Research classified by Journal of Economic Literature (JEL) codes

2011

• Greenwood, Robin & Thesmar, David, 2011, "Stock price fragility," Journal of Financial Economics, Elsevier, volume 102, issue 3, pages 471-490, DOI: 10.1016/j.jfineco.2011.06.003.
• Chang, Chia-Lin & Khamkaew, Thanchanok & McAleer, Michael & Tansuchat, Roengchai, 2011, "Modelling conditional correlations in the volatility of Asian rubber spot and futures returns," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 81, issue 7, pages 1482-1490, DOI: 10.1016/j.matcom.2010.07.004.
• McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2011, "International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-04, Jan.
• Asai, M. & McAleer, M.J. & Medeiros, M., 2011, "Modelling and Forecasting Noisy Realized Volatility," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-05, Jan.
• Ishida, I. & McAleer, M.J. & Oya, K., 2011, "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 VIX," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-10, Feb.
• Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011, "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-11, Feb.
• Santos, P.A. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011, "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2011-27, Jul.
• Mustapha Djennas & Mohamed Benbouziane & Meriem Djennas, 2011, "An Approach of Combining Empirical Mode Decomposition and Neural Network Learning for Currency Crisis Forecasting," Working Papers, Economic Research Forum, number 627, Jan, revised 09 Jan 2011.
• Krenar Avdulaj, 2011, "The Extreme Value Theory as a Tool to Measure Market Risk," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2011/26, Jul, revised Jul 2011.
• Isakov, Dusan & Marti, Didier, 2011, "Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability," FSES Working Papers, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland, number 421, Aug.
• Rebiasz, B., 2011, "Arithmetic Operations On Interactive Fuzzy Numbers In Financial Analysis," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 1, pages 39-65, May.
• Figà-Talamanca, G. & Guerra, M.L. & Stefanini, L., 2011, "Fuzzy uncertainty in the heston stochastic volatility model," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 2, pages 3-19, November.
• Maciel, Leandro S., 2011, "Pricing Brazilian exchange rate options using an adaptive network-based fuzzy inference system," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 2, pages 59-73, November.
• Christophe Boucher & Bertrand Maillet, 2011, "Une analyse temps-fréquence des cycles financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00755499, DOI: 10.3917/reco.623.0441.
• Christophe Boucher & Bertrand Maillet, 2011, "Une analyse temps-fréquences des cycles financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00565229, Jan.
• Robin Greenwood & David Thesmar, 2011, "Stock price fragility," Post-Print, HAL, number hal-00635979, Dec, DOI: 10.1016/j.jfineco.2011.06.003.
• Sylvain Prado, 2011, "Free lunch in the oil market: a note on Long Memory," Working Papers, HAL, number hal-04140982.
• Breitung, Jörg & Schmeling, Maik, 2011, "Quantifying survey expectations: What's wrong with the probability approach?," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-485, Dec.
• Eiji Kurozumi & Kohei Aono, 2011, "Estimation and Inference in Predictive Regressions," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd11-192, May.
• Toshiaki Watanabe, 2011, "Quantile Forecasts of Financial Returns Using Realized GARCH Models," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd11-195, Jul.
• Masato Ubukata & Toshiaki Watanabe, 2011, "Market Variance Risk Premiums in Japan as Predictor Variables and Indicators of Risk Aversion," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd11-214, Dec.
• Chew Lian Chua & Sandy Suardi & Sarantis Tsiaplias, 2011, "Predicting Short-Term Interest Rates: Does Bayesian Model Averaging Provide Forecast Improvement?," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2011n01, Jan.
• Mishari M. Alfaraih & Faisal S. Alanezi, 2011, "Does Voluntary Disclosure Level Affect The Value Relevance Of Accounting Information?," Accounting & Taxation, The Institute for Business and Finance Research, volume 3, issue 2, pages 65-84.
• Rajesh Mohnot, 2011, "Forecasting Forex Volatility In Turbulent Times," Global Journal of Business Research, The Institute for Business and Finance Research, volume 5, issue 1, pages 27-38.
• Charles Wong & Massimiliano Versace, 2011, "Context Sensitivity With Neural Networks In Financial Decision Processes," Global Journal of Business Research, The Institute for Business and Finance Research, volume 5, issue 5, pages 27-43.
• Márcio Laurini & Luiz Koodi Hotta, 2011, "Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2011-01, Mar.
• Aykut EKİNCİ & Halil İbrahim ERDAL, 2011, "Türkiye’de banka başarısızlıklarının tahmini üzerine bir uygulama," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 26, issue 298, pages 21-44.
• Ahmet GÖNCÜ & Mehmet Oguz KARAHAN & Tolga Umut KUZUBAŞ, 2011, "Pricing of temperature-based weather options for Turkey," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 26, issue 309, pages 33-50.
• Rohini Grover & Susan Thomas, 2011, "Liquidity considerations in estimating implied volatility," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2011-006, Mar.
• Jaime Casassus & Freddy Higuera, 2011, "Stock Return Predictability and Oil Prices," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 406.
• Hernández-Mejía, Sergio, 2011, "Capacidad predictiva de los modelos ARCH: una aplicación para los rendimientosdel índice de precios y cotizaciones de la Bolsa Mexicana de Valores," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 30, pages 3-19, segundo t.
• Alex Huang, 2011, "Volatility Modeling by Asymmetrical Quadratic Effect with Diminishing Marginal Impact," Computational Economics, Springer;Society for Computational Economics, volume 37, issue 3, pages 301-330, March, DOI: 10.1007/s10614-011-9254-2.
• Oliver Williams & Stephen Satchell, 2011, "Social welfare issues of financial literacy and their implications for regulation," Journal of Regulatory Economics, Springer, volume 40, issue 1, pages 1-40, August, DOI: 10.1007/s11149-011-9151-6.
• Huong Higgins, 2011, "Forecasting stock price with the residual income model," Review of Quantitative Finance and Accounting, Springer, volume 36, issue 4, pages 583-604, May, DOI: 10.1007/s11156-010-0187-y.
• Vivek Sharma, 2011, "Stock returns and product market competition: beyond industry concentration," Review of Quantitative Finance and Accounting, Springer, volume 37, issue 3, pages 283-299, October, DOI: 10.1007/s11156-010-0205-0.
• Matthias W. Uhl, 2011, "Reuters Sentiment and Stock Returns," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 11-288, Sep, DOI: 10.3929/ethz-a-006620590.
• Michael McAleer & Juan-à ngel Jiménez-Martín & Teodosio Pérez-Amaral, 2011, "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," KIER Working Papers, Kyoto University, Institute of Economic Research, number 757, Jan.
• Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011, "Modelling and Forecasting Noisy Realized Volatility," KIER Working Papers, Kyoto University, Institute of Economic Research, number 758, 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," KIER Working Papers, Kyoto University, Institute of Economic Research, number 759, Feb.
• Chia-Lin Chang & Juan-à ngel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011, "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," KIER Working Papers, Kyoto University, Institute of Economic Research, number 761, Mar.
• Michael McAleer & Juan-à ngel Jiménez-Martín & Teodosio Pérez-Amaral, 2011, "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," KIER Working Papers, Kyoto University, Institute of Economic Research, number 767, Apr.
• Michael McAleer & Paulo Araújo Santos & Juan-à ngel Jiménez-Martín & Teodosio Pérez Amaral, 2011, "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," KIER Working Papers, Kyoto University, Institute of Economic Research, number 782, Jul.
• Michael McAleer & Roberto Casarin & Chia-Lin Chang & Juan-à ngel Jiménez-Martín & Teodosio Pérez-Amaral, 2011, "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," KIER Working Papers, Kyoto University, Institute of Economic Research, number 784, Jul.
• Silvia Muzzioli & Bernard De Baets, 2011, "Assessing the information content of option-based volatility forecasts using fuzzy regression methods," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0669, Nov.
• Christophe Boucher & Bertrand Maillet, 2011, "Une analyse temps-fréquences des cycles financiers," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11003, Jan, DOI: 10.3917/reco.623.0441.
• Michal Rubaszek & Pawel Skrzypczynski & Grzegorz Koloch, 2011, "Forecasting the Polish zloty with non-linear models," NBP Working Papers, Narodowy Bank Polski, number 81.
• Martin Lettau & Sydney C. Ludvigson, 2011, "Shocks and Crashes," NBER Working Papers, National Bureau of Economic Research, Inc, number 16996, Apr.
• Òscar Jordà & Alan M. Taylor, 2011, "Performance Evaluation of Zero Net-Investment Strategies," NBER Working Papers, National Bureau of Economic Research, Inc, number 17150, Jun.
• Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2011, "A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation," NBER Working Papers, National Bureau of Economic Research, Inc, number 17152, Jun.
• Stephen A. Ross, 2011, "The Recovery Theorem," NBER Working Papers, National Bureau of Economic Research, Inc, number 17323, Aug.
• Jessica A. Wachter & Missaka Warusawitharana, 2011, "What is the Chance that the Equity Premium Varies over Time? Evidence from Regressions on the Dividend-Price Ratio," NBER Working Papers, National Bureau of Economic Research, Inc, number 17334, Aug.
• Yuriy Gorodnichenko & Anna Mikusheva & Serena Ng, 2011, "Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties," NBER Working Papers, National Bureau of Economic Research, Inc, number 17424, Sep.
• Tobias Adrian & Markus K. Brunnermeier, 2011, "CoVaR," NBER Working Papers, National Bureau of Economic Research, Inc, number 17454, Oct.
• John A. Tatom & Reza Houston, 2011, "Predicting Failure in the Commercial Banking Industry," NFI Working Papers, Indiana State University, Scott College of Business, Networks Financial Institute, number 2011-WP-27, Dec.
• Benyovszki Annamaria & Bordas Eszter & Kurti Laszlo - Adam & Szodorai Melinda, 2011, "Troubleshooting Basel Ii: The Issue Of Procyclicality," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 461-468, July.
• Fat Codruta Maria & Dezsi Eva, 2011, "Exchange-Rates Forecasting: Exponential Smoothing Techniques And Arima Models," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 499-508, July.
• Petru Tunde Petra & Farkas Dalma - Zsuzsa & Furdek Balazs - Marton & Marton Noemi, Racz Timea Erzsebet, 2011, "Empirical Study Of The Probability Of Default In Case Of Romanian Companies Listed On Stock Exchange," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 515-523, July.
• Carlo A. Favero & Andrea Tamoni, 2011, "Demographics and US Stock Market Fluctuations ," CESifo Economic Studies, CESifo Group, volume 57, issue 1, pages 25-43, March.
• Mihut Ioana Sorina, 2011, "The Impact of Inflation Rate Upon Interest Rate in Romania," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 1346-1350, May.
• Vintila Georgeta & Toroapa Maria Georgia, 2011, "Building a Scoring Model for Bankruptcy Risk Prediction on Multiple Discriminant Analysis," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 2283-2288, May.
• Ciobotea Adina & Oaca Sorina Cristina, 2011, "Investment Decisions in the Romanian Pension Funds," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 359-362, May.
• Lupaºc Adrian & Lupaºc Ioana & Zamfir Cristina Gabriela, 2011, "Actual Application of the Intelligent Systems and their Implications in Financial-Accounting Field," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 728-733, May.
• Massimiliano Caporin & Angelo Ranaldo & Paolo Santucci de Magistris, 2011, "On the Predictability of Stock Prices: A Case for High and Low Prices," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0136, Jun.
• Kun Guo & Wei-Xing Zhou & Si-Wei Cheng & Didier Sornette, 2011, "The US Stock Market Leads the Federal Funds Rate and Treasury Bond Yields," PLOS ONE, Public Library of Science, volume 6, issue 8, pages 1-9, August, DOI: 10.1371/journal.pone.0022794.
• Wei-Xing Zhou & Guo-Hua Mu & Wei Chen & Didier Sornette, 2011, "Investment Strategies Used as Spectroscopy of Financial Markets Reveal New Stylized Facts," PLOS ONE, Public Library of Science, volume 6, issue 9, pages 1-9, September, DOI: 10.1371/journal.pone.0024391.
• Benjamin Kauper & Karl-Kuno Kunze, 2011, "Modellierung von Aktienkursen im Lichte der Komplexitätsforschung," Statistische Diskussionsbeiträge, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät, number 49, Apr.
• Francois-Éric Racicot, 2011, "Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp052011, May.
• Fantazzini, Dean & Geraskin, Petr, 2011, "Everything You Always Wanted to Know about Log Periodic Power Laws for Bubble Modelling but Were Afraid to Ask," MPRA Paper, University Library of Munich, Germany, number 47869, Feb.
• Hiremath, Gourishankar S & Bandi, Kamaiah, 2011, "Testing Long Memory in Stock Returns of Emerging Markets: Some Further Evidence," MPRA Paper, University Library of Munich, Germany, number 48517.
• Konchitchki, Yaniv, 2011, "Inflation and Nominal Financial Reporting: Implications for Performance and Stock Prices," MPRA Paper, University Library of Munich, Germany, number 52928, May.
• Radkov, Petar & Minkova, Leda, 2011, "Assessing bank's default probability using the ASRF model," MPRA Paper, University Library of Munich, Germany, number 60186, Jun.
• David Havlíček, 2011, "The Analysis of the Relationship between Stock Returns and Inflation: A Consequence of Real Shocks or Money Illusion?
  [Analýza vztahu akciových výnosů a inflace: důsledek reálných šoků nebo peněžní iluze?]," Český finanční a účetní časopis, Prague University of Economics and Business, volume 2011, issue 2, pages 37-57, DOI: 10.18267/j.cfuc.104.
• Boril Šopov & Jakub Seidler, 2011, "Yield Curve Dynamics: Regional Common Factor Model," Prague Economic Papers, Prague University of Economics and Business, volume 2011, issue 2, pages 140-156, DOI: 10.18267/j.pep.393.
• Josef Taušer & Petr Buryan, 2011, "Exchange Rate Predictions in International Financial Management by Enhanced GMDH Algorithm," Prague Economic Papers, Prague University of Economics and Business, volume 2011, issue 3, pages 232-249, DOI: 10.18267/j.pep.398.
• Ying Chen & Bo Li, 2011, "Forecasting Yield Curves in an Adaptive Framework," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 3, issue 4, pages 237-259, December.
• Adam E Clements & Christopher A Coleman-Fenn & Daniel R Smith, 2011, "Forecasting Equicorrelation," NCER Working Paper Series, National Centre for Econometric Research, number 72, Apr, revised 29 Aug 2011.
• Adam E Clements & Annastiina Silvennoinen, 2011, "Volatility timing and portfolio selection: How best to forecast volatility," NCER Working Paper Series, National Centre for Econometric Research, number 76, Oct.
• Armas, Adrián & Vallejos , Lucy & Vega, Marco, 2011, "Indicadores tendenciales de inflación y su relevancia como variables indicativas de política monetaria," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 20, pages 27-56.
• Vladimir Zdorovenin & Jacques Pézier, 2011, "Does Information Content of Option Prices Add Value for Asset Allocation?," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2011-03, Jan.
• Jacques Pézier & Johanna Scheller, 2011, "A Comprehensive Evaluation of Portfolio Insurance Strategies," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2011-15, Jun.
• Álvaro Montenegro, 2011, "Información y entropía en economía," Revista de Economía Institucional, Universidad Externado de Colombia - Facultad de Economía, volume 13, issue 25, pages 199-221, July-Dece.
• Sasa Zikovic, 2011, "Measuring risk of crude oil at extreme quantiles," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, volume 29, issue 1, pages 9-31.
• Xin Jin & John M. Maheu, 2011, "Modelling Realized Covariances and Returns," Working Paper series, Rimini Centre for Economic Analysis, number 08_11, Jan.
• Jianxin Wamg, 2011, "Forecasting Volatility in Asian Stock Markets: Contributions of Local, Regional, and Global Factors," Asian Development Review, Asian Development Bank, volume 28, issue 2, pages 32-57.
• Won-Am Park, 2011, "Was 2008 Crisis Predictable in Korea?: A Signal Approach," East Asian Economic Review, Korea Institute for International Economic Policy, volume 15, issue 3, pages 49-83, DOI: 10.11644/KIEP.JEAI.2011.15.3.234.
• Ronald Ryan & Frank Fabozzi, 2011, "Liability Index Fund: The Liability Beta Portfolio," Journal of Financial Transformation, Capco Institute, volume 33, pages 29-33.
• Julio Carmona & Angel León & Antoni Vaello-Sebastiá, 2011, "Does Stock Return Predictability Affect ESO Fair Value?," QM&ET Working Papers, University of Alicante, D. Quantitative Methods and Economic Theory, number 11-2, Nov.
• Dinga, Emil & Pop, Napoleon & Dimitriu, Mihail & Milea, Camelia, 2011, "Modeling the Financial Behavior of Population (I) – Conceptual Assignations," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 239-254, September.
• Beum-Jo Park, 2011, "Forecasting Volatility in Financial Markets Using a Bivariate Stochastic Volatility Model with Surprising Information," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 37-58, September.
• Korol, Tomasz & Korodi, Adrian, 2011, "An Evaluation of Effectiveness of Fuzzy Logic Model in Predicting the Business Bankruptcy," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 92-107, September.
• Francesca Brusa, 2011, "Asset Pricing Puzzle: The Long-Run Risks Model's Approach," Rivista di Politica Economica, SIPI Spa, issue 4, pages 101-137, October-D.
• Rocco Ciciretti & Raffaele Corvino, 2011, "How homogeneous diversification in balanced investment funds affects portfolio and systemic risk," CEIS Research Paper, Tor Vergata University, CEIS, number 204, Jul, revised 04 Jul 2011.
• Dragos Ilie, 2011, "Security Margin And Leveraging In The Financial And Banking Management Decision," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, volume 3, issue 3 (Novemb, pages 292-299.
• Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2011, "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-02-2011, Apr.
• Massimiliano Caporin & Angelo Ranaldo, 2011, "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers, Swiss National Bank, number 2011-11.
• James M. Wahlen & Matthew M. Wieland, 2011, "Can financial statement analysis beat consensus analysts’ recommendations?," Review of Accounting Studies, Springer, volume 16, issue 1, pages 89-115, March, DOI: 10.1007/s11142-010-9124-5.
• Steven J. Monahan, 2011, "Discussion of “Using earnings forecasts to simultaneously estimate firm-specific cost of equity and long-term growth”," Review of Accounting Studies, Springer, volume 16, issue 3, pages 458-463, September, DOI: 10.1007/s11142-011-9146-7.
• Alexander Nekrasov & Maria Ogneva, 2011, "Using earnings forecasts to simultaneously estimate firm-specific cost of equity and long-term growth," Review of Accounting Studies, Springer, volume 16, issue 3, pages 414-457, September, DOI: 10.1007/s11142-011-9159-2.
• Gary Koop & Lise Tole, 2011, "Forecasting the European Carbon Market," Working Papers, University of Strathclyde Business School, Department of Economics, number 1110, Apr.
• Keith Anderson & Chris Brooks & Sotiris Tsolacos, 2011, "Testing for Periodically Collapsing Rational Speculative Bubbles in U.S. REITs," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, volume 17, issue 3, pages 227-241, January, DOI: 10.1080/10835547.2011.12089906.
• Oleg Sokolinskiy & Dick van Dijk, 2011, "Forecasting Volatility with Copula-Based Time Series Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-125/4, Sep.
• Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruhwirth-Schnatter, 2011, "Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-782, Jan.
• Stephen Kinsella & Thomas O'Connor & Vincent O'Sullivan, 2011, "Legal protection of investors, corporate governance, and investable premia in emerging markets," Working Papers, Geary Institute, University College Dublin, number 201117, Aug.
• Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011, "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-01.
• 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," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-02.
• Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011, "Modelling and Forecasting Noisy Realized Volatility," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-09.
• 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," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-17.
• 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," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-27.
• 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," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-32.
• Chia-Lin Chang & Lydia González-Serrano & Juan-Ángel Jiménez-Martín, 2011, "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 2011-33.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2011, "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-34.
• Travis Berge & Òscar Jordà & Alan M. Taylor, 2011, "Currency Carry Trades," NBER International Seminar on Macroeconomics, University of Chicago Press, volume 7, issue 1, pages 357-388, DOI: 10.1086/658309.
• Aslanidis, Nektarios & Christiansen, Charlotte, 2011, "Smooth Transition Patterns in the Realized Stock- Bond Correlation," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/152138.
• Maria PASCU-NEDELCU, 2011, "Estimation of the Cost of Equity by Considering the Interdependences between Capital Markets," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 6, issue 2, pages 76-99.
• Manolescu, Gheorghe, 2011, "Operationalization Of The Composite Model Of The Financial Network Of The Economy. Cefimo 2010 Experiment," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 15, issue 1, pages 242-257.
• Michał Krawczyk, 2011, "Overconfident for real? Proper scoring for confidence intervals," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2011-15.
• Jianxin Wang, 2011, "Forecasting Volatility in Asian Stock Markets: Contributions of Local, Regional, and Global Factors," Asian Development Review (ADR), World Scientific Publishing Co. Pte. Ltd., volume 28, issue 02, pages 32-57, December, DOI: 10.1142/S0116110511500090.
• Man Fu & Prasad V. Bidarkota, 2011, "The Present Value Model With Stochastic Discount Rate And An Ann Process For Broad Dividends," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 01, pages 1-20, DOI: 10.1142/S2010495211500011.
• Witte, Björn-Christopher, 2011, "Removing systematic patterns in returns in a financial market model by artificially intelligent traders," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 82.
• Mayer, Klaus & Schmid, Thomas & Weber, Florian, 2011, "Modeling electricity spot prices - Combining mean-reversion, spikes and stochastic volatility," CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS), number 2011-02.
• Hess, Dieter & Kreutzmann, Daniel & Pucker, Oliver, 2011, "Projected earnings accuracy and the profitability of stock recommendations," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 10-17 [rev.].
• Kempf, Alexander & Korn, Olaf & Saßning, Sven, 2011, "Portfolio optimization using forward-looking information," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 11-10.
• Hess, Dieter & Orbe, Sebastian, 2011, "Irrationality or efficiency of macroeconomic survey forecasts? Implications from the anchoring bias test," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 11-13.
• Dimpfl, Thomas & Jank, Stephan, 2011, "Can internet search queries help to predict stock market volatility?," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 11-15.
• Entorf, Horst & Knoll, Christian & Sattarova, Liliya, 2011, "Measuring confidence and uncertainty during the financial crisis: Evidence from the CFS survey," CFS Working Paper Series, Center for Financial Studies (CFS), number 2010/18.
• Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter, 2011, "The merit of high-frequency data in portfolio allocation," CFS Working Paper Series, Center for Financial Studies (CFS), number 2011/24.
• Kyritsis, Kostas & Chytis, Evangelos & Karamanis, Kostas, 2011, "Fighting the Financial Crisis with Alternative Forms of Energy in the Household Economics," EconStor Conference Papers, ZBW - Leibniz Information Centre for Economics, number 125774, Oct.
• Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011, "CVaR sensitivity with respect to tail thickness," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 29, DOI: 10.5445/IR/1000023240.
• Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew, 2011, "A network model of financial system resilience," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-051.
• Chen, Ray-Bing & Chen, Ying & Härdle, Wolfgang Karl, 2011, "TVICA - time varying independent component analysis and its application to financial data," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-054.
• Hautsch, Nikolaus & Huang, Ruihong, 2011, "Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-056.
• Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter, 2011, "The merit of high-frequency data in portfolio allocation," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-059.
• Dimpfl, Thomas & Jank, Stephan, 2011, "Can Internet search queries help to predict stock market volatility?," University of Tübingen Working Papers in Business and Economics, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics, number 18.
• Orth, Walter, 2011, "Multi-period credit default prediction with time-varying covariates," Discussion Papers in Econometrics and Statistics, University of Cologne, Institute of Econometrics and Statistics, number 3/11.

2010

• Iuliana Predescu & Mihai Aristotel Ungureanu & Stela Aurelia Toader & Antoniu Predescu, 2010, "The Influence of the Monetary Policy on the Investment Polilcy of the Firm," Knowledge Horizons - Economics, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, volume 2, issue 1, pages 140-149, March.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010, "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," KIER Working Papers, Kyoto University, Institute of Economic Research, number 715, Aug.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010, "Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets," KIER Working Papers, Kyoto University, Institute of Economic Research, number 717, Aug.
• Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2010, "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," KIER Working Papers, Kyoto University, Institute of Economic Research, number 723, Sep.
• Michael McAleer & Juan-à ngel Jiménez-Martín & Teodosio Pérez-Amaral, 2010, "GFC-Robust Risk Management Strategies under the Basel Accord," KIER Working Papers, Kyoto University, Institute of Economic Research, number 727, Oct.
• Massimiliano Caporin & Michael McAleer, 2010, "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," KIER Working Papers, Kyoto University, Institute of Economic Research, number 738, Nov.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010, "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," KIER Working Papers, Kyoto University, Institute of Economic Research, number 743, Nov.
• Mohamed AROURI & Amine LAHIANI & D.-K. NGUYEN, 2010, "Forecasting the Conditional Volatility of Oil Spot andFutures Prices with Structural Breaksand Long Memory Models," LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans, number 661.
• Paarz, Roland, 2010, "Auswirkungen des Wechsels auf IFRS und US-GAAP auf die Gewinnprognosen von Analysten," Discussion Papers in Business Administration, University of Munich, Munich School of Management, number 11364, May.
• Yin Liao & Heather M. Anderson & Farshid Vahid, 2010, "Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 11/10, May.
• Travis Berge & Òscar Jordà & Alan M. Taylor, 2010, "Currency Carry Trades," NBER Chapters, National Bureau of Economic Research, Inc, "NBER International Seminar on Macroeconomics 2010".
• Jules H. van Binsbergen & Ralph S.J. Koijen, 2010, "Predictive Regressions: A Present-value Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 16263, Aug.
• Travis J. Berge & Òscar Jordà & Alan M. Taylor, 2010, "Currency Carry Trades," NBER Working Papers, National Bureau of Economic Research, Inc, number 16491, Oct.
• Ralph S.J. Koijen & Stijn Van Nieuwerburgh, 2010, "Predictability of Returns and Cash Flows," NBER Working Papers, National Bureau of Economic Research, Inc, number 16648, Dec.
• Wade D. Pfau, 2010, "An International Perspective on Safe Withdrawal Rates from Retirement Savings: The Demise of the 4 Percent Rule?," GRIPS Discussion Papers, National Graduate Institute for Policy Studies, number 10-12, Sep, revised Oct 2010.
• Kitty Moloney & Srinivas Raghavendra, 2010, "Quantitative Risk Estimation in the Credit Default Swap Market using Exteme Value Theory," Working Papers, National University of Ireland Galway, Department of Economics, number 0158, revised 2010.
• Jesús Crespo Cuaresma & Tomáš Slacík, 2010, "Could Markets Have Helped Predict the Puzzling Exchange Rate Path in CESEE Countries during the Current Crisis?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 32-48.
• Bolos Marcel & Mosteanu Tatiana & Popovici Ioana, 2010, "Chaos Or Turbulence On The Volatility Of Public Revenues," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 324-331, July.
• Stefanescu Florica, 2010, "Financial Problems In A.D. Xenopol’S Work," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 436-442, July.
• Stefanescu Florica, 2010, "Banking Problems In A.D. Xenopol'S Work," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 783-787, December.
• Jun-ichi Shinkai & Akira Kohsaka, 2010, "Financial Linkages and Business Cycles of Japan: An Analysis Using Financial Conditions Index," OSIPP Discussion Paper, Osaka School of International Public Policy, Osaka University, number 10E008, Oct.
• Marco Aiolfi & Marius Rodriguez & Allan Timmermann, 2010, "Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability," Journal of Financial Econometrics, Oxford University Press, volume 8, issue 3, pages 305-334, Summer.
• Epure Danut Tiberius & Cusu Dorinela & Nancu Dumitru, 2010, "Evolution and Perspectives of the Romanian Economy Related to the Economic and Financial Crisis," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 229-231, October.
• Ghita-Mitrescu Silvia & Duhnea Cristina & Vancea Diane Paula Corina, 2010, "A Comparative Analysis of the Options trading on the Romanian Capital Market and Central and Eastern Europe Emerging Capital Markets during the Global Financial Crisis," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 274-279, October.
• Janine Aron & John Muellbauer, 2010, "Modelling and Forecasting UK Mortgage Arrears and Possessions," Economics Series Working Papers, University of Oxford, Department of Economics, number 499, Aug.
• Massimiliano Caporin & Juliusz Pres, 2010, "Modelling and forecasting wind speed intensity for weather risk management," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0106, Jan.
• Massimiliano Caporin & Juliusz Pres' & Hipolit Torro, 2010, "Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0123, Dec.
• Hiremath, Gourishankar S & Bandi, Kamaiah, 2010, "Some Further Evidence on the Behaviour of Stock Returns in India," MPRA Paper, University Library of Munich, Germany, number 48518.
• Hiremath, Gourishankar S & Bandi, Kamaiah, 2010, "Long Memory in Stock Market Volatility:Evidence from India," MPRA Paper, University Library of Munich, Germany, number 48519.
• Radkov, Petar, 2010, "The Mean Reversion Stochastic Processes Applications in Risk Management," MPRA Paper, University Library of Munich, Germany, number 60159, Jul.
• Petr Sedláček, 2010, "State-Run Investment Funds: Major Institutional Investors on Global Financial Markets
  [Státní investiční fondy - významný institucionální investor globálních finančních trhů]," Acta Oeconomica Pragensia, Prague University of Economics and Business, volume 2010, issue 2, pages 3-22, DOI: 10.18267/j.aop.297.
• André Babeau, 2010, "L’absence de prévisions macrofinancières : une situation calamiteuse heureusement en cours d’évolution," Revue d'Économie Financière, Programme National Persée, volume 98, issue 3, pages 39-53, DOI: 10.3406/ecofi.2010.5778.
• Alain Cazalé, 2010, "L’information économique et financière et la crise," Revue d'Économie Financière, Programme National Persée, volume 98, issue 3, pages 85-103, DOI: 10.3406/ecofi.2010.5781.
• Michał Rubaszek & Paweł Skrzypczyński & Grzegorz Koloch, 2010, "Forecasting the Polish Zloty with Non-Linear Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 2, issue 2, pages 151-167, March.
• Jacek Osiewalski & Anna Pajor, 2010, "Bayesian Value-at-Risk for a Portfolio: Multi- and Univariate Approaches Using MSF-SBEKK Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 2, issue 4, pages 253-277, September.
• Adam Clements & Annastiina Silvennoinen, 2010, "Portfolio allocation: Getting the most out of realised volatility," NCER Working Paper Series, National Centre for Econometric Research, number 54, Mar, revised 06 May 2010.
• Carol Alexander & Jose Maria Sarabia, 2010, "Endogenizing Model Risk to Quantile Estimates," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2010-07, Jul.
• Roxana Chiriac & Winfried Pohlmeier, 2010, "How Risky Is the Value at Risk?," Working Paper series, Rimini Centre for Economic Analysis, number 07_10, Jan.
• Michael McAleer & Marcelo Cunha Medeiros, 2010, "Forecasting Realized Volatility with Linear and Nonlinear Models," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 568, Mar.
• Douglas Arner & Lotte Schou-Zibell, 2010, "Responding to the Global Financial and Economic Crisis: Meeting the Challenges in Asia," Working Papers on Regional Economic Integration, Asian Development Bank, number 60, Oct.
• Joachim Lang & Reinhard Madlener, 2010, "Portfolio Optimization for Power Plants: The Impact of Credit Risk Mitigation and Margining," FCN Working Papers, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN), number 11/2010, Sep.
• Charles Tapiero, 2010, "The future of financial risk management," Journal of Financial Transformation, Capco Institute, volume 29, pages 17-25.
• Albulescu, Claudiu Tiberiu, 2010, "Forecasting The Romanian Financial System Stability Using A Stochastic Simulation Model," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 81-98, March.
• André Schöne, 2010, "Zum Informationsgehalt der Volatilitätsindizes VDAX und VDAX-New der Deutsche Börse AG," Schmalenbach Journal of Business Research, Springer, volume 62, issue 6, pages 625-661, September, DOI: 10.1007/BF03372836.
• Erik R. de Wit & Peter Englund & Marc Francke, 2010, "Price and Transaction Volume in the Dutch Housing Market," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-039/2, Apr.
• Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010, "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-704, Jan.
• Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010, "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-706, Jan.
• Massimiliano Caporin & Michael McAleer, 2010, "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-713, Feb.
• Chialin Chang & Michael McAleer & Roengchai Tansuchat, 2010, "Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-718, Feb.
• Chun Liu & John M Maheu, 2010, "Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market," Working Papers, University of Toronto, Department of Economics, number tecipa-401, Apr.
• Xin Jin & John M Maheu, 2010, "Modelling Realized Covariances and Returns," Working Papers, University of Toronto, Department of Economics, number tecipa-408, Jul.
• Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010, "GFC-Robust Risk Management Strategies under the Basel Accord," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 1001.