Research classified by Journal of Economic Literature (JEL) codes

2010

• Georg ERBER, 2010, "The Problem Of Money Illusion In Economics," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 5, issue 3(13)/Fal, pages 196-216.
• Silvia Centanni & Marco Minozzo, 2010, "Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks," Working Papers, University of Verona, Department of Economics, number 22/2010, Dec.
• Eichler, Stefan & Karmann, Alexander & Maltritz, Dominik, 2010, "Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2010,01.
• Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2010, "The conditional autoregressive wishart model for multivariate stock market volatility," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2010-07.
• Hess, Dieter E. & Kreutzmann, Daniel & Pucker, Oliver, 2010, "Projected earnings accuracy and the profitability of stock recommendations," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 10-17.
• Klein, Martin, 2010, "Monte-Carlo Simulation und Due Diligence: Ein methodischer Ansatz zur computergestützten Aggregierung von Wahrscheinlichkeitsverteilungen aus Expertenbefragungen," Working Papers in Accounting Valuation Auditing, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Accounting and Auditing, number 2010-5.
• Klein, Martin, 2010, "Add-In basierte Softwaretools zur stochastischen Unternehmensbewertung? Spreadsheet basierte Monte-Carlo-Simulation und Risikoanalyse bei den vier marktführenden Softwarepaketen im Vergleich," Working Papers in Accounting Valuation Auditing, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Accounting and Auditing, number 2010-7.
• Ritter, Matthias & Mußhoff, Oliver & Odening, Martin, 2010, "Meteorological forecasts and the pricing of weather derivatives," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-043.
• Ehlers, Stefan & Gürtler, Marc & Olboeter, Sven, 2010, "Financial crises and information transfer: An empirical analysis of the lead-lag relationship between equity and CDS iTraxx Indices," Working Papers, Technische Universität Braunschweig, Institute of Finance, number IF34V1, DOI: 10.2139/ssrn.1585132.
• Orth, Walter, 2010, "The predictive accuracy of credit ratings: measurement and statistical inference," Discussion Papers in Econometrics and Statistics, University of Cologne, Institute of Econometrics and Statistics, number 2/10.
• Manner, Hans & Reznikova, Olga, 2010, "Forecasting international stock market correlations: does anything beat a CCC?," Discussion Papers in Econometrics and Statistics, University of Cologne, Institute of Econometrics and Statistics, number 7/10.
• Tom Engsted & Thomas Q. Pedersen & Carsten Tanggaard, 2010, "Pitfalls in VAR based return decompositions: A clarification," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-09, Feb.
• Nektarios Aslanidis & Charlotte Christiansen, 2010, "Smooth Transition Patterns in the Realized Stock Bond Correlation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-15, Apr.
• Leonidas Tsiaras, 2010, "Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-35, Jan.
• Thomas Q. Pedersen, 2010, "Predictable return distributions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-38, Jul.
• Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2010, "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-58, Sep.
• Bent Jesper Christensen & Paolo Santucci de Magistris, 2010, "Level Shifts in Volatility and the Implied-Realized Volatility Relation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-60, Sep.
• Peter R. Hansen & Asger Lunde & Valeri Voev, 2010, "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-74, Nov.
• Yin Liao & Heather Anderson & Farshid Vahid, 2010, "Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps," ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics, number 2010-520, May.
• Ahmed KSAIER & Isabelle CRISTIANI-D’ORNANO, 2010, "Interdependence And Forecasting Of S&P500, Oil, Euro / Dollar And 10-Year U.S. Interest Rate Markets: An Attempt Of Modelling Through The Volatility," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 6, pages 145-166, December.
• Ph.D. candidate Iamandi Gheorghe Bucur, 2010, "Commercial Negotiations Optimization Under Competitiveness Increasing Within The Knowledge Based Economy," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 38, pages 110-116, May.
• Ph.D Student Postolache (Males) Daniela, 2010, "Accounting Knowledge: Decision Support In Forestry," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 14, pages 55-60, April.
• Daniela Zapodeanu & Mihail Ioan Cociuba, 2010, "Linking Money Supply With The Gross Domestic Product In Romania," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 12, pages 1-50.
• Luca RICCETTI, 2010, "From Moments, Co-Moments and Mean-Variance weights to Copula Portfolio Allocation," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 351, Nov.
• Ricardo Azevedo Araujo & Guilherme V. Moura & Marcelo S. Portugal, 2010, "Efficient Yield Curve Estimation and Forecasting in Brazil," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 11, issue 1, pages 27-51.
• Marilena Mironiuc & Mihaela-Alina Robu & Ioan-Bogdan Robu, 2010, "The Discriminant Analysis: an Exploratory Study Concerning the Degree of Financial Autonomy of Companies in the Context of the Romanian Business Environment," Studies and Scientific Researches. Economics Edition, "Vasile Alecsandri" University of Bacau, Faculty of Economic Sciences, issue 15.
• Daniela Cristina Solomon & Simona Elena Dragomirescu, 2010, "Forecast of the Economic- Financial Performance Based on Diagnostic Analysis," Studies and Scientific Researches. Economics Edition, "Vasile Alecsandri" University of Bacau, Faculty of Economic Sciences, issue 15.
• Marin Marinov, 2010, "Possibilities to Study the Market Trend Fluctuations by Means of Indicators for Technical Analysis," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 68-85.
• Stanimir Kabaivanov, 2010, "Preventive Detection of Economic Problems by means of Neuron Networks," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 5, pages 103-115.
• Chen, Ying & Härdle, Wolfgang Karl & Pigorsch, Uta, 2010, "Localized Realized Volatility Modeling," Journal of the American Statistical Association, American Statistical Association, volume 105, issue 492, pages 1376-1393.
• JULES H. Van BINSBERGEN & RALPH S. J. KOIJEN, 2010, "Predictive Regressions: A Present‐Value Approach," Journal of Finance, American Finance Association, volume 65, issue 4, pages 1439-1471, August, DOI: 10.1111/j.1540-6261.2010.01575.x.
• Blake LeBaron, 2010, "Wealth Dynamics and a Bias Toward Momentum Trading," Working Papers, Brandeis University, Department of Economics and International Business School, number 14, Dec.
• Blake LeBaron, 2010, "Heterogeneous Gain Learning and the Dynamics of Asset Prices," Working Papers, Brandeis University, Department of Economics and International Business School, number 29, Jun, revised Dec 2010.
• Thiago Rocha Fabris & Newton Carneiro Affonso da Costa Jr., 2010, "Time Series Properties of Quarterly Earnings of Brazilian Open Companies," Brazilian Review of Finance, Brazilian Society of Finance, volume 8, issue 3, pages 351-376.
• Satchell, S. & Williams, O.J., 2010, "Social Welfare Issues of Financial Literacy," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1036, Aug.
• Satchell, S. & Williams, O.J., 2010, "On the Difficulty of Measuring Forecasting Skill in Financial Markets," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1039, Aug.
• Harvey, A., 2010, "Exponential Conditional Volatility Models," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1040, Aug.
• Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010, "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/03, Jan.
• Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010, "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/04, Jan.
• Massimiliano Caporin & Michael McAleer, 2010, "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/06, Jan.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010, "Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/19, Apr.
• Manuabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010, "Modelling and Forecasting Noisy Realized Volatility," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/21, May.
• Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2010, "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/38, Jan.
• Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010, "GFC-Robust Risk Management Strategies under the Basel Accord," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/63, Oct.
• Janine Aron & John Muellbauer, 2010, "Modelling and Forecasting UK Mortgage Arrears and Possessions," SERC Discussion Papers, Centre for Economic Performance, LSE, number 0052, Aug.
• Jeffrey SATINOVER & Didier SORNETTE, 2010, "Taming Manias: On the Origins, Inevitability, Prediction and Regulation of Bubbles and Crashes," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 10-34, Jul.
• Joao A. Bastos, 2010, "Predicting bank loan recovery rates with neural networks," CEMAPRE Working Papers, Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon, number 1003, Jul.
• Tomas Havranek & Roman Horvath & Jakub Mateju, 2010, "Do Financial Variables Help Predict Macroeconomic Environment? The Case of the Czech Republic," Working Papers, Czech National Bank, Research and Statistics Department, number 2010/06, Dec.
• Andrés Mauricio Mendoza Pineros & José Alfredo Jiménez Moscoso, 2010, "Análisis de la distribución de las tasas de retorno accionarias haciendo uso de la distribución g y h de Tukey," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Hernán Herrera Echeverry, 2010, "Análisis de la exposición al riesgo del Efectivo Generado por la Operación (EGO) bajo incertidumbre macroeconómica y de mercado," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 11807, Jan.
• Jaime Enrique Arrieta Bechara & Juan Camilo Torres Cruz & Hermilson Vel�squez Ceballos, 2010, "Predicciones de modelos econométricos y redes neuronales: el caso de la acción de SURAMINV," Revista Semestre Económico, Universidad de Medellín.
• Mario Ceballos, 2010, "Las microfinanzas; ¿solucion para la financiacion de las mipymes y de las empresas de base universitaria?," Revista Criterio Libre, Universidad Libre - Sede Principal.
• Helio Fabio Ramirez Echeverry & Luis eduardo Suarez Balaguera, 2010, "Como Entender Los Estandares Internacionales De Informacion Financiera," Revista Criterio Libre, Universidad Libre - Sede Principal.
• Timmermann, Allan & Aiolfi, Marco & Rodriguez, Marius, 2010, "Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7656, Jan.
• Uppal, Raman & DeMiguel, Victor & Plyakha, Yuliya & Vilkov, Grigory, 2010, "Improving Portfolio Selection Using Option-Implied Volatility and Skewness," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7686, Feb.
• Muellbauer, John & Aron, Janine, 2010, "Modelling and Forecasting UK Mortgage Arrears and Possessions," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7986, Sep.
• Thorsten Lehnert & Bart Frijns & Remco C.J. Zwinkels, 2010, "Modelling structural changes in the volatility process," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 10-05.
• Harvey, Andrew, 2010, "Exponential conditional volatility models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws103620, Sep.
• Enrique BONSON-PONTE & Ioan ANDONE & Adrian LUPASC & Ioana LUPASC, 2010, "The Need to Adapt to New Financial Accounting Technologies Information in the Context of Global Economic Crisis," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 71-78.
• Mohamed El Hedi Arouri & Amine Lahiani & Khuong Nguyen Duc, 2010, "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Working Papers, Development and Policies Research Center (DEPOCEN), Vietnam, number 87.
• Riadh Aloui & Mohamed Safouane Ben Aissa & Khuong Nguyen Duc, 2010, "Global Financial Crisis, Extreme Interdependences, and Contagion E§ects: The Role of Economic Structure," Working Papers, Development and Policies Research Center (DEPOCEN), Vietnam, number 89.
• Rasmus Kattai, 2010, "Credit risk model for the Estonian banking sector," Bank of Estonia Working Papers, Bank of Estonia, number wp2010-01, Feb, revised 04 Feb 2010.
• Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2010, "Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets," Energy Economics, Elsevier, volume 32, issue 6, pages 1445-1455, November.
• Bastos, João A., 2010, "Forecasting bank loans loss-given-default," Journal of Banking & Finance, Elsevier, volume 34, issue 10, pages 2510-2517, October.
• Jiang, Zhi-Qiang & Zhou, Wei-Xing & Sornette, Didier & Woodard, Ryan & Bastiaensen, Ken & Cauwels, Peter, 2010, "Bubble diagnosis and prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles," Journal of Economic Behavior & Organization, Elsevier, volume 74, issue 3, pages 149-162, June.
• Bekaert, Geert & Engstrom, Eric, 2010, "Inflation and the stock market: Understanding the "Fed Model"," Journal of Monetary Economics, Elsevier, volume 57, issue 3, pages 278-294, April.
• Göktug Cenk AKKAYA & Erhan DEMIRELI, 2010, "Finansal Kararlarin Verilmesinde Promethee Siralama Yöntemi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 10, issue 3, pages 845-854.
• Turhan KORKMAZ & Ümit BASARAN & Emrah Ismail CEVIK, 2010, "Yaz Saati Uygulamasi Anomalisinin IMKB 100 Endeks Getirisine Etkisinin Test Edilmesi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 10, issue 4, pages 1139-1153.
• Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2010, "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-10, Feb.
• Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2010, "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-12, Feb.
• Caporin, M. & McAleer, M.J., 2010, "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-13, Feb.
• Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2010, "Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-14, Mar.
• McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2010, "GFC-Robust Risk Management Strategies under the Basel Accord," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-59, Oct.
• Boril Šopov & Jakub Seidler, 2010, "Yield Curve Dynamics: Regional Common Factor Model," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2010/17, Aug, revised Aug 2010.
• Jesús Crespo Cuaresma & Adam Gersl & Tomáš Slačík, 2010, "Global Financial Crisis and the Puzzling Exchange Rate Path in CEE Countries," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2010/24, Sep, revised Sep 2010.
• Brian Baturevich, Gulnur Muradoglu, 2010, "Would You Follow MM or a Profitable Trading Strategy?," Frontiers in Finance and Economics, SKEMA Business School, volume 7, issue 2, pages 69-89, October.
• Michael B. Gordy & James Marrone, 2010, "Granularity adjustment for mark-to-market credit risk models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2010-37.
• Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2010, "Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules," Working Papers, Federal Reserve Bank of St. Louis, number 2010-008, DOI: 10.20955/wp.2010.008.
• Tarakanov Sergey I., 2010, "Risk Management and the Financial Markets," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 3, pages 147-152, July.
• Pavel Trunin, 2010, "Monetary Policy in the Crisis Period," Published Papers, Gaidar Institute for Economic Policy, number 18, revised 2012.
• David Thesmar, 2010, "Stock Price Fragility," Post-Print, HAL, number hal-00554105, Apr.
• Mohamed El Hedi Arouri & Duc Khuong Nguyen & Amine Lahiani, 2010, "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Working Papers, HAL, number hal-00507831, Aug.
• Yating Yang & H.W. Chuang, 2010, "A Dynamic Financial Ratio Adjustment Model," Global Journal of Business Research, The Institute for Business and Finance Research, volume 4, issue 3, pages 1-10.
• Anthony Flint & Andrew Tan & Gary Tian, 2010, "Predicting Future Earnings Growth: A Test Of The Dividend Payout Ratio In The Australian Market," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 4, issue 2, pages 43-58.

2009

• Bastianin, Andrea, 2009, "Modelling Asymmetric Dependence Using Copula Functions: An Application to Value-at-Risk in the Energy Sector," Sustainable Development Papers, Fondazione Eni Enrico Mattei (FEEM), number 50452, DOI: 10.22004/ag.econ.50452.
• Horia CRISTEA, 2009, "The financial information's vulnerability," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 9, pages 32-36, May.
• Ph.D Luminita Horhota, & Ph.D Cristina Nicoleta Matei, 2009, "Impact Of Financial Crisis On Developing Countries," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 13S, pages 7-14, November.
• Bogdan Dima & Laura Raisa MiloÅŸ, 2009, "Testing The Efficiency Market Hypothesis For The Romanian Stock Market," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 11, pages 1-41.
• De Gooijer, J. & Diks, C.G.H. & Gatarek, L., 2009, "Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 09-13.
• Zhi-Qiang Jiang & Wei-Xing Zhou & Didier Sornette & Ryan Woodard & Ken Bastiaensen & Peter Cauwels, 2009, "Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles," Papers, arXiv.org, number 0909.1007, Sep, revised Oct 2009.
• Camilo Serrano & Martin Hoesli, 2009, "Predicting Securitized Real Estate Returns: Financial and Real Estate Factors vs. Economic Variables," ERES, European Real Estate Society (ERES), number eres2009_265, Jan.
• Maria Debora Braga, 2009, "Hedge fund and market risk: new concepts and models, beyond VaR," BANCARIA, Bancaria Editrice, volume 9, pages 76-87, September.
• Turhan Korkmaz & Emrah Ismail Çevik, 2009, "Volatility Spillover Effect from Volatility Implied Index to Emerging Markets," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 3, issue 2, pages 87-106.
• Rodrigo Alfaro & Mathias Drehmann, 2009, "Macro stress tests and crises: what can we learn?," BIS Quarterly Review, Bank for International Settlements, December.
• Michael McAleer, 2009, "The Ten Commandments For Optimizing Value‐At‐Risk And Daily Capital Charges," Journal of Economic Surveys, Wiley Blackwell, volume 23, issue 5, pages 831-849, December, DOI: 10.1111/j.1467-6419.2009.00588.x.
• Juan‐Ángel Jiménez‐Martín & Michael McAleer & Teodosio Pérez‐Amaral, 2009, "The Ten Commandments For Managing Value At Risk Under The Basel Ii Accord," Journal of Economic Surveys, Wiley Blackwell, volume 23, issue 5, pages 850-855, December, DOI: 10.1111/j.1467-6419.2009.00590.x.
• Alexandros E. Milionis & Evangelia Papanagiotou, 2009, "An alternative methodological approach to assess the predictive performance of the moving average trading rule in financial markets: application to the london stock exchange," Working Papers, Bank of Greece, number 107, Dec.
• Pedro Gabriel Boainain & Pedro L. Valls Pereira, 2009, "Head and Shoulders: Testing the Profitability of this Chart Pattern of Technical Analysis in the Brazilian Stock Market," Brazilian Review of Finance, Brazilian Society of Finance, volume 7, issue 3, pages 265-303.
• Les Oxley & Marco Reale & Carl Scarrott & Xin Zhao, 2009, "Extreme Value GARCH modelling with Bayesian Inference," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 09/05, Apr.
• Xin Zhao & Carl John Scarrott & Marco Reale & Les Oxley, 2009, "Bayesian Extreme Value Mixture Modelling for Estimating VaR," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 09/15, Oct.
• Dobrota Gabriela & Chirculescu Maria Felicia, 2009, "Long Term Financing Decision at the Level of Companies," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, volume 1, pages 35-48, May.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009, "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-171, Sep.
• Camilo SERRANO & Martin HOESLI, 2009, "Predicting Securitized Real Estate Returns: Financial and Real Estate Factors vs. Economic Variables," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 09-08, Mar.
• Li LIN & Ruo En REN & Didier SORNETTE, 2009, "A Consistent Model of ‘Explosive’Financial Bubbles With Mean-Reversing Residuals," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 09-14, May.
• Joao A. Bastos, 2009, "Forecasting bank loans loss-given-default," CEMAPRE Working Papers, Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon, number 0901, May.
• Julio César Alonso & Juan Carlos García, 2009, "¿Qué Tan Buenos Son Los Patrones Del Igbc Para Predecir Su Comportamiento?," Estudios Gerenciales, Universidad Icesi.
• Catherine Fayad Hernández & Roberto Carlos Fortich Mesa & Ignacio Vélez - Pareja, 2009, "Proyección De La Tasa De Cambio De Colombia Bajo Condiciones De Ppa: Evidencia Empírica Usando Var," Estudios Gerenciales, Universidad Icesi.
• Catherine Fayad & Roberto Fortich & Ignacio Velez-Pareja, 2009, "Proyeccion de la tasa de cambio de Colombia bajo condiciones de PPA: evidencia empirica y demostracion econometrica mediante VAR," Documentos de Trabajo, Universidad Tecnológica de Bolívar, number 5293, Feb.
• Ljungqvist, Alexander & Kelly, Bryan, 2009, "Testing Asymmetric-Information Asset Pricing Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7180, Feb.
• Taylor, Alan M. & Jordà , Ã’scar, 2009, "The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7568, Nov.
• Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2009, "A Volatility Targeting GARCH model with Time-Varying Coefficients," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 09-08.
• Sucarrat, Genaro & Escribano, Álvaro, 2009, "Automated financial multi-path GETS modelling," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we093620, Jul.
• Nhat Le, 2009, "Volatility under Bounded Rationality," Working Papers, Development and Policies Research Center (DEPOCEN), Vietnam, number 63, Mar.
• Daniel Preve & Anders Eriksson & Jun Yu, 2009, "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Finance Working Papers, East Asian Bureau of Economic Research, number 23049, Jan.
• Markwat, Thijs & Kole, Erik & van Dijk, Dick, 2009, "Contagion as a domino effect in global stock markets," Journal of Banking & Finance, Elsevier, volume 33, issue 11, pages 1996-2012, November.
• Dilek Demirhan, 2009, "Sermaye Yapisini Etkileyen Firmaya Ozgu Faktorlerin Analizi: IMKB Hizmet Firmalari Uzerine Bir Uygulama," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 9, issue 2, pages 677-697.
• Esteban González, María Victoria & Tusell Palmer, Fernando Jorge, 2009, "Predicting Betas: Two new methods," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984.
• Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2009, "Modelling conditional correlations for risk diversification in crude oil markets," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-11, Jun.
• Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2009, "Forecasting volatility and spillovers in crude oil spot, forward and future markets," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-12, Jun.
• McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2009, "What Happened to Risk Management During the 2008-09 Financial Crisis?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-17, Aug.
• Khamkaew, T. & Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2009, "Modelling conditional correlations in the volatility of Asian rubber spot and futures returns," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-34, Nov.
• McAleer, M.J. & Medeiros, M.C., 2009, "Forecasting Realized Volatility with Linear and Nonlinear Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-37, Nov.
• da Veiga, B. & Chan, F. & McAleer, M.J., 2009, "It Pays to Violate: How Effective are the Basel Accord Penalties?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-39, Nov.
• Narcis Eduard Mitu, 2009, "Tax Competition – Areas of Display and Effects," European Research Studies Journal, European Research Studies Journal, volume 0, issue 2, pages 67-76.
• Andrea Bastianin, 2009, "Modelling Asymmetric Dependence Using Copula Functions: An application to Value-at-Risk in the Energy Sector," Working Papers, Fondazione Eni Enrico Mattei, number 2009.24, Apr.
• Malcolm Baker & Jeffrey Wurgler & Yu Yuan, 2009, "Global, local, and contagious investor sentiment," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 37.
• Geert Bekaert & Eric Engstrom, 2009, "Inflation and the stock market: Understanding the “Fed Model”," Proceedings, Federal Reserve Bank of San Francisco, issue jan.
• Boris KHOLOD & Alexei ZADOIA, 2009, "Exchange Rate And Its Impact On Foreign Economic Activity," Review of General Management, Spiru Haret University, Faculty of Management Brasov, volume 10, issue 2, pages 19-39, november.
• David Thesmar, 2009, "Stock Price Fragility," Post-Print, HAL, number hal-00496062.
• Lönnbark, Carl, 2009, "On risk prediction," Umeå Economic Studies, Umeå University, Department of Economics, number 770, May.
• Lillie Lam & Laurence Fung & Ip-wing Yu, 2009, "Forecasting a Large Dimensional Covariance Matrix of a Portfolio of Different Asset Classes," Working Papers, Hong Kong Monetary Authority, number 0901, Jan.
• Jeffrey E. Jarrett & Xia Pan & Shaw Chen, 2009, "Do the Chinese Bourses (Stock Markets) Predict Economic Growth?," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 8, issue 3, pages 201-211, December.
• Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruwirth-Scnatter, 2009, "Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 09-E-32, Nov.
• Claudiu Tiberiu Albulescu, 2009, "Forecasting Romanian Financial System Stability using a Stochastic Simulation Model," Working Papers, International Network for Economic Research - INFER, number 2009.4.
• Leif Brandes & Egon Franck & Erwin Verbeek, 2009, "The Validity of Models on the Information Content of Trades," Working Papers, University of Zurich, Institute for Strategy and Business Economics (ISU), number 00120, revised 2010.
• Cem Kadilar & Muammer Simsek & Cagdas Hakan Aladag, 2009, "Forecasting The Exchange Rate Series With Ann: The Case Of Turkey," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, volume 9, issue 1, pages 17-29, May.
• Onur Olgun & Ý. Hakan Yetkiner, 2009, "The Superiority of Time-Varying Hedge Ratios in Turkish Futures," Working Papers, Izmir University of Economics, number 0907, Nov.
• Guntur Anjana Raju & Harip Khanapuri, 2009, "The Effect of Macroeconomic Factors on Indian Share Prices: A Sectoral Approach," Journal of Global Economy, Research Centre for Social Sciences,Mumbai, India, volume 5, issue 2, pages 125-134, June.
• Geert Bekaert & Eric Engstrom, 2009, "Inflation and the Stock Market:Understanding the "Fed Model"," NBER Working Papers, National Bureau of Economic Research, Inc, number 15024, Jun.
• Long Chen & Lu Zhang, 2009, "The stock market and aggregate employment," NBER Working Papers, National Bureau of Economic Research, Inc, number 15219, Aug.
• Òscar Jordà & Alan M. Taylor, 2009, "The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself," NBER Working Papers, National Bureau of Economic Research, Inc, number 15518, Nov.
• Alexander David & Pietro Veronesi, 2009, "What Ties Return Volatilities to Price Valuations and Fundamentals?," NBER Working Papers, National Bureau of Economic Research, Inc, number 15563, Dec.
• Munteanu Valentin & Pantea Marius & Pelin Andrei & Gligor Delia, 2009, "Methodological Approaches In Realizing And Applying Cost-Benefit Analysis For The Investment Projects," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 2, issue 1, pages 156-162, May.
• Adam Clements & Annastiina Silvennoinen, 2009, "On the economic benefit of utility based estimation of a volatility model," NCER Working Paper Series, National Centre for Econometric Research, number 44, Jul.
• Leonardo Nogueira, 2009, "Forecasting Yield Curves Using Analyst's Views," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2009-03, Apr.
• Keith Anderson & Chris Brooks & Sotiris Tsolacos, 2009, "Testing for periodically collapsing rational speculative bubbles in US REITs," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2009-11, Sep.
• Stephen Ross & Mark Westerfield & Jiang Wang & Leonid Kogan, 2009, "Market Selection," 2009 Meeting Papers, Society for Economic Dynamics, number 274.
• Mikhail Chernov & Ruslan Bikbov, 2009, "Monetary Policy Regimes and the Term Structure of Interest Rates," 2009 Meeting Papers, Society for Economic Dynamics, number 334.
• André Ventura & Marcio Gomes Pinto Garcia, 2009, "Mercados futuro e à vista de câmbio no Brasil: O rabo balança o cachorro," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 563, Nov.
• Dean Fantazzini, 2009, "Credit Risk Management (Cont.)," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 13, issue 1, pages 105-138.
• Dean Fantazzini, 2009, "Econometric Analysis of Financial Data in Risk Management," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 14, issue 2, pages 100-127.
• Mafalda Ribeiro & C. Machado Santos, 2009, "Hedge funds strategies -are they consistent?," Working Papers, Universidade Portucalense, Centro de Investigação em Gestão e Economia (CIGE), number 10/2009, Nov.
• Daniel PREVE & Anders ERIKSSON & Jun YU, 2009, "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Working Papers, Singapore Management University, School of Economics, number 22-2009, Nov.
• D. Sornette & L. Lin & Ren R.E., 2009, "A Consistent Model of `Explosive' Financial Bubbles With Mean-Reversing Residuals," Working Papers, ETH Zurich, Chair of Systems Design, number CCSS-09-00002, May.
• D. Sornette & R. Woodard, 2009, "Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis," Working Papers, ETH Zurich, Chair of Systems Design, number CCSS-09-00003, May.
• D. Sornette & Zhi-Qiang Jiang & Wei-Xing Zhou & Ryan Woodard & Ken Bastiaensen & Peter Cauwels, 2009, "Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles," Working Papers, ETH Zurich, Chair of Systems Design, number CCSS-09-00008, Oct.
• Jan G. de Gooijer & Cees G.H. Diks & Lukasz T. Gatarek, 2009, "Information Flows around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 09-107/4, Nov.
• Bosquet, K. & de Goeij, P. C. & Smedts, K., 2009, "Coexistence and Dynamics of Overconfidence and Strategic Incentives," Discussion Paper, Tilburg University, Center for Economic Research, number 2009-81.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009, "What Happened to Risk Management During the 2008-09 Financial Crisis?," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-636, Aug.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009, "Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-640, Aug.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009, "Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-641, Aug.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009, "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-643, Aug.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009, "A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-644, Aug.
• Michael McAleer, 2009, "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-652, Aug.
• Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral, 2009, "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-667, Sep.
• Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2009, "Modelling and Forecasting Noisy Realized Volatility," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-669, Sep.
• Tanchanok Khamkaew & Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009, "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-675, Oct.
• Bernardo da Veiga & Felix Chan & Michael McAleer, 2009, "It Pays to Violate: How Effective are the Basel Accord Penalties?," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-683, Oct.
• Michael McAleer & Marcelo C. Medeiros, 2009, "Forecasting Realized Volatility with Linear and Nonlinear Models," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-686, Oct.
• Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruhwirth-Schnatter, 2009, "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-689, Nov.
• Xin Jin & John M Maheu, 2009, "Modelling Realized Covariances," Working Papers, University of Toronto, Department of Economics, number tecipa-382, Nov.
• Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2009, "A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-07.
• Michael McAleer, 2009, "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-10.
• Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Pérez-Amaral, 2009, "The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-12.
• Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2009, "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-18.
• Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2009, "What Happened to Risk Management During the 2008-09 Financial Crisis?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-19.
• Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2009, "Optimal Risk Management Before, During and After the 2008-09 Financial Crisis," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-20.
• Hautsch, Nikolaus & Huang, Ruihong, 2009, "The market impact of a limit order," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/23.
• Wieland, Volker, 2009, "Fiscal stimulus and the promise of future spending cuts: A comment," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/26.
• Lux, Thomas, 2009, "Mass psychology in action: identification of social interaction effects in the German stock market," Kiel Working Papers, Kiel Institute for the World Economy, number 1514.
• Chen, Ying & Härdle, Wolfgang Karl & Pigorsch, Uta, 2009, "Localized realized volatility modelling," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-003.
• Amendola, Alessandra & Storti, Giuseppe, 2009, "Combination of multivariate volatility forecasts," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-007.
• Hautsch, Nikolaus & Huang, Ruihong, 2009, "The market impact of a limit order," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-051.
• Blaskowitz, Oliver J. & Herwartz, Helmut, 2009, "On economic evaluation of directional forecasts," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-052.
• Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas, 2009, "Higher-order beliefs among professional stock market forecasters: some first empirical tests," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 09-042.
• Rotfuß, Waldemar & Conrad, Christian & Rittler, Daniel, 2009, "The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 09-045.

2008

• Roman Frydman & Michael D. Goldberg & Søren Johansen & Katarina Juselius, 2008, "A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings," Discussion Papers, University of Copenhagen. Department of Economics, number 08-31, Dec.
• Miguel A. Ferreira & Pedro Santa-Clara, 2008, "Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole," NBER Working Papers, National Bureau of Economic Research, Inc, number 14571, Dec.
• Poitras, Geoffrey & Heaney, John, 2008, "‘How is the Stock Market Doing?’ Using Absence of Arbitrage to Measure Stock Market Performance," MPRA Paper, University Library of Munich, Germany, number 114056, Mar.