreas Walter, 2012, "Tagging the triggers: an empirical analysis of information events prompting sell-side analyst reports," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 26, issue 2, pages 217-246, June, DOI: 10.1007/s11408-012-0184-3.
• Stefan Kanne & Jan Klobucnik & Daniel Kreutzmann & Soenke Sievers, 2012, "To buy or not to buy? The value of contradictory analyst signals," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 26, issue 4, pages 405-428, December, DOI: 10.1007/s11408-012-0196-z.
• Rebel Cole & Lawrence White, 2012, "Déjà Vu All Over Again: The Causes of U.S. Commercial Bank Failures This Time Around," Journal of Financial Services Research, Springer;Western Finance Association, volume 42, issue 1, pages 5-29, October, DOI: 10.1007/s10693-011-0116-9.
• Camilo Serrano & Martin Hoesli, 2012, "Fractional Cointegration Analysis of Securitized Real Estate," The Journal of Real Estate Finance and Economics, Springer, volume 44, issue 3, pages 319-338, April, DOI: 10.1007/s11146-009-9231-x.
• Florence Guillaume & Wim Schoutens, 2012, "Calibration risk: Illustrating the impact of calibration risk under the Heston model," Review of Derivatives Research, Springer, volume 15, issue 1, pages 57-79, April, DOI: 10.1007/s11147-011-9069-2.
• Beixin Lin & Rong Yang, 2012, "Does Regulation Fair Disclosure affect analysts’ forecast performance? The case of restructuring firms," Review of Quantitative Finance and Accounting, Springer, volume 38, issue 4, pages 495-517, May, DOI: 10.1007/s11156-011-0234-3.
• Michael McAleer & Shawkat Hammoudeh, 2012, "Risk Management and Financial Derivatives:An Overview," KIER Working Papers, Kyoto University, Institute of Economic Research, number 816, Apr.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2012, "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," KIER Working Papers, Kyoto University, Institute of Economic Research, number 832, Nov.
• Marcin Jaskowski & Michael McAleer, 2012, "Estimating implied recovery rates from the term structure of CDS spreads," KIER Working Papers, Kyoto University, Institute of Economic Research, number 836, Dec.
• Kiyani, Mohammad Fereydoun & Mahfoozian, Mehri, 2012, "Evaluation of the Efficiency of Different Methods in Designing Credit Scoring Models," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 5, issue 13, pages 95-120, December.
• Christophe Boucher & Bertrand Maillet, 2012, "Prévoir sans persistance," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 12001, Jan, DOI: 10.3917/reco.633.0581.
• Dominique Guegan & Xin Zhao, 2012, "Alternative Modeling for Long Term Risk," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 12025, Mar, DOI: 10.1080/14697688.2013.835860.
• Christian Brown & Fred Abraham, 2012, "Sum of Perpetuities Method for Valuing Stock Prices," Journal of Economic Insight, Missouri Valley Economic Association, volume 38, issue 1, pages 59-72.
• Weihong HUANG & Wanying Wang, 2012, "Price-Volume Relations in Financial Market," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 1209, Sep.
• Jakub Muck & Pawel Skrzypczynski, 2012, "Can we beat the random walk in forecasting CEE exchange rates?," NBP Working Papers, Narodowy Bank Polski, number 127.
• John H. Cochrane, 2012, "Continuous-Time Linear Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 18181, Jun.
• Kenneth D. West, 2012, "Econometric Analysis of Present Value Models When the Discount Factor Is near One," NBER Working Papers, National Bureau of Economic Research, Inc, number 18247, Jul.
• Charles Engel & Nelson C. Mark & Kenneth D. West, 2012, "Factor Model Forecasts of Exchange Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 18382, Sep.
• Zhi Da & Ravi Jagannathan & Jianfeng Shen, 2012, "Building Castles in the Air: Evidence from Industry IPO Waves," NBER Working Papers, National Bureau of Economic Research, Inc, number 18555, Nov.
• Droj Laurentiu & Droj Gabriela, 2012, "Usage Of Acb-Minind Software In The Cba Analysis For Financing Investment Projects Through European Funding In Correlation With The Financing From The Banking System," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 551-556, December.
• Zapodeanu Daniela & Cociuba Mihai & Petria Nicolae, 2012, "The Role Of Value At Risk In The Management Of Asset And Liabilities," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 635-640, December.
• Bryan Kelly & Alexander Ljungqvist, 2012, "Testing Asymmetric-Information Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, volume 25, issue 5, pages 1366-1413.
• Din Alina-Valentina & Diaconu Mihaela, 2012, "Opportunities for Using Alternative Energy Resources and Models for Estimating the Fair Value of a Green Energy System," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 324-329, May.
• Adrian Lupaºc & Ioana Lupaºc & Cristina Gabriela Zamfir, 2012, "Impact of Intelligent Modern Technologies in Business," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 580-585, May.
• Dãnãnãu Cristian-Florin & Alexandru Ciprian-Antoniade, 2012, "Credit Market as a “Mirror” of the Economic System: A Disequilibrium Approach," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 3, pages 1-64, Decembre.
• Daniel Kapp & Marco Vega, 2012, "Real Output Costs of Financial Crises: a Loss Distribution Approach," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2012-332.
• Dumitru Ciobanu, 2012, "The Horizon of Prediction for Exchange Rate Eur-Leu," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, volume 12, issue 2, pages 85-92.
• Syeda Rabab Mudakkar & Jamshed Y. Uppal, 2012, "Risk Management in the Financial Services Sector—Applicability and Performance of VaR Models in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 51, issue 4, pages 399-417.
• Lúcio Godeiro, Lucas, 2012, "Estimando o VaR (Value-at-Risk) de carteiras via modelos da família GARCH e via Simulação de Monte Carlo
  [Estimating the VaR (Value-at-Risk) of portfolios via GARCH family models and via Monte Carlo Simulation]," MPRA Paper, University Library of Munich, Germany, number 45146, Jun.
• Diamondopoulos, John, 2012, "To what extent are financial crises comparable and thus predictable?," MPRA Paper, University Library of Munich, Germany, number 45668, Oct.
• Diaw, Abdou & Bacha, Obiyathulla Ismath & Lahsasna, Ahcene, 2012, "Incentive-Compatible Sukuk Musharakah for Private Sector Funding," MPRA Paper, University Library of Munich, Germany, number 46009.
• Abounoori, Abbas Ali & Mohammadali, Hanieh & Gandali Alikhani, Nadiya & Naderi, Esmaeil, 2012, "Comparative study of static and dynamic neural network models for nonlinear time series forecasting," MPRA Paper, University Library of Munich, Germany, number 46466, Oct.
• Saturnino, Odilon & Saturnino, Valéria & Gois de Oliveira, Marcos Roberto & Lucena, Pierre & Araújo, Luiz Fernando, 2012, "Estratégia Contrária e Efeito Liquidez no Brasil: Uma Análise Econométrica
  [Opposite strategy and liquidity effect: an econometric analysis]," MPRA Paper, University Library of Munich, Germany, number 48104, Jul.
• Muntean, Mihaela & Muntean, Cornelia, 2012, "Evaluating A Business Intelligence Solution. Feasibility Analysis Based On Monte Carlo Method," MPRA Paper, University Library of Munich, Germany, number 48478, Nov, revised 28 May 2013.
• Hiremath, Gourishankar S & Bandi, Kamaiah, 2012, "Variance ratios, structural breaks and nonrandom walk behaviour in the Indian stock returns," MPRA Paper, University Library of Munich, Germany, number 48710.
• Bławat, Bogusław, 2012, "High Frequency Trading and the Warsaw Stock Exchange Fees' Structure - Preliminary Examination," MPRA Paper, University Library of Munich, Germany, number 49120, Sep.
• Ezzat, Hassan, 2012, "The Application of GARCH Methods in Modeling Volatility Using Sector Indices from the Egyptian Exchange," MPRA Paper, University Library of Munich, Germany, number 51584, Dec.
• Huang, Huichou & MacDonald, Ronald & Zhao, Yang, 2012, "Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs," MPRA Paper, University Library of Munich, Germany, number 53745, Jul, revised 18 Nov 2013.
• Buła, Rafał, 2012, "Wpływ kryzysu finansowego na oszacowania wykładnika Hursta - analiza fraktalna cen wybranych metali
  [Influence of financial crisis on Hurst exponent estimates - fractal analysis of selected metals prices]," MPRA Paper, University Library of Munich, Germany, number 59710.
• Buła, Rafał, 2012, "Aspekty metodyczne szacowania wymiaru fraktalnego finansowych szeregów czasowych
  [Methodical aspects of estimating fractal dimension of financial time series]," MPRA Paper, University Library of Munich, Germany, number 59711.
• Johansson, Bo, 2012, "A note on approximating bond returns allowing for both yield change and time passage," MPRA Paper, University Library of Munich, Germany, number 92607, Jul.
• Petra Buzková & Petr Teplý, 2012, "Collateralized Debt Obligations' Valuation Using the One Factor Gaussian Copula Model," Prague Economic Papers, Prague University of Economics and Business, volume 2012, issue 1, pages 30-49, DOI: 10.18267/j.pep.409.
• Milan Šimáček, 2012, "Indexy finančního stresu pro Českou republiku a Maďarsko
  [Financial Stress Indexes for the Czech Republic and Hungary]," Politická ekonomie, Prague University of Economics and Business, volume 2012, issue 5, pages 614-634, DOI: 10.18267/j.polek.866.
• Jan G. De Gooijer & Cees G. H. Diks & Łukasz T. Gątarek, 2012, "Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 4, issue 1, pages 23-44, March.
• Adam E Clements & Ayesha Scott & Annastiina Silvennoinen, 2012, "Forecasting multivariate volatility in larger dimensions: some practical issues," NCER Working Paper Series, National Centre for Econometric Research, number 80, Feb.
• Kapp, Daniel & Vega, Marco, 2012, "The Real Output Costs of Financial Crisis: A Loss Distribution Approach," Working Papers, Banco Central de Reserva del Perú, number 2012-013, May.
• Jacques Pézier & Johanna Scheller, 2012, "Average Portfolio Insurance Strategies," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2012-05, Jan.
• Carol Alexander & Daniel Ledermann, 2012, "ROM Simulation: Applications to Stress Testing and VaR," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2012-09, May.
• Piotr Szymański, 2012, "Problems in business valuation –analysis of survey results," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 15, issue 44, pages 137-162, June.
• Piotr Szymański, 2012, "Problems in business valuation –analysis of survey results," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 15, issue 44, pages 153-178, June.
• Alexandru Constantinescu, 2012, "The business cycles and the influence of economic confidence indicators in the European region," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 15, issue 44, pages 201-224, June.
• Xin Jin & John M. Maheu, 2012, "Modelling Realized Covariances and Returns," Working Paper series, Rimini Centre for Economic Analysis, number 49_12, Jun.
• Elvina Frolova & Dean Fantazzini, 2012, "Credit default swaps and CDS-bond basis with Russian companies: a review and an analysis of the effects of the short selling ban during the second great contraction," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 25, issue 1, pages 3-24.
• Anton Semushin & Petr Parshakov, 2012, "Data frequency and mutual fund performance measures," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 25, issue 1, pages 95-114.
• Vladimir Habrov, 2012, "Optimization of portfolio management based on vector autoregression models and multivariate volatility models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 28, issue 4, pages 35-62.
• Luís Gomes & Vasco Soares, 2012, "Dependência De Longo Prazo Em Retornos Accionistas: Modelação E Evidência Empírica Internacional," Working Papers, Universidade Portucalense, Centro de Investigação em Gestão e Economia (CIGE), number 23/2012, Jan.
• Vasilios Plakandaras & Theophilos Papadimitriou & Periklis Gogas, 2012, "Directional forecasting in financial time series using support vector machines: The USD/Euro exchange rate," DUTH Research Papers in Economics, Democritus University of Thrace, Department of Economics, number 5-2012, Jan.
• Rocco Ciciretti & Raffaele Corvino, 2012, "How Homogeneous Diversification in Balanced Investment Funds Affects Portfolio and Systemic Risk," Journal of Financial Transformation, Capco Institute, volume 34, pages 195-210.
• Siwei Gao & Michael R. Powers & Zaneta A. Chapman, 2012, "A risk-based risk finance paradigm," Journal of Financial Transformation, Capco Institute, volume 35, pages 173-178.
• Cifter, Atilla, 2012, "Volatility Forecasting with Asymmetric Normal Mixture Garch Model: Evidence from South Africa," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 127-142, June.
• Matthew C. Chang & Jui-Cheng Hung, 2012, "Can VAR Be Predictive for Regulation? Evidence from the Futures Industry in Taiwan," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 147-162, December.
• Huang, Wen & Huang, Zhuo & Matei, Marius & Wang, Tianyi, 2012, "Price Volatility Forecast for Agricultural Commodity Futures： The Role of High Frequency Data," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 83-103, December.
• Mirela GHEORGHE, 2012, "Techniques and Simulation Models in Risk Management," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 15, issue 2, pages 354-362, December.
• V. I. Tinyakova, 2012, "The new approaches in econometric research of financial markets. Distributed volatility," Review of Applied Socio-Economic Research, Pro Global Science Association, volume 4, issue 2, pages 247-255, Decembre.
• Georgeta VINTILA & Georgia Maria TOROAPA, 2012, "Forecasting the Bankruptcy Risk on the Example of Romanian Enterprises," Romanian Statistical Review Supplement, Romanian Statistical Review, volume 60, issue 2, pages 377-388, May.
• Gabriela-Victoria ANGHELACHE & Viorel LEFTER & Andreea NEGRU (CIOBANU) & Georgeta BARDASU, 2012, "CAPM Evaluating Relation," Romanian Statistical Review Supplement, Romanian Statistical Review, volume 60, issue 4, pages 147-154, November.
• Gabriela-Victoria ANGHELACHE & Andreea NEGRU (CIOBANU) & Gheorghe LEPADATU, 2012, "Models for Evaluating the Company on FCFE and FCFF basis," Romanian Statistical Review Supplement, Romanian Statistical Review, volume 60, issue 4, pages 80-86, November.
• Leonardo Becchetti & Rocco Ciciretti & Alessandro Giovannelli, 2012, "Corporate Social Responsibility and Earnings Forecasting Unbiasedness," CEIS Research Paper, Tor Vergata University, CEIS, number 233, May, revised 08 Feb 2013.
• Mohamed Z. M. Aazim & N. S. Cooray, 2012, "Monetary Policy and Yield Curve Dynamics in an Emerging Market: Sri Lankan Perspectives," South Asian Journal of Macroeconomics and Public Finance, , volume 1, issue 1, pages 25-56, June, DOI: 10.1177/227797871200100104.
• Ortíz Arango, Francsco & Cabrera Llanos, Agustín I. & Cruz Aranda, Fernando, 2012, "Modelado del comportamiento del tipo de cambio peso-dólar mediante redes neuronales diferenciales / Peso-Dollar Exchange Rate Behavior Modelling by means of Differential Neural Networks," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 2, issue 1, pages 49-64, enero-jun.
• Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo, 2012, "Risk spillovers in international equity portfolios," Working Papers, Swiss National Bank, number 2012-03.
• Matteo Bonato, 2012, "Modeling fat tails in stock returns: a multivariate stable-GARCH approach," Computational Statistics, Springer, volume 27, issue 3, pages 499-521, September, DOI: 10.1007/s00180-011-0270-4.
• Yongtae Kim & Myung Seok Park, 2012, "Are all management earnings forecasts created equal? Expectations management versus communication," Review of Accounting Studies, Springer, volume 17, issue 4, pages 807-847, December, DOI: 10.1007/s11142-011-9178-z.
• Mark T. Bradshaw & Michael S. Drake & James N. Myers & Linda A. Myers, 2012, "A re-examination of analysts’ superiority over time-series forecasts of annual earnings," Review of Accounting Studies, Springer, volume 17, issue 4, pages 944-968, December, DOI: 10.1007/s11142-012-9185-8.
• Klaus Schredelseker, 2012, "Finanzkrise — Mitschuld der Theorie?," Schmalenbach Journal of Business Research, Springer, volume 64, issue 8, pages 833-845, December, DOI: 10.1007/BF03372871.
• Bernhard Pellens & Kai Lehmann, 2012, "Managementprognosen und Analystenschätzungen — Eine deskriptive Analyse auf Basis der HDAX-Unternehmen," Schmalenbach Journal of Business Research, Springer, volume 64, issue 8, pages 873-892, December, DOI: 10.1007/BF03372874.
• Malgorzata Sulimierska, 2012, "After Ten Years of the Russian Crisis, How Might IMF Intervention Be Evaluated?," Working Paper Series, Department of Economics, University of Sussex Business School, number 5112, Dec.
• Mircea ASANDULUI, 2012, "On forecasting stock options volatility: evidence from London international financial futures and options exchange," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, volume 0, pages 505-511, May.
• Bert de Bruijn & Philip Hans Franses, 2012, "What drives the Quotes of Earnings Forecasters?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-067/4, Jul.
• Dick van Dijk & Siem Jan Koopman & Michel van der Wel & Jonathan H. Wright, 2012, "Forecasting Interest Rates with Shifting Endpoints," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-076/4, Jul.
• Chia-Lin Chang & Lydia González-Serrano & Juan-Ángel Jiménez-Martín, 2012, "Currency Hedging Strategies Using Dynamic Multivariate GARCH," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-07, revised Feb 2012.
• Shawkat Hammoudeh & Michael McAleer, 2012, "Risk Management and Financial Derivatives: An Overview," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-08, Apr.
• Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012, "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-26, revised Oct 2012.
• Marcin Jaskowski & Michael McAleer, 2012, "Estimating Implied Recovery Rates from the Term Structure of CDS Spreads," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-28, Dec.
• Straetmans, S.T.M. & Candelon, B. & Ahmed, J., 2012, "Predicting and capitalizing on stock market bears in the U.S," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 019, Jan, DOI: 10.26481/umamet.2012019.
• Grigory V. Kalyagin & Vladimir A. Kozlov, 2012, "Coordination in Political Machinery under Dictatorship: Signals, Shirking and Repression," Working Papers, Moscow State University, Faculty of Economics, number 0001, May.
• Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2012, "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers on Finance, University of St. Gallen, School of Finance, number 1213, Feb.
• Bonato, Mateo & Caporin, Massimiliano & Ranaldo, Angelo, 2012, "Risk Spillovers in International Equity Portfolios," Working Papers on Finance, University of St. Gallen, School of Finance, number 1214, Feb.
• Süleyman Serdar KARACA & Arif SAVSAR, 2012, "The Effect Of Financial Ratios On The Firm Value: Evidence From Turkey," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 7, issue 1(19)/ Sp, pages 56-63.
• Süleyman Serdar KARACA & Hatice Neriman BAÅžDEMÄ°R, 2012, "The Applicability Of Artificial Neural Network Method Upon Prediction Of Rate Of Stock Return: Example Of 2008 Financial Crisis," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 7, issue 2(20)/ Su, pages 131-139.
• Cho JOONG-SEOK, 2012, "The Effect Of Accruals On Security Analysts’ Target Price Forecast Performance," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 7, issue 3(21)/ Fa, pages 228-234.
• Monica Billio & Roberto Casarin & Anthony Osuntuyi, 2012, "Efficient Gibbs Sampling for Markov Switching GARCH Models," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2012:35.
• Monica Billio & Massimiliano Caporin & Michele Costola, 2012, "Backward/forward optimal combination of performance measures for equity screening," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2012_13.
• Steven Lim, 2012, "Estimating the Final Size of an Online User Base," Working Papers in Economics, University of Waikato, number 12/15, Dec.
• Piotr Arendarski, 2012, "Tactical allocation in falling stocks: Combining momentum and solvency ratio signals," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2012-01.
• Pierre Chausse & Dinghai Xu, 2012, "GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study," Working Papers, University of Waterloo, Department of Economics, number 1203, May, revised May 2012.
• Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012, "A comprehensive look at financial volatility prediction by economic variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 6, pages 956-977, September.
• Aaron Tornell & Chunming Yuan, 2012, "Speculation and hedging in the currency futures markets: Are they informative to the spot exchange rates," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 32, issue 2, pages 122-151, February.
• Rohini Grover & Susan Thomas, 2012, "Liquidity Considerations in Estimating Implied Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 32, issue 8, pages 714-741, August.
• Silvia Centanni & Marco Minozzo, 2012, "Monte Carlo Derivative Pricing With Partial Information In A Class Of Doubly Stochastic Poisson Processes With Marks," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 15, issue 03, pages 1-22, DOI: 10.1142/S0219024912500185.
• William T Ziemba, 2012, "Calendar Anomalies and Arbitrage," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8467, ISBN: ARRAY(0x6cf3e3b8).