Research classified by Journal of Economic Literature (JEL) codes

2010

• 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.
• 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 (IfW Kiel), 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.
• Degiannakis, Stavros & Xekalaki, Evdokia, 2008, "SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework," MPRA Paper, University Library of Munich, Germany, number 96321.
• Philippe Mueller & Mikhail Chernov, 2008, "The Term Structure of Inflation Expectations," 2008 Meeting Papers, Society for Economic Dynamics, number 346.
• Dean Fantazzini, 2008, "An Econometric Analysis of Financial Data in Risk Management," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 10, issue 2, pages 91-137.
• Dean Fantazzini, 2008, "Credit Risk Management," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 12, issue 4, pages 84-137.
• Vasco Salazar Soares, 2008, "Technical Analysis and Nonlinear Dynamics," Working Papers, Universidade Portucalense, Centro de Investigação em Gestão e Economia (CIGE), number 5/2008, Feb.
• Boris Groysberg & Paul Healy & Yang Gui, 2008, "Can research committees add value for investors. An analysis of Lehman Brothers Ten Uncommon Values recommendations," Journal of Financial Transformation, Capco Institute, volume 24, pages 123-130.
• Tullio Jappelli & Marco Pagano, 2008, "Financial Market Integration Under EMU," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 197, Apr.
• Stavros Degiannakis & Evdokia Xekalaki, 2008, "SPEC model selection algorithm for ARCH models: an options pricing evaluation framework," Applied Financial Economics Letters, Taylor & Francis Journals, volume 4, issue 6, pages 419-423, DOI: 10.1080/17446540701765258.
• Geoffrey Poitras & John Heaney, 2008, ""How Is The Stock Market Doing?" Using Absence Of Arbitrage To Measure Stock Market Performance," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 4, issue 01, pages 1-27, DOI: 10.1142/S2010495208500012.
• Blaskowitz, Oliver J. & Herwartz, Helmut, 2008, "Testing directional forecast value in the presence of serial correlation," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-073.
• Lumengo Bonga-Bonga, 2008, "Modelling the Rand-Dollar Future Spot Rates: The Kalman Filter Approach," The African Finance Journal, Africagrowth Institute, volume 10, issue 2, pages 60-75.
• Ana POPA, 2008, "The foreign direct investments in Romania – contradictories trends," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 2, issue 36, pages 612-619, may.
• Mitu Narcis Eduard, 2008, "Tax competition – areas of display and efects," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 11, pages 33-42, November.
• Timerman Dumitru & Deju Mihai, 2008, "Methodologic Elements Necessary In Making Forecasts For Regional," Studies and Scientific Researches. Economics Edition, "Vasile Alecsandri" University of Bacau, Faculty of Economic Sciences, issue 13.
• Murat Çinko & Emin Avci, 2008, "CAMELS Rating System and Forecasting the Financial Failure in the Turkish Commercial Banking Sector," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 2, issue 2, pages 25-48.
• Pagano, Marco & Jappelli, Tullio, 2008, "Financial Market Integration Under EMU," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7091, Dec.
• McAleer, M.J., 2008, "The ten commandments for optimizing value-at-risk and daily capital charges," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2008-32, Nov.
• McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2008, "A decision rule to minimize daily capital charges in forecasting value-at-risk," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2008-34, Dec.
• Markwat, T.D. & Kole, H.J.W.G. & van Dijk, D.J.C., 2008, "Contagion as Domino Effect in Global Stock Markets," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2008-071-F&A, Nov.
• Lucian Buse & Marian Siminica & Daniel Circiumaru, 2008, "Cost-Benefit Analysis – Economic Tool Used to Aid Decision-Making Regarding the Distribution of Public Funds," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4, pages 19-30.
• Gabriel Bobeica & Elena Bojesteanu, 2008, "Long Memory in Volatility. An Investigation on the Central and Eastern European Exchange Rates," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4, pages 7-18.
• Tobias Adrian & Markus K. Brunnermeier, 2008, "CoVaR," Staff Reports, Federal Reserve Bank of New York, number 348.
• Barberà Mariné, M.G. & Garbajosa Cabello, M.J. & Guercio, M.B., 2008, "Term Structure Of Interest Rates Analysis In The Spanish Market," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 2, pages 53-62, November.
• François Dossou & Sandrine Lardic & Karine Michalon, 2008, "Can earnings forecasts be improved by taking into account the forecast bias?," Post-Print, HAL, number halshs-00365972, Nov.
• Söderberg, Jonas, 2008, "Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia," CAFO Working Papers, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, number 2009:10, Dec.

2007

• Laura Giurca Vasilescu, 2007, "Foreign Direct Investment In Romania - Recent Trends," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 9S, pages 27-34, May.
• Sorin Tudor & Daniela Danciulescu, 2007, "Recent Evolutions On Romanian Capital Market," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 9S, pages 35-40, May.
• Andrea Resti & Andrea Sironi, 2007, "Understanding and measuring liquidity risk," BANCARIA, Bancaria Editrice, volume 11, pages 2-17, November.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009, "Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-163, Aug.
• Hernán Herrera Echeverri, 2007, "Uso del indicador del retorno total del negocio como alternativa para optimizar la inversión en unidades de negocio en condiciones de incertidumbre," Estudios Gerenciales, Universidad Icesi.
• Anthony S. Tay, 2007, "Financial Variables as Predictors of Real Output Growth," Development Economics Working Papers, East Asian Bureau of Economic Research, number 22482, Jan.
• Ravazzolo, F. & van Dijk, H.K. & Verbeek, M.J.C.M., 2007, "Predictive gains from forecast combinations using time-varying model weights," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2007-26, Jul.
• Kuznetsov, Leonid A. & Morozov, Andrew S., 2007, "Planning Business Activity Under Uncertainty," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 1, pages 21-33, May.
• Morillas, Antonio & Díaz, Bárbara, 2007, "Qualitative Answering Surveys And Soft Computing," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 1, pages 3-19, May.
• Merigó Lindahl, J.M. & Gil Lafuente, A.M., 2007, "Unification Point In Methods For The Selection Of Financial Products," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 1, pages 35-50, May.
• Stoica, Marcel Dragos, 2007, "The Use Of Subtle Sets To Studying The Life’S Quality," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 1, pages 51-72, May.
• Bertran, F.X. & Clara, N. & Ferrer, J.C., 2007, "Extending The Roughness Of The Data Via Transitive Closures Of Similarity Indexes," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 2, pages 75-84, November.
• Lozano, Carmen & Martínez, Soledad & Fuentes, Federico, 2007, "THE VALUE OF e-CUSTOMER SATISFACTION TO INTERNET COMPANIES," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 1, pages 73-94, May.
• Olga Stikhova, 2007, "Calculation of Stationary Random Sequences Extreme Values Characteristics and their Application to Determination of the Volatility of Russian and Foreign Financial Indices and Estimation of the Invest," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 8, issue 4, pages 18-26.

2006

• Daniel Stavárek, 2006, "Assessment Of The Exchange Rate Volatility In New Eu Member States And Romania1," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 6, pages 20-29, April.
• Laura Giurca Vasilescu & Daniela Danciulescu, 2006, "Modern Indicators Of Measuring A Firm’S Competitivity," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 6, pages 14-19, April.
• Ciurez Ecaterina Nicoleta, 2006, "Evolutia Comertului International Si Cresterea Economica. Teorii Ale Comertului International," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 6, pages 100-107, April.
• Hernán Herrera Echeverry, 2006, "Uso del indicador del retorno total del negocio como alternativa para optimizar la inversión en unidades de negocio en condiciones de incertidumbre," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 11824, Sep.
• Heij, C. & Groenen, P.J.F. & van Dijk, D.J.C., 2006, "Time series forecasting by principal covariate regression," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2006-37, Aug.
• Kuznetsov, Leonid A., 2006, "Intellectual Support Of Small Firms’ Management," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 1, pages 27-36, May.
• Kitsios, E. & Doumpos, M. & Zopounidis, C., 2006, "Credit Card Application Assessment Using A Neuro-Fuzzy Classification System," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 1, pages 3-26, May.
• Caramuta, Diego M. & Contiggiani, Federico, 2006, "A Fuzzy Set Approach To Poverty Measurement," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 1, pages 37-55, May.
• Luban, Florica, 2006, "Modeling Imprecision And Subjectiveness For The Multiattribute Decisions," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 1, pages 57-67, May.
• Costantino, N. & Dotoli, M. & Falagario, M. & Fanti, M. P. & Iacobellis, G., 2006, "Evaluating The Total Costs Of Purchasing Via Probabilistic And Fuzzy Reasoning," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 1, pages 69-92, May.
• Facchinetti, Gisella & Pacchiarotti, Nicoletta, 2006, "Economic Principle On Fuzzy Profit By Weighted Average Value," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 2, pages 17-32, November.
• Goddard, J. & de los Cobos Silva, S.G. & Gutiérrez Andrade, M.A., 2006, "A Comparison Of K-Means And Fuzzy C-Means Using Background Knowledge," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 2, pages 3-16, November.
• Lazzari, Luisa L. & Fernández, María José, 2006, "Evaluation Of Iris Ratios Using ?-Cuts," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 2, pages 33-50, November.
• Andriy Matviychuk, 2006, "Fuzzy Logic Approach To Identification And Forecasting Of Financial Time Series Using Elliott Wave Theory," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 2, pages 51-68, November.
• Malcolm J. Beynon & Keith Whitfield, 2006, "A Fuzzy Decision Support System To Identify Establishments With Low Paid Employees In The British Economy," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 2, pages 66-88, November.

2005

• Xekalaki, Evdokia & Degiannakis, Stavros, 2005, "Evaluating volatility forecasts in option pricing in the context of a simulated options market," Computational Statistics & Data Analysis, Elsevier, volume 49, issue 2, pages 611-629, April.