Research classified by Journal of Economic Literature (JEL) codes

2012

• Christophe Boucher & Bertrand Maillet, 2012, "Prévoir sans persistance," Revue économique, Presses de Sciences-Po, volume 63, issue 3, pages 581-590.
• Harvey, A. & Sucarrat, G., 2012, "EGARCH models with fat tails, skewness and leverage," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1236, Aug.
• Allen, D. & Lizieri, C. & Satchell, S., 2012, "Mean-Variance versus 1/N: What if we can forecast? (Updated 22nd December 2013)," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1244, Oct.
• Shawkat Hammoudeh & Michael McAleer, 2012, "Risk Management and Financial Derivatives: An Overview," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 12/10, Apr.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009, "Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-162, Aug.
• Michael McAleer, 2009, "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-164, Aug.
• Tanchanok Khamkaew & Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009, "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-175, Oct, revised Nov 2009.
• Michael McAleer & Marcelo C. Medeiros, 2009, "Forecasting Realized Volatility with Linear and Nonlinear Models," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-189, Oct.
• Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010, "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-202, Jan.
• Rattana Charussaengsuriya & Tawewan Tharnpipat, 2012, "Technical analysis of stock prices using Elliot wave theory and Fibonacci number," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, volume 1, issue 1, pages 91-102, March.
• Vaclav Hausenblas & Ivana Kubicova & Jitka Lesanovska, 2012, "Contagion Risk in the Czech Financial System: A Network Analysis and Simulation Approach," Working Papers, Czech National Bank, Research and Statistics Department, number 2012/14, Dec.
• Jorge Alberto Achcar & Edilberto Cepeda-Cuervo & Milton Barossi-Filho, 2012, "Multivariate volatility models: an application to IBOVESPA and Dow Jones Industrial," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Daiver Cardona Salgado, 2012, "Dependencia Estructural en los mercados Bursátiles de Colombia y Estados Unidos, una aproximación usando cópulas," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Carlos L�on, 2012, "Estimating financial institutions� intraday liquidity risk: a Monte Carlo simulation approach," Borradores de Economia, Banco de la Republica, number 9441, Apr.
• luis Fernando Melo & Hern�n Rinc�n, 2012, "Choques externos y precios de los activos en Latinoam�rica antes y despu�s de la quiebra de Lehman Brothers," Borradores de Economia, Banco de la Republica, number 9450, Apr.
• Luis Fernando Melo & Rub�n Albeiro Loaiza Maya, 2012, "Bayesian Forecast Combination for Inflation Using Rolling Windows: An Emerging Country Case," Borradores de Economia, Banco de la Republica, number 9511, Apr.
• Rogelio Maldonado Castano & Natalia Zapata Rueda & Javier Orlando Pantoja Robayo, 2012, "Estimación dinámica de una estructura de tasas de interés para Colombia: análisis empírico con filtros de Kalman," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10631, Sep.
• Simon Dubecq & Christian Gouriéroux, 2012, "Shock on Variable or Shock on Distribution with Application to Stress-Tests," Working Papers, Center for Research in Economics and Statistics, number 2012-03, Feb.
• Gorodnichenko, Yuriy & Mikusheva, Anna & Ng, Serena, 2012, "Estimators For Persistent And Possibly Nonstationary Data With Classical Properties," Econometric Theory, Cambridge University Press, volume 28, issue 5, pages 1003-1036, October.
• Amlan Roy, 2012, "Innovative Approaches to Managing Longevity Risk in Asia : Lessons from the West," Development Economics Working Papers, East Asian Bureau of Economic Research, number 23296, Apr.
• Amlan Roy, 2012, "Innovative Approaches to Managing Longevity Risk in Asia : Lessons from the West," Finance Working Papers, East Asian Bureau of Economic Research, number 23296, Apr.
• Amlan Roy, 2012, "Innovative Approaches to Managing Longevity Risk in Asia : Lessons from the West," Governance Working Papers, East Asian Bureau of Economic Research, number 23296, Apr.
• Amlan Roy, 2012, "Innovative Approaches to Managing Longevity Risk in Asia : Lessons from the West," Microeconomics Working Papers, East Asian Bureau of Economic Research, number 23296, Apr.
• Pierre Rostan & Alexandra Rostan, 2012, "Assessing the Predictive Power of Customer Satisfaction for Financial and Market Performances: Price-to-Earnings Ratio is a Better Predictor Overall," International Review of Management and Marketing, Econjournals, volume 2, issue 1, pages 59-74.
• Nakajima, Jouchi & Kunihama, Tsuyoshi & Omori, Yasuhiro & Frühwirth-Schnatter, Sylvia, 2012, "Generalized extreme value distribution with time-dependence using the AR and MA models in state space form," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 11, pages 3241-3259, DOI: 10.1016/j.csda.2011.04.017.
• Caporin, Massimiliano & Preś, Juliusz, 2012, "Modelling and forecasting wind speed intensity for weather risk management," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 11, pages 3459-3476, DOI: 10.1016/j.csda.2010.06.019.
• Asai, Manabu & McAleer, Michael & Medeiros, Marcelo C., 2012, "Modelling and forecasting noisy realized volatility," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 1, pages 217-230, January.
• Hautsch, Nikolaus & Huang, Ruihong, 2012, "The market impact of a limit order," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 4, pages 501-522, DOI: 10.1016/j.jedc.2011.09.012.
• Halbleib, Roxana & Pohlmeier, Winfried, 2012, "Improving the value at risk forecasts: Theory and evidence from the financial crisis," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 8, pages 1212-1228, DOI: 10.1016/j.jedc.2011.10.005.
• Lux, Thomas, 2012, "Estimation of an agent-based model of investor sentiment formation in financial markets," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 8, pages 1284-1302, DOI: 10.1016/j.jedc.2012.03.012.
• Liu, Hsiang-Hsi, 2012, "Interrelationships among the Taiwanese, Japanese and Korean TFT-LCD panel industry stock market indexes: An application of the trivariate FIEC–FIGARCH model," Economic Modelling, Elsevier, volume 29, issue 6, pages 2724-2733, DOI: 10.1016/j.econmod.2012.08.014.
• Cai, Charlie X. & Kyaw, Khine & Zhang, Qi, 2012, "Stock index return forecasting: The information of the constituents," Economics Letters, Elsevier, volume 116, issue 1, pages 72-74, DOI: 10.1016/j.econlet.2012.01.014.
• Pierdzioch, Christian & Rülke, Jan-Christoph, 2012, "Forecasting stock prices: Do forecasters herd?," Economics Letters, Elsevier, volume 116, issue 3, pages 326-329, DOI: 10.1016/j.econlet.2012.03.019.
• Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2012, "The conditional autoregressive Wishart model for multivariate stock market volatility," Journal of Econometrics, Elsevier, volume 167, issue 1, pages 211-223, DOI: 10.1016/j.jeconom.2011.11.004.
• West, Kenneth D., 2012, "Econometric analysis of present value models when the discount factor is near one," Journal of Econometrics, Elsevier, volume 171, issue 1, pages 86-97, DOI: 10.1016/j.jeconom.2012.07.002.
• Carmona, Julio & León, Angel & Vaello-Sebastià, Antoni, 2012, "Does stock return predictability affect ESO fair value?," European Journal of Operational Research, Elsevier, volume 223, issue 1, pages 188-202, DOI: 10.1016/j.ejor.2012.06.002.
• Comelli, Fabio, 2012, "Emerging market sovereign bond spreads: Estimation and back-testing," Emerging Markets Review, Elsevier, volume 13, issue 4, pages 598-625, DOI: 10.1016/j.ememar.2012.09.002.
• Aslanidis, Nektarios & Christiansen, Charlotte, 2012, "Smooth transition patterns in the realized stock–bond correlation," Journal of Empirical Finance, Elsevier, volume 19, issue 4, pages 454-464, DOI: 10.1016/j.jempfin.2012.04.005.
• Shynkevich, Andrei, 2012, "Short-term predictability of equity returns along two style dimensions," Journal of Empirical Finance, Elsevier, volume 19, issue 5, pages 675-685, DOI: 10.1016/j.jempfin.2012.07.003.
• McCulloch, James, 2012, "Fractal market time," Journal of Empirical Finance, Elsevier, volume 19, issue 5, pages 686-701, DOI: 10.1016/j.jempfin.2012.08.001.
• Arouri, Mohamed El Hédi & Lahiani, Amine & Lévy, Aldo & Nguyen, Duc Khuong, 2012, "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Energy Economics, Elsevier, volume 34, issue 1, pages 283-293, DOI: 10.1016/j.eneco.2011.10.015.
• Caporin, Massimiliano & Preś, Juliusz & Torro, Hipolit, 2012, "Model based Monte Carlo pricing of energy and temperature Quanto options," Energy Economics, Elsevier, volume 34, issue 5, pages 1700-1712, DOI: 10.1016/j.eneco.2012.02.008.
• Haugom, Erik & Ullrich, Carl J., 2012, "Forecasting spot price volatility using the short-term forward curve," Energy Economics, Elsevier, volume 34, issue 6, pages 1826-1833, DOI: 10.1016/j.eneco.2012.07.017.
• Mendes, Beatriz Vaz de Melo & Accioly, Victor Bello, 2012, "On the dependence structure of realized volatilities," International Review of Financial Analysis, Elsevier, volume 22, issue C, pages 1-9, DOI: 10.1016/j.irfa.2012.01.001.
• Molnár, Peter, 2012, "Properties of range-based volatility estimators," International Review of Financial Analysis, Elsevier, volume 23, issue C, pages 20-29, DOI: 10.1016/j.irfa.2011.06.012.
• LeBaron, Blake, 2012, "Wealth dynamics and a bias toward momentum trading," Finance Research Letters, Elsevier, volume 9, issue 1, pages 21-28, DOI: 10.1016/j.frl.2011.09.001.
• Smith, Geoffrey Peter, 2012, "Google Internet search activity and volatility prediction in the market for foreign currency," Finance Research Letters, Elsevier, volume 9, issue 2, pages 103-110, DOI: 10.1016/j.frl.2012.03.003.
• Dzielinski, Michal, 2012, "Measuring economic uncertainty and its impact on the stock market," Finance Research Letters, Elsevier, volume 9, issue 3, pages 167-175, DOI: 10.1016/j.frl.2011.10.003.
• Fernández-Avilés, Gema & Montero, Jose-María & Orlov, Alexei G., 2012, "Spatial modeling of stock market comovements," Finance Research Letters, Elsevier, volume 9, issue 4, pages 202-212, DOI: 10.1016/j.frl.2012.05.002.
• Simonato, Jean-Guy, 2012, "GARCH processes with skewed and leptokurtic innovations: Revisiting the Johnson Su case," Finance Research Letters, Elsevier, volume 9, issue 4, pages 213-219, DOI: 10.1016/j.frl.2012.06.002.
• Jordà, Òscar & Taylor, Alan M., 2012, "The carry trade and fundamentals: Nothing to fear but FEER itself," Journal of International Economics, Elsevier, volume 88, issue 1, pages 74-90, DOI: 10.1016/j.jinteco.2012.03.001.
• Del Brio, Esther B. & Perote, Javier, 2012, "Gram–Charlier densities: Maximum likelihood versus the method of moments," Insurance: Mathematics and Economics, Elsevier, volume 51, issue 3, pages 531-537, DOI: 10.1016/j.insmatheco.2012.07.005.
• Murtazashvili, Irina & Vozlyublennaia, Nadia, 2012, "The role of data limitations, seasonality and frequency in asset pricing models," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 3, pages 555-574, DOI: 10.1016/j.intfin.2011.12.001.
• Koutmos, Dimitrios, 2012, "An intertemporal capital asset pricing model with heterogeneous expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 5, pages 1176-1187, DOI: 10.1016/j.intfin.2012.05.007.
• Johnston, Rick & Leone, Andrew J. & Ramnath, Sundaresh & Yang, Ya-wen, 2012, "14-Week quarters," Journal of Accounting and Economics, Elsevier, volume 53, issue 1, pages 271-289, DOI: 10.1016/j.jacceco.2011.06.003.
• Cenesizoglu, Tolga & Timmermann, Allan, 2012, "Do return prediction models add economic value?," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 2974-2987, DOI: 10.1016/j.jbankfin.2012.06.008.
• Yamamoto, Ryuichi, 2012, "Intraday technical analysis of individual stocks on the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 3033-3047, DOI: 10.1016/j.jbankfin.2012.07.006.
• Brown, Stephen J. & Lajbcygier, Paul & Wong, Woon Weng, 2012, "Estimating the cost of capital with basis assets," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 3071-3079, DOI: 10.1016/j.jbankfin.2012.07.002.
• Shynkevich, Andrei, 2012, "Performance of technical analysis in growth and small cap segments of the US equity market," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 193-208, DOI: 10.1016/j.jbankfin.2011.07.001.
• Lobo, Gerald J. & Song, Minsup & Stanford, Mary, 2012, "Accruals quality and analyst coverage," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 497-508, DOI: 10.1016/j.jbankfin.2011.08.006.
• Rittler, Daniel, 2012, "Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis," Journal of Banking & Finance, Elsevier, volume 36, issue 3, pages 774-785, DOI: 10.1016/j.jbankfin.2011.09.009.
• Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten, 2012, "Pitfalls in VAR based return decompositions: A clarification," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1255-1265, DOI: 10.1016/j.jbankfin.2011.11.004.
• Barros Fernandes, José Luiz & Haas Ornelas, José Renato & Martínez Cusicanqui, Oscar Augusto, 2012, "Combining equilibrium, resampling, and analyst’s views in portfolio optimization," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1354-1361, DOI: 10.1016/j.jbankfin.2011.11.023.
• Gordy, Michael B. & Marrone, James, 2012, "Granularity adjustment for mark-to-market credit risk models," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 1896-1910, DOI: 10.1016/j.jbankfin.2012.02.010.
• Hong, Yongmiao & Lin, Hai & Wu, Chunchi, 2012, "Are corporate bond market returns predictable?," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2216-2232, DOI: 10.1016/j.jbankfin.2012.04.001.
• LeBaron, Blake, 2012, "Heterogeneous gain learning and the dynamics of asset prices," Journal of Economic Behavior & Organization, Elsevier, volume 83, issue 3, pages 424-445, DOI: 10.1016/j.jebo.2012.03.003.
• Markose, Sheri & Giansante, Simone & Shaghaghi, Ali Rais, 2012, "‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk," Journal of Economic Behavior & Organization, Elsevier, volume 83, issue 3, pages 627-646, DOI: 10.1016/j.jebo.2012.05.016.
• Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu, 2012, "Global, local, and contagious investor sentiment," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 272-287, DOI: 10.1016/j.jfineco.2011.11.002.
• Chernov, Mikhail & Mueller, Philippe, 2012, "The term structure of inflation expectations," Journal of Financial Economics, Elsevier, volume 106, issue 2, pages 367-394, DOI: 10.1016/j.jfineco.2012.06.004.
• Malliaris, M.E., 2012, "Comparison Of Currency Movement Before And After October 2008," The Journal of Economic Asymmetries, Elsevier, volume 9, issue 2, pages 45-57, DOI: 10.1016/j.jeca.2012.02.003.
• Fan, Qinbin & Jahan-Parvar, Mohammad R., 2012, "U.S. industry-level returns and oil prices," International Review of Economics & Finance, Elsevier, volume 22, issue 1, pages 112-128, DOI: 10.1016/j.iref.2011.09.004.
• Baghestani, Hamid & Khallaf, Ashraf, 2012, "Predictions of growth in U.S. corporate profits: Asymmetric vs. symmetric loss," International Review of Economics & Finance, Elsevier, volume 22, issue 1, pages 222-229, DOI: 10.1016/j.iref.2011.09.002.
• Yin Liao, 2012, "Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-26, Jun.
• Seong-Min Yoon & Sang Hoon Kang, 2012, "Modelling and forecasting the volatility of petroleum futures prices," EcoMod2012, EcoMod, number 3944, Jul.
• Pincheira, Pablo & García, Álvaro, 2012, "En busca de un buen marco de referencia predictivo para la inflación en Chile," El Trimestre Económico, Fondo de Cultura Económica, volume 79, issue 313, pages 85-123, enero-mar, DOI: http://dx.doi.org/10.20430/ete.v79i.
• Hammoudeh, S.M. & McAleer, M.J., 2012, "Risk Management and Financial Derivatives: An Overview," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2012-14, Apr.
• McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012, "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2012-29, Oct.
• McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012, "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2012-34, Oct.
• Bannouh, K. & Martens, M.P.E. & van Dijk, D.J.C., 2012, "Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading," 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-2012-018-F&A, Oct.
• Peter Reinhard HANSEN & Allan TIMMERMANN, 2012, "Choice of Sample Split in Out-of-Sample Forecast Evaluation," Economics Working Papers, European University Institute, number ECO2012/10.
• Peter Reinhard Hansen & Allan Timmermann, 2012, "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," Economics Working Papers, European University Institute, number ECO2012/24.
• Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012, "Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," Economics Working Papers, European University Institute, number ECO2012/28.
• Ales Kresta & Tomas Tichy, 2012, "International Equity Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 62, issue 2, pages 141-161, May.
• Erik Lindström & Fredric Regland, 2012, "Independent Spike Models: Estimation and Validation," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 62, issue 2, pages 180-196, May.
• Ventura, André & Garcia, Marcio Gomes Pinto, 2012, "Mercados futuro e à vista de câmbio no Brasil: O rabo balança o cachorro," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), volume 66, issue 1, March.
• Ippei Fujiwara & Hibiki Ichiue & Yoshiyuki Nakazono & Yosuke Shigemi, 2012, "Financial markets forecasts revisited: are they rational, herding or bold?," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 106.
• Natalya N. Kaurova, 2012, "Macroprudential Regulation of Financial Markets," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 1, pages 5-18, January.
• Christophe Boucher & Bertrand Maillet, 2012, "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00820714, May, DOI: 10.3917/reco.633.0581.
• Christophe Boucher & Bertrand Maillet, 2012, "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00662771, Jan.
• Dominique Guegan & Xin Zhao, 2012, "Alternative Modeling for Long Term Risk," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00694449, Apr.
• Christophe Boucher & Bertrand Maillet, 2012, "Prévoir sans persistance," Post-Print, HAL, number hal-01386006.
• Jules Sadefo-Kamdem, 2012, "VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors," Post-Print, HAL, number hal-02901914, Feb, DOI: 10.1007/s10436-009-0138-6.
• Aldo Levy & M.H. Arouri & Amine Lahiani & Duc Khuong Nguyen, 2012, "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Post-Print, HAL, number halshs-01279906, DOI: 10.1016/j.eneco.2011.10.015.
• Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2012, "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Working Papers, HAL, number halshs-00793203, Jun.
• Holmberg, Ulf & Lönnbark, Carl & Lundström, Christian, 2012, "Assessing the profitability of intraday opening range breakout strategies," Umeå Economic Studies, Umeå University, Department of Economics, number 845, Aug.
• Lönnbark, Carl, 2012, "Occurrence of long and short term asymmetry in stock market volatilities," Umeå Economic Studies, Umeå University, Department of Economics, number 848, Oct.
• Takamizawa, Hideyuki & 髙見澤, 秀幸, 2012, "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series, Hitotsubashi University Center for Financial Research, number G-1-3, Feb.
• Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012, "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-269, Dec.
• Logica Banica & Daniela Pirvu & Alina Hagiu, 2012, "Intelligent Financial Forecasting, The key for a Successful Management," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, volume 2, issue 3, pages 192-206, July.
• Lingyan Cao & Zheng-Feng Guo, 2012, "A Comparison Of Gradient Estimation Techniques For European Call Options," Accounting & Taxation, The Institute for Business and Finance Research, volume 4, issue 1, pages 75-81.
• Peng He, 2012, "Option Portfolio Value At Risk Using Monte Carlo Simulation Under A Risk Neutral Stochastic Implied Volatility Model," Global Journal of Business Research, The Institute for Business and Finance Research, volume 6, issue 5, pages 65-72.
• Lingyan Cao & Zheng-Feng Guo, 2012, "A Comparison Of Delta Hedging Under Two Price Distribution Assumptions By Likelihood Ratio," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 1, pages 25-34.
• Lie-Jane Kao & Po-Cheng Wu & Tai-Yuan Chen, 2012, "Why Do Banks Default When Asset Quality Is High?," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 1, pages 83-96.
• Antonina Modica-Milo & Juan Samuel Baixauli Soler & Susana Alvarez Diez, 2012, "Indicator Of Financial Health Proposal And Its Impact On Probability Of Default, Propuesta De Un Indicador De Salud Financiera Y Su Efecto En La Prediccion Del Fracaso Empresarial," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 5, issue 3, pages 19-40.
• Márcio Laurini, 2012, "A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2012-02, Mar.
• Márcio Laurini & João Frois Caldeira, 2012, "Some Comments on a Macro-Finance Model with Stochastic Volatility," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2012-04, Apr.
• Alejandro Bernales & Massimo Guidolin, 2012, "Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 456.
• Scott Brave & R. Andrew Butters, 2012, "Diagnosing the Financial System: Financial Conditions and Financial Stress," International Journal of Central Banking, International Journal of Central Banking, volume 8, issue 2, pages 191-239, June.
• Rodrigo Alfaro & Natalia Gallardo, 2012, "The Determinants of Household Debt Default," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 27, issue 1, pages 55-70, April.
• Ippei Fujiwara & Hibiki Ichiue & Yoshiyuki Nakazono & Yosuke Shigemi, 2012, "Financial Markets Forecasts Revisited: Are they Rational, Herding or Bold?," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 12-E-06, May.
• Thomas Theobald, 2012, "Agent-based risk management - A regulatory approach to financial markets," IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute, number 95-2012.
• Nidhi Aggarwal & Manish Singh & Susan Thomas, 2012, "Do changes in distance-to-default anticipate changes in the credit rating?," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2012-010, Mar.
• Marcel Blais & Philip Protter, 2012, "Signing trades and an evaluation of the Lee–Ready algorithm," Annals of Finance, Springer, volume 8, issue 1, pages 1-13, February, DOI: 10.1007/s10436-011-0184-8.
• Jules Sadefo Kamdem, 2012, "VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors," Annals of Finance, Springer, volume 8, issue 1, pages 123-150, February, DOI: 10.1007/s10436-009-0138-6.
• Juan Reboredo & José Matías & Raquel Garcia-Rubio, 2012, "Nonlinearity in Forecasting of High-Frequency Stock Returns," Computational Economics, Springer;Society for Computational Economics, volume 40, issue 3, pages 245-264, October, DOI: 10.1007/s10614-011-9288-5.
• Phillip Simmons, 2012, "Using a Differential Evolutionary Algorithm to Test the Efficient Market Hypothesis," Computational Economics, Springer;Society for Computational Economics, volume 40, issue 4, pages 377-385, December, DOI: 10.1007/s10614-012-9314-2.
• 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.

2011

• Christian Bach & Bent Jesper Christensen, 2011, "Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-61, Feb.
• Manuel Lukas, 2011, "Return Predictability, Model Uncertainty, and Robust Investment," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-42, Nov.
• Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez, 2011, "Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-44, Jul.
• Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011, "Forecasting with Option Implied Information," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-46, Dec.
• Torben G. Andersen & Oleg Bondarenko, 2011, "VPIN and the Flash Crash," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-50, Oct.
• John Mwamba, 2011, "Predictability of Stock Price Behaviour in South Africa: A Non-Parametric Approach," The African Finance Journal, Africagrowth Institute, volume 13, issue 1, pages 14-27.
• Prof. univ. Constantinescu Dumitru Ph. D & George Dorin Petcu Ph. D Student, 2011, "Developing A And Monitoring Of The Risk Response Strategies In Project Finance," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 2, issue 39, pages 156-166, May.
• Assoc. Prof. Dalia Simion Ph. D, Assoc. Prof. Elena Tob Ph. D, Asist. Sabin Armelu Ph. D Student, 2011, "Romanian Companies Increasing Performance Under The Influence Of Theier Capitalization Stock," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 4, issue 39, pages 81-88, May.
• Felicia Ramona Birau, 2011, "An Analysis Of Weak-Form Efficiency On The Bucharest Stock Exchange," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 3, issue 39, pages 194-205.
• Florentina Simona Fãurescu & Oana Adriana Du?ã, 2011, "Evaluation Of Management Performance By Means Of Income Statements And Cash Flow," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 16, pages 19-26, April.
• Mihaela IONASCU, 2011, "Properties of Analysts’ Forecasts for Romanian Listed Companies: How Much Do Firm-Specific Factors Matter?," Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, volume 10, issue 3, pages 318-325, September.
• Javier DE ANDRES & Fernando SÁNCHEZ-LASHERAS & Pedro LORCA & Francisco Javier DE COS JUEZ, 2011, "A Hybrid Device of Self Organizing Maps (SOM) and Multivariate Adaptive Regression Splines (MARS) for the Forecasting of Firms’ Bankruptcy," Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, volume 10, issue 3, pages 351-374, September.
• Luca RICCETTI, 2011, "A Copula-GARCH Model for Macro Asset Allocation of a Portfolio with Commodities: an Out-of-Sample Analysis," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 355, Jan.
• Kun Guo & Wei-Xing Zhou & Si-Wei Cheng & Didier Sornette, 2011, "The US stock market leads the Federal funds rate and Treasury bond yields," Papers, arXiv.org, number 1102.2138, Feb.
• Wanfeng Yan & Ryan Woodard & Didier Sornette, 2011, "Role of Diversification Risk in Financial Bubbles," Papers, arXiv.org, number 1107.0838, Jul.
• Didier Sornette & Ryan Woodard & Wanfeng Yan & Wei-Xing Zhou, 2011, "Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model," Papers, arXiv.org, number 1107.3171, Jul, revised Jun 2013.
• David Bolder & Simon Deeley, 2011, "The Canadian Debt-Strategy Model: An Overview of the Principal Elements," Discussion Papers, Bank of Canada, number 11-3, DOI: 10.34989/sdp-2011-3.
• Vladimir Simovic & Vojkan Vaskovic & Marko Rankovic & Slobodan Malinic, 2011, "The impact of the functional characteristics of a credit bureau on the level of indebtedness per capita: Evidence from East European countries," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, volume 11, issue 2, pages 101-130, December.
• José Luis Barros Fernandes & José Renato Haas Ornelas & Oscar Augusto Martínez Cusicanqui, 2011, "Combining equilibrium, resampling, and analysts' views in portfolio optimization," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements, "Portfolio and risk management for central banks and sovereign wealth funds".
• Joonhyuk Song, 2011, "Analysis on the Forecasting Performance of KOSPI200 Volatility between Long Memory Model and Regime-Switching Model (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 17, issue 4, pages 99-127, December.
• José Renato Haas Ornelas & Marcelo Yoshio Takami, 2011, "Recovering Risk-Neutral Densities from Brazilian Interest Rate Options," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 1, pages 9-26.
• Paulo Sérgio Ceretta & Fernanda Galvão de Barba & Kelmara Mendes Vieira & Fernando Casarin, 2011, "Intraday volatility forecasting: analysis of alternative distributions," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 2, pages 209-226.
• Walter Gonçalves Junior & Fábio Gallo Garcia & William Eid Junior & Luciana Ribeiro Chalela, 2011, "Short-Run Asset Selection using a Logistic Model," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 2, pages 227-256.
• Christophe Boucher & Bertrand Maillet, 2011, "Une analyse temps-fréquences des cycles financiers," Revue économique, Presses de Sciences-Po, volume 62, issue 3, pages 441-450.
• Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011, "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/05, Jan.
• Isao Ishida & Michael McAleer & Kosuke Oya, 2011, "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/11, Feb.
• Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011, "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/12, Feb.
• Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011, "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/26, Jul.
• Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011, "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/28, Jul.
• Rodolfo Apreda, 2011, "Multiplicative models of financial returns an what we fail to get when they are disregarded," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 454, May.
• Jan Hanousek & Evzen Kocenda & Jan Novotny, 2011, "The Identification of Price Jumps," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp434, Mar.
• Monique JEANBLANC & Didier SORNETTE, 2011, "Follow the money: The monetary roots of bubbles and crashes," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-62, Nov.
• Semei Coronado Ramírez & Leonardo Gatica Arreola, 2011, "Identificación de episodios de dependencia no lineal en el peso mexicano," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Carlos Le�n Rinc�n & Alejandro Reveiz, 2011, "Montecarlo simulation of long-term dependent processes: a primer," Borradores de Economia, Banco de la Republica, number 8277, Apr.
• Andr�s Felipe Garc�a-Suaza & Jose Eduardo G�mez-Gonz�lez & Andr�s Murcia pab�n & Feenando tenjo Galarza, 2011, "The Cyclical Behavior of Bank Capital Buffers in an Emerging Economy: Size Does Matter," Borradores de Economia, Banco de la Republica, number 8305, Apr.
• H�ctor Z�rate & Katherine S�nchez & Margarita Mar�n, 2011, "Cuantificaci�n de Encuestas Ordinales y Pruebas de Racionalidad: Una aplicaci�n a la Encuesta Mensual de Expectativas Econ�micas," Borradores de Economia, Banco de la Republica, number 8327, Apr.
• Viviana Alejandra Alfonso & Luis Eduardo Arango Thomas & Fernando Arias & Jos� David Pulido, 2011, "Ciclos de negocios en Colombia: 1980-2010," Borradores de Economia, Banco de la Republica, number 8328, Apr.
• Rafael Puyana & Mario Andr�s Ramos & H�ctor Z�rate, 2011, "Determinantes del subempleo en Colombia: Un enfoque a trav�s de la compensaci�n salarial," Borradores de Economia, Banco de la Republica, number 8337, Apr.
• Sebasti�n G�mez Barrero & Juli�n Parra Polan�a, 2011, "Comportamiento estrat�gico de los bancos centrales al anunciar pron�sticos de inflaci�n," Borradores de Economia, Banco de la Republica, number 8576, May.
• Sebasti�n G�mez Barrero & Juli�n Parra Polan�a, 2011, "Comportamiento estrat�gico de los bancos centrales al anunciar pron�sticos de inflaci�n," Borradores de Economia, Banco de la Republica, number 8577, May.
• Javier G�mez Restrepo & Juan Manuel Hern�ndez Herrera, 2011, "Composici�n cambiaria y poder adquisitivo de las reservas internacionales," Borradores de Economia, Banco de la Republica, number 8578, May.
• Andr�s Gonz�lez & Lavan Mahadeva & Juan D. Prada & Diego Rodr�guez, 2011, "Policy Analysis Tool Applied to Colombian Needs: PATACON Model Description," Borradores de Economia, Banco de la Republica, number 8698, May.
• Feunou, Bruno & Fontaine, Jean-Sébastien & Taamouti, Abderrahim & Tédongap, Roméo, 2011, "Risk premium, variance premium and the maturity structure of uncertainty," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1144, Nov.
• Fabian Bocart & Ken Bastiaensen & Peter Cauwels, 2011, "The 1980s Price Bubble on (Post) Impressionism," ACEI Working Paper Series, Association for Cultural Economics International, number AWP-03-2011, Nov, revised Nov 2011.
• Helmut Herwartz & Konstantin A. Kholodilin, 2011, "In-Sample and Out-of-Sample Prediction of Stock Market Bubbles: Cross-Sectional Evidence," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1173.
• Sylvain Prado, 2011, "Free lunch in the oil market: a note on Long Memory," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2011-23.
• Nicky J. Ferguson & Jie Michael Guo & Nicky Herbert Y.T. Lam & Dennis Philip, 2011, "Media Sentiment and UK Stock Returns," Department of Economics Working Papers, Durham University, Department of Economics, number 2011_06, Jan.
• Koop, Gary & Tole, Lise, 2011, "Forecasting the European Carbon Market," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2011-20.
• Dooruj Rambaccussing, 2011, "Do Mean Reverting based trading strategies outperform Buy and Hold?," Working Papers, Department of Applied Economics II, Universidad de Valencia, number 1113, May.
• Müller, Hans-Georg & Sen, Rituparna & Stadtmüller, Ulrich, 2011, "Functional data analysis for volatility," Journal of Econometrics, Elsevier, volume 165, issue 2, pages 233-245, DOI: 10.1016/j.jeconom.2011.08.002.
• Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J., 2011, "Modeling structural changes in the volatility process," Journal of Empirical Finance, Elsevier, volume 18, issue 3, pages 522-532, June.
• Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2011, "Crude oil hedging strategies using dynamic multivariate GARCH," Energy Economics, Elsevier, volume 33, issue 5, pages 912-923, September.
• Haugom, Erik & Westgaard, Sjur & Solibakke, Per Bjarte & Lien, Gudbrand, 2011, "Realized volatility and the influence of market measures on predictability: Analysis of Nord Pool forward electricity data," Energy Economics, Elsevier, volume 33, issue 6, pages 1206-1215, DOI: 10.1016/j.eneco.2011.01.013.
• Hartman, Brian M. & Heaton, Matthew J., 2011, "Accounting for regime and parameter uncertainty in regime-switching models," Insurance: Mathematics and Economics, Elsevier, volume 49, issue 3, pages 429-437, DOI: 10.1016/j.insmatheco.2011.07.003.
• Blaskowitz, Oliver & Herwartz, Helmut, 2011, "On economic evaluation of directional forecasts," International Journal of Forecasting, Elsevier, volume 27, issue 4, pages 1058-1065, October.
• Kross, William J. & Ro, Byung T. & Suk, Inho, 2011, "Consistency in meeting or beating earnings expectations and management earnings forecasts," Journal of Accounting and Economics, Elsevier, volume 51, issue 1, pages 37-57, DOI: 10.1016/j.jacceco.2010.06.004.
• Huse, Cristian, 2011, "Term structure modelling with observable state variables," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3240-3252, DOI: 10.1016/j.jbankfin.2011.05.004.
• Aloui, Riadh & Aïssa, Mohamed Safouane Ben & Nguyen, Duc Khuong, 2011, "Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?," Journal of Banking & Finance, Elsevier, volume 35, issue 1, pages 130-141, January.
• Ferreira, Miguel A. & Santa-Clara, Pedro, 2011, "Forecasting stock market returns: The sum of the parts is more than the whole," Journal of Financial Economics, Elsevier, volume 100, issue 3, pages 514-537, June.